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 June 4th 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 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.
Free Reports:
Leading the gains for the stock markets was with the MSCI EAFE-Mini (13,955 contracts), the Nasdaq-Mini (5,723 contracts), the VIX (1,469 contracts) and the Nikkei 225 (73 contracts) also showing positive weeks.
The markets with the declines in speculator bets this week were the S&P500-Mini (-62,792 contracts), the DowJones-Mini (-4,858 contracts) and with the Russell-Mini (-510 contracts) also registering 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 DowJones-Mini (74 percent) and the VIX (70 percent) lead the stock markets this week. The Nikkei 225 (67 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Nasdaq-Mini (42 percent) comes in at the lowest strength level currently.
Strength Statistics:
VIX (70.4 percent) vs VIX previous week (68.9 percent)
S&P500-Mini (55.0 percent) vs S&P500-Mini previous week (64.4 percent)
DowJones-Mini (73.8 percent) vs DowJones-Mini previous week (81.7 percent)
Nasdaq-Mini (42.3 percent) vs Nasdaq-Mini previous week (33.4 percent)
Russell2000-Mini (60.7 percent) vs Russell2000-Mini previous week (61.1 percent)
Nikkei USD (66.8 percent) vs Nikkei USD previous week (66.2 percent)
EAFE-Mini (55.6 percent) vs EAFE-Mini previous week (41.2 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the DowJones-Mini (2 percent) and the Russell-Mini (1 percent) lead the past six weeks and are the only positive movers in the latest trends data.
The VIX (-25 percent) leads the downside trend scores currently with the S&P500-Mini (-20 percent) coming in as the next market with the lowest trend score.
Strength Trend Statistics:
VIX (-25.2 percent) vs VIX previous week (-21.9 percent)
S&P500-Mini (-19.8 percent) vs S&P500-Mini previous week (-11.4 percent)
DowJones-Mini (2.3 percent) vs DowJones-Mini previous week (-0.9 percent)
Nasdaq-Mini (-6.4 percent) vs Nasdaq-Mini previous week (-19.0 percent)
Russell2000-Mini (1.2 percent) vs Russell2000-Mini previous week (3.3 percent)
Nikkei USD (-1.5 percent) vs Nikkei USD previous week (-6.7 percent)
EAFE-Mini (-7.0 percent) vs EAFE-Mini previous week (-19.4 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 with a score of 70.4 percent. The commercials are Bearish with a score of 25.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.8 percent.
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.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.8 | 39.6 | 7.2 |
| – Percent of Open Interest Shorts: | 32.6 | 29.6 | 7.4 |
| – Net Position: | -41,275 | 41,985 | -710 |
| – Gross Longs: | 95,865 | 166,555 | 30,228 |
| – Gross Shorts: | 137,140 | 124,570 | 30,938 |
| – Long to Short Ratio: | 0.7 to 1 | 1.3 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 70.4 | 25.6 | 89.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.2 | 20.4 | 23.5 |
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 55.0 percent. The commercials are Bearish with a score of 33.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.6 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: | 12.3 | 71.0 | 13.3 |
| – Percent of Open Interest Shorts: | 15.3 | 73.2 | 8.1 |
| – Net Position: | -65,000 | -47,092 | 112,092 |
| – Gross Longs: | 265,433 | 1,534,557 | 287,673 |
| – Gross Shorts: | 330,433 | 1,581,649 | 175,581 |
| – Long to Short Ratio: | 0.8 to 1 | 1.0 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.0 | 33.4 | 81.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -19.8 | 19.7 | -4.0 |
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 73.8 percent. The commercials are Bearish with a score of 23.4 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.
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: | 20.9 | 58.3 | 14.2 |
| – Percent of Open Interest Shorts: | 12.6 | 68.5 | 12.3 |
| – Net Position: | 8,286 | -10,195 | 1,909 |
| – Gross Longs: | 21,008 | 58,709 | 14,251 |
| – Gross Shorts: | 12,722 | 68,904 | 12,342 |
| – Long to Short Ratio: | 1.7 to 1 | 0.9 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 73.8 | 23.4 | 53.2 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.3 | -3.6 | 5.0 |
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 42.3 percent. The commercials are Bearish with a score of 38.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.8 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: | 24.4 | 56.4 | 17.6 |
| – Percent of Open Interest Shorts: | 23.6 | 61.7 | 13.1 |
| – Net Position: | 1,997 | -13,027 | 11,030 |
| – Gross Longs: | 60,252 | 139,142 | 43,392 |
| – Gross Shorts: | 58,255 | 152,169 | 32,362 |
| – Long to Short Ratio: | 1.0 to 1 | 0.9 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 42.3 | 38.2 | 96.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -6.4 | 6.0 | -3.2 |
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 with a score of 60.7 percent. The commercials are Bearish with a score of 36.8 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.
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: | 18.3 | 72.9 | 6.4 |
| – Percent of Open Interest Shorts: | 25.7 | 67.5 | 4.5 |
| – Net Position: | -34,355 | 25,469 | 8,886 |
| – Gross Longs: | 86,068 | 342,253 | 29,881 |
| – Gross Shorts: | 120,423 | 316,784 | 20,995 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 60.7 | 36.8 | 58.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.2 | -3.0 | 9.9 |
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 Bullish with a score of 66.8 percent. The commercials are Bearish with a score of 25.6 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 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.
| Nikkei Stock Average Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.0 | 63.8 | 23.9 |
| – Percent of Open Interest Shorts: | 20.0 | 64.6 | 13.1 |
| – Net Position: | -1,563 | -128 | 1,691 |
| – Gross Longs: | 1,569 | 9,996 | 3,740 |
| – Gross Shorts: | 3,132 | 10,124 | 2,049 |
| – Long to Short Ratio: | 0.5 to 1 | 1.0 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 66.8 | 25.6 | 65.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.5 | -1.0 | 5.3 |
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 Bullish with a score of 55.6 percent. The commercials are Bearish with a score of 41.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.8 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: | 7.2 | 89.4 | 2.9 |
| – Percent of Open Interest Shorts: | 9.7 | 88.4 | 1.3 |
| – Net Position: | -10,414 | 3,828 | 6,586 |
| – Gross Longs: | 29,922 | 369,758 | 11,866 |
| – Gross Shorts: | 40,336 | 365,930 | 5,280 |
| – 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): | 55.6 | 41.0 | 49.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.0 | 5.7 | 6.0 |
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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