COT Stock Market Charts: Weekly Speculator Changes led by VIX & DowJones-Mini

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Monday July 3rd and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by VIX & DowJones-Mini

The COT stock markets speculator bets were higher this week as five out of the seven stock markets we cover had higher positioning while the other three markets had lower speculator contracts.

Leading the gains for the stock markets was VIX (9,797 contracts) with the DowJones-Mini (5,840 contracts), the MSCI EAFE-Mini (4,241 contracts), the S&P500-Mini (1,011 contracts) and the Nikkei 225 (61 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were with the Nasdaq-Mini (-11,784 contracts) and the Russell-Mini (-3,810 contracts) also registering lower bets on the week.

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Strength Scores led by Nasdaq-Mini & VIX

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Nasdaq-Mini (80 percent) and the VIX (79 percent) lead the stock markets this week. The Nikkei 225 Yen (68 percent) and DowJones-Mini (37 percent) come in as the next highest in the weekly strength scores.

On the downside, the Nikkei 225 (29 percent) comes in at the lowest strength level currently with the next lowest strength score being the MSCI EAFE-Mini (30 percent).

Strength Statistics:
VIX (79.4 percent) vs VIX previous week (72.2 percent)
S&P500-Mini (33.8 percent) vs S&P500-Mini previous week (33.7 percent)
DowJones-Mini (36.9 percent) vs DowJones-Mini previous week (20.4 percent)
Nasdaq-Mini (80.3 percent) vs Nasdaq-Mini previous week (87.1 percent)
Russell2000-Mini (31.5 percent) vs Russell2000-Mini previous week (33.8 percent)
Nikkei USD (28.7 percent) vs Nikkei USD previous week (28.3 percent)
EAFE-Mini (29.9 percent) vs EAFE-Mini previous week (24.7 percent)

 

S&P500-Mini & DowJones-Mini top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the S&P500-Mini (29 percent) leads the past six weeks trends for the stock markets. The DowJones-Mini (27 percent), the MSCI EAFE-Mini (11 percent) and the VIX (7 percent) are the next highest positive movers in the latest trends data.

The Russell-Mini (-11 percent) leads the downside trend scores currently with the Nasdaq-Mini (-5 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (7.1 percent) vs VIX previous week (-7.6 percent)
S&P500-Mini (29.4 percent) vs S&P500-Mini previous week (26.9 percent)
DowJones-Mini (27.3 percent) vs DowJones-Mini previous week (7.7 percent)
Nasdaq-Mini (-5.2 percent) vs Nasdaq-Mini previous week (-1.6 percent)
Russell2000-Mini (-11.2 percent) vs Russell2000-Mini previous week (0.2 percent)
Nikkei USD (-4.4 percent) vs Nikkei USD previous week (-11.2 percent)
EAFE-Mini (10.7 percent) vs EAFE-Mini previous week (1.0 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week reached a net position of -54,924 contracts in the data reported through Tuesday. This was a weekly increase of 9,797 contracts from the previous week which had a total of -64,721 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.4 percent. The commercials are Bearish-Extreme with a score of 17.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.1 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	23.2	50.2	6.4
– Percent of Open Interest Shorts:	36.7	35.9	7.2
– Net Position:	-54,924	58,022	-3,098
– Gross Longs:	94,274	204,071	26,095
– Gross Shorts:	149,198	146,049	29,193
– Long to Short Ratio:	0.6 to 1	1.4 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	79.4	17.5	80.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.1	-7.3	2.2

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week reached a net position of -207,239 contracts in the data reported through Tuesday. This was a weekly lift of 1,011 contracts from the previous week which had a total of -208,250 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.8 percent. The commercials are Bullish with a score of 68.3 percent and the small traders (not shown in chart) are Bearish with a score of 44.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.1	76.4	11.1
– Percent of Open Interest Shorts:	19.5	67.1	11.1
– Net Position:	-207,239	205,791	1,448
– Gross Longs:	223,358	1,688,344	245,999
– Gross Shorts:	430,597	1,482,553	244,551
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.8	68.3	44.7
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	29.4	-29.8	6.8

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week reached a net position of -13,082 contracts in the data reported through Tuesday. This was a weekly boost of 5,840 contracts from the previous week which had a total of -18,922 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.9 percent. The commercials are Bullish with a score of 62.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	25.5	60.3	13.4
– Percent of Open Interest Shorts:	39.2	45.4	14.7
– Net Position:	-13,082	14,236	-1,154
– Gross Longs:	24,233	57,403	12,794
– Gross Shorts:	37,315	43,167	13,948
– Long to Short Ratio:	0.6 to 1	1.3 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	36.9	62.7	38.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	27.3	-23.8	10.3

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week reached a net position of 5,458 contracts in the data reported through Tuesday. This was a weekly decline of -11,784 contracts from the previous week which had a total of 17,242 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 80.3 percent. The commercials are Bearish with a score of 20.2 percent and the small traders (not shown in chart) are Bullish with a score of 50.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	28.4	52.8	16.1
– Percent of Open Interest Shorts:	26.2	54.3	16.7
– Net Position:	5,458	-3,883	-1,575
– Gross Longs:	70,707	131,223	40,005
– Gross Shorts:	65,249	135,106	41,580
– Long to Short Ratio:	1.1 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	80.3	20.2	50.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.2	1.2	13.6

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week reached a net position of -67,510 contracts in the data reported through Tuesday. This was a weekly decline of -3,810 contracts from the previous week which had a total of -63,700 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.5 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bearish with a score of 37.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.3	83.5	4.7
– Percent of Open Interest Shorts:	23.4	71.1	4.0
– Net Position:	-67,510	63,856	3,654
– Gross Longs:	52,926	429,656	24,280
– Gross Shorts:	120,436	365,800	20,626
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.5	66.4	37.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.2	4.7	31.4

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week reached a net position of -6,185 contracts in the data reported through Tuesday. This was a weekly gain of 61 contracts from the previous week which had a total of -6,246 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.7 percent. The commercials are Bullish with a score of 64.3 percent and the small traders (not shown in chart) are Bearish with a score of 47.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.9	63.6	27.5
– Percent of Open Interest Shorts:	46.7	35.1	18.2
– Net Position:	-6,185	4,671	1,514
– Gross Longs:	1,460	10,407	4,492
– Gross Shorts:	7,645	5,736	2,978
– Long to Short Ratio:	0.2 to 1	1.8 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.7	64.3	47.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.4	-1.4	11.4

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week reached a net position of -11,743 contracts in the data reported through Tuesday. This was a weekly rise of 4,241 contracts from the previous week which had a total of -15,984 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bearish with a score of 26.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.5	90.7	2.1
– Percent of Open Interest Shorts:	9.5	88.2	1.6
– Net Position:	-11,743	9,769	1,974
– Gross Longs:	25,587	356,504	8,292
– Gross Shorts:	37,330	346,735	6,318
– Long to Short Ratio:	0.7 to 1	1.0 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.9	70.8	26.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.7	-7.0	-14.4

 

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Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.