Stock Market Charts: Weekly Speculator Changes led lower by MSCI EAFE-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 Tuesday September 5th 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 Nikkei 225

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

Leading the gains for the stock markets was the Nikkei 225 with a small gain of 591 contracts.

The markets with the declines in speculator bets this week were MSCI EAFE-Mini (-11,282 contracts) with the VIX (-8,940 contracts), the Russell-Mini (-4,833 contracts), the Nasdaq-Mini (-2,612 contracts), the S&P500-Mini (-2,105 contracts) and the DowJones-Mini (-1,724 contracts) also registering lower bets on the week.

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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 (88 percent) and the Nasdaq-Mini (85 percent) lead the stock markets this week. The Nikkei 225 (68 percent) comes in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (0 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 Russell-Mini (29 percent).

Strength Statistics:
VIX (87.8 percent) vs VIX previous week (94.3 percent)
S&P500-Mini (43.2 percent) vs S&P500-Mini previous week (43.6 percent)
DowJones-Mini (40.7 percent) vs DowJones-Mini previous week (45.6 percent)
Nasdaq-Mini (85.0 percent) vs Nasdaq-Mini previous week (86.5 percent)
Russell2000-Mini (28.9 percent) vs Russell2000-Mini previous week (31.8 percent)
Nikkei USD (68.2 percent) vs Nikkei USD previous week (64.3 percent)
EAFE-Mini (0.0 percent) vs EAFE-Mini previous week (13.5 percent)

 

Nikkei 225 & Nasdaq-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 Nikkei 225 (16 percent) leads the past six weeks trends for the stock markets. The Nasdaq-Mini (14 percent) and the S&P500-Mini (13 percent) are the next highest positive movers in the latest trends data.

The DowJones-Mini (-37 percent) leads the downside trend scores currently with the EAFE-Mini (-8.5 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-0.4 percent) vs VIX previous week (4.7 percent)
S&P500-Mini (13.2 percent) vs S&P500-Mini previous week (18.1 percent)
DowJones-Mini (-37.2 percent) vs DowJones-Mini previous week (-8.1 percent)
Nasdaq-Mini (13.9 percent) vs Nasdaq-Mini previous week (8.6 percent)
Russell2000-Mini (-1.8 percent) vs Russell2000-Mini previous week (-0.7 percent)
Nikkei USD (16.0 percent) vs Nikkei USD previous week (13.9 percent)
EAFE-Mini (-8.5 percent) vs EAFE-Mini previous week (-7.1 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week recorded a net position of -42,726 contracts in the data reported through Tuesday. This was a weekly decrease of -8,940 contracts from the previous week which had a total of -33,786 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 87.8 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 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:	25.3	45.8	6.6
– Percent of Open Interest Shorts:	36.0	34.8	7.0
– Net Position:	-42,726	44,265	-1,539
– Gross Longs:	101,854	184,112	26,430
– Gross Shorts:	144,580	139,847	27,969
– Long to Short Ratio:	0.7 to 1	1.3 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	87.8	9.1	88.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.4	-1.5	13.7

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week recorded a net position of -144,211 contracts in the data reported through Tuesday. This was a weekly decrease of -2,105 contracts from the previous week which had a total of -142,106 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 43.2 percent. The commercials are Bullish with a score of 56.9 percent and the small traders (not shown in chart) are Bearish with a score of 45.8 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.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.9	75.0	11.4
– Percent of Open Interest Shorts:	17.2	69.5	10.5
– Net Position:	-144,211	123,567	20,644
– Gross Longs:	245,378	1,693,540	256,870
– Gross Shorts:	389,589	1,569,973	236,226
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	43.2	56.9	45.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	13.2	-12.7	1.4

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week recorded a net position of -11,724 contracts in the data reported through Tuesday. This was a weekly decrease of -1,724 contracts from the previous week which had a total of -10,000 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 40.7 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.2 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:	23.7	57.3	15.5
– Percent of Open Interest Shorts:	36.2	46.5	13.9
– Net Position:	-11,724	10,223	1,501
– Gross Longs:	22,245	53,865	14,590
– Gross Shorts:	33,969	43,642	13,089
– Long to Short Ratio:	0.7 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	40.7	54.6	51.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-37.2	20.3	15.4

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week recorded a net position of 13,550 contracts in the data reported through Tuesday. This was a weekly decline of -2,612 contracts from the previous week which had a total of 16,162 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 85.0 percent. The commercials are Bearish-Extreme with a score of 19.0 percent and the small traders (not shown in chart) are Bearish with a score of 38.7 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:	27.0	56.2	13.8
– Percent of Open Interest Shorts:	22.0	58.3	16.7
– Net Position:	13,550	-5,696	-7,854
– Gross Longs:	74,040	154,346	38,035
– Gross Shorts:	60,490	160,042	45,889
– Long to Short Ratio:	1.2 to 1	1.0 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	85.0	19.0	38.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	13.9	-8.6	-20.3

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week recorded a net position of -71,711 contracts in the data reported through Tuesday. This was a weekly lowering of -4,833 contracts from the previous week which had a total of -66,878 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 28.9 percent. The commercials are Bullish with a score of 70.2 percent and the small traders (not shown in chart) are Bearish with a score of 29.4 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.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.9	83.3	5.2
– Percent of Open Interest Shorts:	23.9	69.5	5.1
– Net Position:	-71,711	70,806	905
– Gross Longs:	50,897	426,554	26,844
– Gross Shorts:	122,608	355,748	25,939
– 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):	28.9	70.2	29.4
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.8	4.0	-13.1

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week recorded a net position of -142 contracts in the data reported through Tuesday. This was a weekly lift of 591 contracts from the previous week which had a total of -733 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 68.2 percent. The commercials are Bearish with a score of 28.6 percent and the small traders (not shown in chart) are Bearish with a score of 45.2 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:	16.3	62.9	18.0
– Percent of Open Interest Shorts:	16.8	67.8	12.6
– Net Position:	-142	-1,199	1,341
– Gross Longs:	4,015	15,537	4,453
– Gross Shorts:	4,157	16,736	3,112
– Long to Short Ratio:	1.0 to 1	0.9 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	68.2	28.6	45.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	16.0	-18.3	6.8

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week recorded a net position of -38,079 contracts in the data reported through Tuesday. This was a weekly decrease of -11,282 contracts from the previous week which had a total of -26,797 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 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish with a score of 35.7 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:	6.1	90.7	2.5
– Percent of Open Interest Shorts:	15.9	81.9	1.5
– Net Position:	-38,079	34,346	3,733
– Gross Longs:	23,910	354,137	9,687
– Gross Shorts:	61,989	319,791	5,954
– Long to Short Ratio:	0.4 to 1	1.1 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	35.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.5	13.0	-18.4

 

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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.