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 25th 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 slightly 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.
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Leading the gains for the stock markets was the S&P500-Mini (48,863 contracts) with the Nasdaq-Mini (11,220 contracts), the Russell-Mini (7,827 contracts) and the Nikkei 225 (288 contracts) also showing positive weeks.
The markets with the declines in speculator bets this week were the VIX (-11,606 contracts) with the MSCI EAFE-Mini (-2,331 contracts) and the DowJones-Mini (-2,038 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 (59 percent) leads the stock markets this week. The S&P500-Mini (55 percent) and Nasdaq-Mini (51 percent) come in as the next highest in the weekly strength scores.
On the downside, the Nikkei 225 (38 percent) comes in at the lowest strength level currently with the next lowest strength score is the MSCI EAFE-Mini (41 percent).
Strength Statistics:
VIX (49.1 percent) vs VIX previous week (61.6 percent)
S&P500-Mini (55.0 percent) vs S&P500-Mini previous week (47.7 percent)
DowJones-Mini (59.5 percent) vs DowJones-Mini previous week (62.8 percent)
Nasdaq-Mini (50.6 percent) vs Nasdaq-Mini previous week (33.2 percent)
Russell2000-Mini (49.6 percent) vs Russell2000-Mini previous week (44.1 percent)
Nikkei USD (38.4 percent) vs Nikkei USD previous week (35.9 percent)
EAFE-Mini (40.7 percent) vs EAFE-Mini previous week (43.1 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Nasdaq-Mini (7 percent) leads the past six weeks trends for the stock markets. The MSCI EAFE-Mini (3 percent) was the next highest positive movers in the latest trends data.
The DowJones-Mini (-26 percent) leads the downside trend scores currently with the Nikkei USD (-18 percent) coming in as the next market with lower trend scores.
Strength Trend Statistics:
VIX (-14.0 percent) vs VIX previous week (-11.4 percent)
S&P500-Mini (-6.0 percent) vs S&P500-Mini previous week (-15.6 percent)
DowJones-Mini (-26.5 percent) vs DowJones-Mini previous week (-11.6 percent)
Nasdaq-Mini (6.5 percent) vs Nasdaq-Mini previous week (-12.8 percent)
Russell2000-Mini (-12.7 percent) vs Russell2000-Mini previous week (-14.1 percent)
Nikkei USD (-18.3 percent) vs Nikkei USD previous week (-15.2 percent)
EAFE-Mini (2.7 percent) vs EAFE-Mini previous week (-8.8 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 Bearish with a score of 49.1 percent. The commercials are Bearish with a score of 49.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.7 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: Hold – Maintain Short Position.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 18.6 | 45.7 | 6.5 |
| – Percent of Open Interest Shorts: | 33.3 | 30.4 | 7.1 |
| – Net Position: | -61,035 | 63,589 | -2,554 |
| – Gross Longs: | 76,905 | 189,466 | 27,000 |
| – Gross Shorts: | 137,940 | 125,877 | 29,554 |
| – Long to Short Ratio: | 0.6 to 1 | 1.5 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 49.1 | 49.4 | 80.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.0 | 17.3 | -13.4 |
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 with a score of 55.0 percent. The commercials are Bearish with a score of 33.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.1 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: | 13.8 | 70.9 | 13.5 |
| – Percent of Open Interest Shorts: | 17.1 | 73.2 | 7.9 |
| – Net Position: | -65,247 | -46,099 | 111,346 |
| – Gross Longs: | 271,908 | 1,400,848 | 266,961 |
| – Gross Shorts: | 337,155 | 1,446,947 | 155,615 |
| – Long to Short Ratio: | 0.8 to 1 | 1.0 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.0 | 33.5 | 83.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -6.0 | 3.7 | 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 59.5 percent. The commercials are Bearish with a score of 36.3 percent and the small traders (not shown in chart) are Bullish with a score of 57.1 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: | 19.1 | 60.6 | 16.0 |
| – Percent of Open Interest Shorts: | 19.7 | 62.2 | 13.8 |
| – Net Position: | -514 | -1,345 | 1,859 |
| – Gross Longs: | 16,170 | 51,415 | 13,578 |
| – Gross Shorts: | 16,684 | 52,760 | 11,719 |
| – Long to Short Ratio: | 1.0 to 1 | 1.0 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 59.5 | 36.3 | 57.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -26.5 | 25.9 | -8.1 |
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 50.6 percent. The commercials are Bearish with a score of 32.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.4 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: | 27.5 | 52.7 | 16.7 |
| – Percent of Open Interest Shorts: | 24.5 | 60.1 | 12.2 |
| – Net Position: | 7,395 | -18,260 | 10,865 |
| – Gross Longs: | 67,869 | 129,886 | 41,034 |
| – Gross Shorts: | 60,474 | 148,146 | 30,169 |
| – Long to Short Ratio: | 1.1 to 1 | 0.9 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 50.6 | 32.5 | 96.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.5 | -7.9 | 7.2 |
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 Bearish with a score of 49.6 percent. The commercials are Bearish with a score of 48.5 percent and the small traders (not shown in chart) are Bullish with a score of 50.4 percent.
Our weekly trend-following model classifies the current market price position as: Weak 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: | 14.3 | 78.1 | 6.2 |
| – Percent of Open Interest Shorts: | 26.3 | 67.7 | 4.7 |
| – Net Position: | -50,021 | 43,649 | 6,372 |
| – Gross Longs: | 59,883 | 327,132 | 26,052 |
| – Gross Shorts: | 109,904 | 283,483 | 19,680 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 49.6 | 48.5 | 50.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.7 | 13.0 | -8.0 |
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 38.4 percent. The commercials are Bullish with a score of 53.8 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 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.
| Nikkei Stock Average Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.4 | 67.5 | 27.1 |
| – Percent of Open Interest Shorts: | 41.6 | 38.6 | 19.8 |
| – Net Position: | -4,901 | 3,918 | 983 |
| – Gross Longs: | 734 | 9,151 | 3,667 |
| – Gross Shorts: | 5,635 | 5,233 | 2,684 |
| – Long to Short Ratio: | 0.1 to 1 | 1.7 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 38.4 | 53.8 | 53.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.3 | 18.0 | -7.1 |
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 55.4 percent and the small traders (not shown in chart) are Bullish with a score of 51.6 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.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.6 | 89.2 | 2.8 |
| – Percent of Open Interest Shorts: | 13.6 | 84.9 | 1.1 |
| – Net Position: | -24,818 | 17,870 | 6,948 |
| – Gross Longs: | 31,609 | 369,935 | 11,558 |
| – Gross Shorts: | 56,427 | 352,065 | 4,610 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 2.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 40.7 | 55.4 | 51.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.7 | -3.4 | 3.6 |
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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