Stock Market Speculator Changes led by Nasdaq-Mini & the VIX

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 Tuesday July 11th 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 Nasdaq-Mini & the VIX

The COT stock markets speculator bets were higher this week as four 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 the Nasdaq-Mini (5,490 contracts) with the VIX (4,191 contracts), the Nikkei 225 (2,314 contracts) and the Russell-Mini (1,637 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were with DowJones-Mini (-5,503 contracts), the MSCI EAFE-Mini (-1,318 contracts) and the S&P500-Mini (-1,740 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 (83 percent) and the VIX (82 percent) lead the stock markets this week. The Nikkei 225 Yen (71 percent) and Nikkei 225 (44 percent) come in as the next highest in the weekly strength scores.

On the downside, the DowJones-Mini (21 percent) comes in at the lowest strength level currently. The next lowest strength score is the MSCI EAFE-Mini (28 percent).

Strength Statistics:
VIX (82.4 percent) vs VIX previous week (79.4 percent)
S&P500-Mini (33.6 percent) vs S&P500-Mini previous week (33.8 percent)
DowJones-Mini (21.3 percent) vs DowJones-Mini previous week (36.9 percent)
Nasdaq-Mini (83.5 percent) vs Nasdaq-Mini previous week (80.3 percent)
Russell2000-Mini (32.4 percent) vs Russell2000-Mini previous week (31.5 percent)
Nikkei USD (43.8 percent) vs Nikkei USD previous week (28.7 percent)
EAFE-Mini (28.3 percent) vs EAFE-Mini previous week (29.9 percent)

 

S&P500-Mini & Nikkei 225 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 (34 percent) leads the past six weeks trends for the stock markets. The Nikkei 225 (20 percent), the VIX (9 percent) and the DowJones-Mini (9 percent) are the next highest positive movers in the latest trends data.

The Russell-Mini (-2 percent) leads the downside trend scores currently.

Strength Trend Statistics:
VIX (8.6 percent) vs VIX previous week (7.1 percent)
S&P500-Mini (33.6 percent) vs S&P500-Mini previous week (29.4 percent)
DowJones-Mini (8.5 percent) vs DowJones-Mini previous week (27.3 percent)
Nasdaq-Mini (1.4 percent) vs Nasdaq-Mini previous week (-5.2 percent)
Russell2000-Mini (-1.7 percent) vs Russell2000-Mini previous week (-11.2 percent)
Nikkei USD (19.7 percent) vs Nikkei USD previous week (-4.4 percent)
EAFE-Mini (6.7 percent) vs EAFE-Mini previous week (10.7 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week resulted in a net position of -50,733 contracts in the data reported through Tuesday. This was a weekly boost of 4,191 contracts from the previous week which had a total of -54,924 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 82.4 percent. The commercials are Bearish-Extreme with a score of 13.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.7 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:	23.3	48.9	6.4
– Percent of Open Interest Shorts:	35.9	36.0	6.7
– Net Position:	-50,733	52,127	-1,394
– Gross Longs:	93,879	197,282	25,734
– Gross Shorts:	144,612	145,155	27,128
– 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):	82.4	13.2	88.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.6	-9.6	7.5

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week resulted in a net position of -208,979 contracts in the data reported through Tuesday. This was a weekly reduction of -1,740 contracts from the previous week which had a total of -207,239 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 33.6 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bearish with a score of 46.5 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:	10.2	76.2	11.3
– Percent of Open Interest Shorts:	19.6	67.0	11.0
– Net Position:	-208,979	202,437	6,542
– Gross Longs:	224,554	1,683,791	249,227
– Gross Shorts:	433,533	1,481,354	242,685
– 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):	33.6	67.8	46.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	33.6	-32.2	2.8

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week resulted in a net position of -18,585 contracts in the data reported through Tuesday. This was a weekly decrease of -5,503 contracts from the previous week which had a total of -13,082 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 21.3 percent. The commercials are Bullish with a score of 77.1 percent and the small traders (not shown in chart) are Bearish with a score of 30.5 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.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	23.7	63.1	12.2
– Percent of Open Interest Shorts:	42.7	41.2	15.0
– Net Position:	-18,585	21,325	-2,740
– Gross Longs:	23,205	61,658	11,959
– Gross Shorts:	41,790	40,333	14,699
– Long to Short Ratio:	0.6 to 1	1.5 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.3	77.1	30.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.5	-2.1	-9.6

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week resulted in a net position of 10,948 contracts in the data reported through Tuesday. This was a weekly increase of 5,490 contracts from the previous week which had a total of 5,458 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 83.5 percent. The commercials are Bearish-Extreme with a score of 17.5 percent and the small traders (not shown in chart) are Bearish with a score of 47.9 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: Hold – Maintain Long Position.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	29.1	52.7	15.5
– Percent of Open Interest Shorts:	24.9	55.8	16.6
– Net Position:	10,948	-8,013	-2,935
– Gross Longs:	75,622	136,668	40,206
– Gross Shorts:	64,674	144,681	43,141
– Long to Short Ratio:	1.2 to 1	0.9 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	83.5	17.5	47.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	1.4	-8.4	19.5

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week resulted in a net position of -65,873 contracts in the data reported through Tuesday. This was a weekly boost of 1,637 contracts from the previous week which had a total of -67,510 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 32.4 percent. The commercials are Bullish with a score of 67.3 percent and the small traders (not shown in chart) are Bearish with a score of 27.8 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.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.2	83.8	4.6
– Percent of Open Interest Shorts:	22.8	71.3	4.5
– Net Position:	-65,873	65,463	410
– Gross Longs:	53,492	438,843	24,054
– Gross Shorts:	119,365	373,380	23,644
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	32.4	67.3	27.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.7	-2.2	20.7

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week resulted in a net position of -3,871 contracts in the data reported through Tuesday. This was a weekly lift of 2,314 contracts from the previous week which had a total of -6,185 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 43.8 percent. The commercials are Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bullish with a score of 52.9 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: Hold – Maintain Long Position.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.8	62.8	28.4
– Percent of Open Interest Shorts:	32.5	51.0	16.4
– Net Position:	-3,871	1,916	1,955
– Gross Longs:	1,445	10,254	4,639
– Gross Shorts:	5,316	8,338	2,684
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	43.8	47.5	52.9
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.7	-22.9	9.3

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week resulted in a net position of -13,061 contracts in the data reported through Tuesday. This was a weekly fall of -1,318 contracts from the previous week which had a total of -11,743 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 28.3 percent. The commercials are Bullish with a score of 67.4 percent and the small traders (not shown in chart) are Bearish with a score of 47.6 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.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.1	89.3	2.9
– Percent of Open Interest Shorts:	10.5	87.5	1.3
– Net Position:	-13,061	6,926	6,135
– Gross Longs:	27,415	345,863	11,243
– Gross Shorts:	40,476	338,937	5,108
– Long to Short Ratio:	0.7 to 1	1.0 to 1	2.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.3	67.4	47.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.7	-7.9	4.9

 

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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.