COT Stock Market Charts: Speculator Bets led by VIX & S&P500

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 October 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 & S&P500-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 the VIX (18,642 contracts) with the S&P500-Mini (16,046 contracts), the MSCI EAFE-Mini (6,365 contracts), the Nasdaq-Mini (589 contracts) and the Nikkei 225 (567 contracts) also showing positive weeks.

The leading market with the declines in speculator bets this week was the DowJones-Mini (-10,829 contracts) with the Russell-Mini (-1,706 contracts) also recording lower bets on the week.

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Strength Scores led by VIX & Nikkei 225

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 (94 percent) and the Nikkei 225 (66 percent) lead the stock markets this week. The S&P500-Mini (54 percent) and Nikkei 225 Yen (43 percent) come in as the next highest in the weekly strength scores.

On the downside, the DowJones-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 (34 percent).

Strength Statistics:
VIX (94.0 percent) vs VIX previous week (80.4 percent)
S&P500-Mini (53.8 percent) vs S&P500-Mini previous week (51.4 percent)
DowJones-Mini (0.0 percent) vs DowJones-Mini previous week (26.0 percent)
Nasdaq-Mini (41.1 percent) vs Nasdaq-Mini previous week (40.2 percent)
Russell2000-Mini (34.0 percent) vs Russell2000-Mini previous week (35.0 percent)
Nikkei USD (66.4 percent) vs Nikkei USD previous week (62.4 percent)
EAFE-Mini (37.9 percent) vs EAFE-Mini previous week (31.7 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 (9 percent) leads the past six weeks trends for the stock markets. The Nikkei 225 (3 percent) and the MSCI EAFE-Mini (1 percent) are the next highest positive movers in the latest trends data.

The DowJones-Mini (-43 percent) leads the downside trend scores currently with the Nasdaq-Mini (-19 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-4.7 percent) vs VIX previous week (-19.6 percent)
S&P500-Mini (9.0 percent) vs S&P500-Mini previous week (4.3 percent)
DowJones-Mini (-42.6 percent) vs DowJones-Mini previous week (-44.2 percent)
Nasdaq-Mini (-19.1 percent) vs Nasdaq-Mini previous week (-6.7 percent)
Russell2000-Mini (-0.9 percent) vs Russell2000-Mini previous week (5.8 percent)
Nikkei USD (3.0 percent) vs Nikkei USD previous week (0.6 percent)
EAFE-Mini (0.5 percent) vs EAFE-Mini previous week (-1.8 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 -34,193 contracts in the data reported through Tuesday. This was a weekly rise of 18,642 contracts from the previous week which had a total of -52,835 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 94.0 percent. The commercials are Bearish-Extreme with a score of 6.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.6 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.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	24.9	46.7	6.4
– Percent of Open Interest Shorts:	33.8	36.1	8.1
– Net Position:	-34,193	40,533	-6,340
– Gross Longs:	94,830	178,112	24,423
– Gross Shorts:	129,023	137,579	30,763
– Long to Short Ratio:	0.7 to 1	1.3 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	94.0	6.5	63.6
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.7	6.5	-13.3

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week resulted in a net position of -73,235 contracts in the data reported through Tuesday. This was a weekly gain of 16,046 contracts from the previous week which had a total of -89,281 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 53.8 percent. The commercials are Bearish with a score of 46.3 percent and the small traders (not shown in chart) are Bearish with a score of 48.0 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.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.2	74.0	11.8
– Percent of Open Interest Shorts:	14.6	71.8	10.5
– Net Position:	-73,235	46,115	27,120
– Gross Longs:	239,442	1,582,012	252,547
– Gross Shorts:	312,677	1,535,897	225,427
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.8	46.3	48.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.0	-7.7	-1.8

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week resulted in a net position of -32,447 contracts in the data reported through Tuesday. This was a weekly decline of -10,829 contracts from the previous week which had a total of -21,618 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 93.8 percent and the small traders (not shown in chart) are Bullish with a score of 58.0 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.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.3	64.7	14.9
– Percent of Open Interest Shorts:	51.5	35.4	12.0
– Net Position:	-32,447	29,549	2,898
– Gross Longs:	19,480	65,200	15,041
– Gross Shorts:	51,927	35,651	12,143
– Long to Short Ratio:	0.4 to 1	1.8 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	93.8	58.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-42.6	35.7	0.6

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week resulted in a net position of 1,435 contracts in the data reported through Tuesday. This was a weekly boost of 589 contracts from the previous week which had a total of 846 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 41.1 percent. The commercials are Bearish with a score of 46.8 percent and the small traders (not shown in chart) are Bullish with a score of 58.6 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.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	25.9	57.9	15.1
– Percent of Open Interest Shorts:	25.4	57.2	16.3
– Net Position:	1,435	1,646	-3,081
– Gross Longs:	66,087	147,544	38,421
– Gross Shorts:	64,652	145,898	41,502
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	41.1	46.8	58.6
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.1	20.5	-8.5

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week resulted in a net position of -63,308 contracts in the data reported through Tuesday. This was a weekly decrease of -1,706 contracts from the previous week which had a total of -61,602 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 34.0 percent. The commercials are Bullish with a score of 65.6 percent and the small traders (not shown in chart) are Bearish with a score of 29.3 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: New Sell – Short Position.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.5	83.7	5.3
– Percent of Open Interest Shorts:	22.5	70.8	5.1
– Net Position:	-63,308	62,415	893
– Gross Longs:	46,209	406,775	25,724
– Gross Shorts:	109,517	344,360	24,831
– 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):	34.0	65.6	29.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.9	2.8	-10.9

 

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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 -43 contracts in the data reported through Tuesday. This was a weekly rise of 567 contracts from the previous week which had a total of -610 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 66.4 percent. The commercials are Bearish with a score of 29.4 percent and the small traders (not shown in chart) are Bearish with a score of 42.2 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.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.5	62.2	23.3
– Percent of Open Interest Shorts:	14.8	68.7	16.6
– Net Position:	-43	-1,058	1,101
– Gross Longs:	2,373	10,185	3,818
– Gross Shorts:	2,416	11,243	2,717
– 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):	66.4	29.4	42.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.0	-2.7	0.3

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week resulted in a net position of -18,963 contracts in the data reported through Tuesday. This was a weekly boost of 6,365 contracts from the previous week which had a total of -25,328 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 37.9 percent. The commercials are Bullish with a score of 62.4 percent and the small traders (not shown in chart) are Bearish with a score of 34.7 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:	8.7	87.9	2.9
– Percent of Open Interest Shorts:	13.6	83.9	2.0
– Net Position:	-18,963	15,418	3,545
– Gross Longs:	34,410	345,966	11,231
– Gross Shorts:	53,373	330,548	7,686
– Long to Short Ratio:	0.6 to 1	1.0 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	37.9	62.4	34.7
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.5	0.9	-7.2

 

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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.