COT Stock Market Charts: Speculator Bets led by S&P500-Mini & MSCI EAFE-Mini

September 30, 2023

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 September 26th 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 S&P500-Mini & MSCI EAFE-Mini

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


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Leading the gains for the stock markets was the S&P500-Mini (49,710 contracts) with the MSCI EAFE-Mini (4,923 contracts) and the Russell-Mini (1,959 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the VIX (-24,019 contracts) with the DowJones-Mini (-3,849 contracts), the Nasdaq-Mini (-2,348 contracts) and the Nikkei 225 (-196 contracts) also registering lower bets on the week.


Data Snapshot of Stock Market Traders | Columns Legend
Sep-26-2023 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
S&P500-Mini 2,137,648 15 -89,281 51 65,622 49 23,659 47
Nikkei 225 15,483 15 -610 62 -1,200 29 1,810 51
Nasdaq-Mini 241,018 29 846 66 -992 36 146 66
DowJones-Mini 92,551 51 -21,618 13 19,472 73 2,146 54
VIX 384,930 64 -52,835 80 58,631 19 -5,796 66
Nikkei 225 Yen 53,690 42 10,779 67 7,032 30 -17,811 49

 


Strength Scores led by VIX & Nasdaq-Mini

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 VIX (80 percent) currently leads the stock markets this week and is in Extreme-Bullish territory (above 80 percent). The Nasdaq-Mini (66 percent) and Nikkei 225 (62 percent) come in as the next highest in the weekly strength scores.

On the downside, the DowJones-Mini (13 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score is the MSCI EAFE-Mini (32 percent).

Strength Statistics:
VIX (80.4 percent) vs VIX previous week (97.9 percent)
S&P500-Mini (51.4 percent) vs S&P500-Mini previous week (44.0 percent)
DowJones-Mini (12.7 percent) vs DowJones-Mini previous week (23.6 percent)
Nasdaq-Mini (66.2 percent) vs Nasdaq-Mini previous week (68.2 percent)
Russell2000-Mini (35.0 percent) vs Russell2000-Mini previous week (33.8 percent)
Nikkei USD (62.4 percent) vs Nikkei USD previous week (63.8 percent)
EAFE-Mini (31.7 percent) vs EAFE-Mini previous week (27.0 percent)

 

Russell-Mini tops the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Russell-Mini (6 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (4 percent) and the Nikkei 225 (1 percent) are the next highest positive movers in the latest trends data.

The DowJones-Mini (-52 percent) leads the downside trend scores currently with the VIX (-20 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-19.6 percent) vs VIX previous week (11.4 percent)
S&P500-Mini (4.3 percent) vs S&P500-Mini previous week (3.1 percent)
DowJones-Mini (-52.1 percent) vs DowJones-Mini previous week (-61.7 percent)
Nasdaq-Mini (-3.8 percent) vs Nasdaq-Mini previous week (12.3 percent)
Russell2000-Mini (5.8 percent) vs Russell2000-Mini previous week (0.6 percent)
Nikkei USD (0.6 percent) vs Nikkei USD previous week (1.8 percent)
EAFE-Mini (-1.8 percent) vs EAFE-Mini previous week (-7.1 percent)


Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week reached a net position of -52,835 contracts in the data reported through Tuesday. This was a weekly lowering of -24,019 contracts from the previous week which had a total of -28,816 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 80.4 percent. The commercials are Bearish-Extreme with a score of 19.3 percent and the small traders (not shown in chart) are Bullish with a score of 66.4 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.

VIX Volatility Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.4 47.2 6.4
– Percent of Open Interest Shorts: 36.2 32.0 7.9
– Net Position: -52,835 58,631 -5,796
– Gross Longs: 86,408 181,651 24,727
– Gross Shorts: 139,243 123,020 30,523
– 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): 80.4 19.3 66.4
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -19.6 19.2 -0.9

 


S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week reached a net position of -89,281 contracts in the data reported through Tuesday. This was a weekly lift of 49,710 contracts from the previous week which had a total of -138,991 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 51.4 percent. The commercials are Bearish with a score of 49.0 percent and the small traders (not shown in chart) are Bearish with a score of 46.6 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.

S&P500 Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.4 73.0 11.8
– Percent of Open Interest Shorts: 16.6 69.9 10.7
– Net Position: -89,281 65,622 23,659
– Gross Longs: 266,095 1,560,014 251,580
– Gross Shorts: 355,376 1,494,392 227,921
– Long to Short Ratio: 0.7 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 51.4 49.0 46.6
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.3 -4.2 0.6

 


Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week reached a net position of -21,618 contracts in the data reported through Tuesday. This was a weekly lowering of -3,849 contracts from the previous week which had a total of -17,769 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-Extreme with a score of 12.7 percent. The commercials are Bullish with a score of 73.3 percent and the small traders (not shown in chart) are Bullish with a score of 54.4 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.

Dow Jones Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.7 62.3 15.7
– Percent of Open Interest Shorts: 43.1 41.3 13.4
– Net Position: -21,618 19,472 2,146
– Gross Longs: 18,237 57,681 14,570
– Gross Shorts: 39,855 38,209 12,424
– Long to Short Ratio: 0.5 to 1 1.5 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 12.7 73.3 54.4
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -52.1 33.7 8.8

 


Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week reached a net position of 846 contracts in the data reported through Tuesday. This was a weekly decline of -2,348 contracts from the previous week which had a total of 3,194 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 66.2 percent. The commercials are Bearish with a score of 35.8 percent and the small traders (not shown in chart) are Bullish with a score of 66.0 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.

Nasdaq Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 24.2 58.2 16.6
– Percent of Open Interest Shorts: 23.8 58.6 16.5
– Net Position: 846 -992 146
– Gross Longs: 58,307 140,156 39,946
– Gross Shorts: 57,461 141,148 39,800
– Long to Short Ratio: 1.0 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 66.2 35.8 66.0
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.8 3.9 1.4

 


Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week reached a net position of -61,602 contracts in the data reported through Tuesday. This was a weekly rise of 1,959 contracts from the previous week which had a total of -63,561 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 35.0 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bearish with a score of 33.8 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.

Russell 2000 Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.7 85.2 5.4
– Percent of Open Interest Shorts: 21.0 72.4 4.9
– Net Position: -61,602 59,276 2,326
– Gross Longs: 35,566 393,907 24,965
– Gross Shorts: 97,168 334,631 22,639
– Long to Short Ratio: 0.4 to 1 1.2 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 35.0 63.8 33.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 5.8 -4.8 -3.5

 


Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week reached a net position of -610 contracts in the data reported through Tuesday. This was a weekly reduction of -196 contracts from the previous week which had a total of -414 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 62.4 percent. The commercials are Bearish with a score of 28.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.1 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.

Nikkei Stock Average Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.6 67.1 24.4
– Percent of Open Interest Shorts: 12.5 74.8 12.7
– Net Position: -610 -1,200 1,810
– Gross Longs: 1,325 10,385 3,773
– Gross Shorts: 1,935 11,585 1,963
– Long to Short Ratio: 0.7 to 1 0.9 to 1 1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 62.4 28.6 51.1
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.6 -3.7 6.5

 


MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week reached a net position of -25,328 contracts in the data reported through Tuesday. This was a weekly gain of 4,923 contracts from the previous week which had a total of -30,251 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 31.7 percent. The commercials are Bullish with a score of 69.6 percent and the small traders (not shown in chart) are Bearish with a score of 29.5 percent.

Price Trend-Following Model: Strong Downtrend

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

MSCI EAFE Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.5 89.4 2.2
– Percent of Open Interest Shorts: 14.1 83.5 1.6
– Net Position: -25,328 22,834 2,494
– Gross Longs: 29,019 344,909 8,675
– Gross Shorts: 54,347 322,075 6,181
– Long to Short Ratio: 0.5 to 1 1.1 to 1 1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 31.7 69.6 29.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.8 5.8 -20.7

 


Article By InvestMacroReceive our weekly COT Newsletter

See our Weekly Trend Model Readings and Actions for each COT Futures Market and Category. All information contained in this data are for general informational purposes only and do not constitute investment advice.

*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.

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