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 January 16th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.
The COT stock markets speculator bets were lower this week as just one out of the seven stock markets we cover had higher positioning while the other six markets had lower speculator contracts.
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Leading the gains for the stock markets was the VIX with a small gain of 409 contracts for the week.
The markets with the declines in speculator bets this week were the S&P500-Mini (-52,197 contracts), the Russell-Mini (-6,767 contracts), the DowJones-Mini (-6,692 contracts), the Nikkei 225 (-1,820 contracts), the MSCI EAFE-Mini (-969 contracts) and the Nasdaq-Mini (-205 contracts) also showing lower bets on the week.
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)
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 (95 percent), the Russell-Mini (95 percent), the DowJones-Mini (89 percent) and the VIX (80 percent) lead the stock markets this week.
On the downside, the MSCI EAFE-Mini (35 percent) and the Nikkei 225 (35 percent) come in at the lowest strength level currently.
Strength Statistics:
VIX (80.0 percent) vs VIX previous week (79.8 percent)
S&P500-Mini (39.5 percent) vs S&P500-Mini previous week (47.3 percent)
DowJones-Mini (89.1 percent) vs DowJones-Mini previous week (100.0 percent)
Nasdaq-Mini (95.2 percent) vs Nasdaq-Mini previous week (95.6 percent)
Russell2000-Mini (95.2 percent) vs Russell2000-Mini previous week (100.0 percent)
Nikkei USD (34.8 percent) vs Nikkei USD previous week (47.7 percent)
EAFE-Mini (35.3 percent) vs EAFE-Mini previous week (36.3 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Russell-Mini (49 percent) leads the past six weeks trends for the stock markets. The Nasdaq-Mini (43 percent), the DowJones-Mini (28 percent) and the MSCI EAFE-Mini (20 percent) are the next highest positive movers in the latest trends data.
The Nikkei 225 (-20 percent) leads the downside trend scores currently followed by the S&P500-Mini (-18 percent).
Strength Trend Statistics:
VIX (8.7 percent) vs VIX previous week (2.3 percent)
S&P500-Mini (-18.2 percent) vs S&P500-Mini previous week (-7.8 percent)
DowJones-Mini (27.9 percent) vs DowJones-Mini previous week (79.6 percent)
Nasdaq-Mini (43.4 percent) vs Nasdaq-Mini previous week (45.4 percent)
Russell2000-Mini (49.4 percent) vs Russell2000-Mini previous week (54.3 percent)
Nikkei USD (-19.7 percent) vs Nikkei USD previous week (-2.1 percent)
EAFE-Mini (20.5 percent) vs EAFE-Mini previous week (34.1 percent)
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 80.0 percent. The commercials are Bearish-Extreme with a score of 19.4 percent and the small traders (not shown in chart) are Bullish with a score of 72.6 percent.
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: | 19.7 | 47.6 | 7.3 |
| – Percent of Open Interest Shorts: | 31.9 | 34.2 | 8.6 |
| – Net Position: | -43,760 | 48,439 | -4,679 |
| – Gross Longs: | 70,938 | 171,136 | 26,368 |
| – Gross Shorts: | 114,698 | 122,697 | 31,047 |
| – Long to Short Ratio: | 0.6 to 1 | 1.4 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 80.0 | 19.4 | 72.6 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 8.7 | -6.1 | -18.3 |
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 39.5 percent. The commercials are Bullish with a score of 54.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.7 percent.
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: | 11.7 | 73.6 | 11.9 |
| – Percent of Open Interest Shorts: | 19.4 | 69.0 | 8.9 |
| – Net Position: | -169,246 | 102,434 | 66,812 |
| – Gross Longs: | 260,119 | 1,632,215 | 263,465 |
| – Gross Shorts: | 429,365 | 1,529,781 | 196,653 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 39.5 | 54.0 | 63.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.2 | 14.1 | 7.7 |
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 89.1 percent. The commercials are Bearish-Extreme with a score of 11.5 percent and the small traders (not shown in chart) are Bearish with a score of 45.0 percent.
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: | 33.3 | 50.1 | 14.6 |
| – Percent of Open Interest Shorts: | 15.6 | 68.0 | 14.4 |
| – Net Position: | 17,387 | -17,616 | 229 |
| – Gross Longs: | 32,708 | 49,137 | 14,319 |
| – Gross Shorts: | 15,321 | 66,753 | 14,090 |
| – Long to Short Ratio: | 2.1 to 1 | 0.7 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 89.1 | 11.5 | 45.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 27.9 | -30.1 | 16.4 |
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 95.2 percent. The commercials are Bearish-Extreme with a score of 9.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.4 percent.
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: | 30.6 | 54.8 | 14.0 |
| – Percent of Open Interest Shorts: | 17.2 | 69.0 | 13.2 |
| – Net Position: | 36,571 | -38,733 | 2,162 |
| – Gross Longs: | 83,692 | 149,969 | 38,187 |
| – Gross Shorts: | 47,121 | 188,702 | 36,025 |
| – Long to Short Ratio: | 1.8 to 1 | 0.8 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 95.2 | 9.5 | 83.4 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 43.4 | -27.7 | -8.2 |
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 95.2 percent. The commercials are Bearish-Extreme with a score of 5.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.1 percent.
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.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 18.2 | 74.9 | 6.3 |
| – Percent of Open Interest Shorts: | 15.3 | 79.7 | 4.4 |
| – Net Position: | 14,245 | -23,482 | 9,237 |
| – Gross Longs: | 89,004 | 366,952 | 30,721 |
| – Gross Shorts: | 74,759 | 390,434 | 21,484 |
| – Long to Short Ratio: | 1.2 to 1 | 0.9 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 95.2 | 5.4 | 60.1 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 49.4 | -47.7 | 15.9 |
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 34.8 percent. The commercials are Bullish with a score of 56.1 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.
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: | 11.7 | 67.6 | 20.7 |
| – Percent of Open Interest Shorts: | 37.0 | 48.9 | 14.1 |
| – Net Position: | -4,478 | 3,317 | 1,161 |
| – Gross Longs: | 2,076 | 11,981 | 3,669 |
| – Gross Shorts: | 6,554 | 8,664 | 2,508 |
| – Long to Short Ratio: | 0.3 to 1 | 1.4 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 34.8 | 56.1 | 55.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -19.7 | 13.9 | 8.3 |
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 35.3 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 44.0 percent.
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.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.0 | 89.5 | 3.2 |
| – Percent of Open Interest Shorts: | 14.0 | 83.7 | 2.0 |
| – Net Position: | -30,095 | 24,686 | 5,409 |
| – Gross Longs: | 29,826 | 381,532 | 13,776 |
| – Gross Shorts: | 59,921 | 356,846 | 8,367 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 35.3 | 62.4 | 44.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 20.5 | -20.8 | 2.4 |
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.
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