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 10th 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 VIX (10,778 contracts) with the Russell-Mini (5,467 contracts), the DowJones-Mini (1,032 contracts) and the Nikkei 225 (473 contracts) also seeing positive weeks.
The markets with the declines in speculator bets this week were the S&P500-Mini (-10,569 contracts), the MSCI EAFE-Mini (-3,213 contracts) and with the Nasdaq-Mini (-362 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 VIX (99 percent) and the Russell-Mini (89 percent) lead the stock markets this week. The Nasdaq-Mini (79 percent) and DowJones-Mini (74 percent) come in as the next highest in the weekly strength scores.
On the downside, the MSCI EAFE-Mini (37 percent) comes in at the lowest strength level currently and the only market below a 50 percent strength score.
Strength Statistics:
VIX (98.8 percent) vs VIX previous week (87.1 percent)
S&P500-Mini (55.9 percent) vs S&P500-Mini previous week (57.5 percent)
DowJones-Mini (73.6 percent) vs DowJones-Mini previous week (71.9 percent)
Nasdaq-Mini (78.9 percent) vs Nasdaq-Mini previous week (79.4 percent)
Russell2000-Mini (89.2 percent) vs Russell2000-Mini previous week (85.3 percent)
Nikkei USD (63.4 percent) vs Nikkei USD previous week (59.4 percent)
EAFE-Mini (37.4 percent) vs EAFE-Mini previous week (40.8 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the VIX (37 percent) leads the past six weeks trends for the stock markets. The Nasdaq-Mini (36 percent), the Russell-Mini (28 percent) and the Nikkei 225 (16 percent) are the next highest positive movers in the latest trends data.
The MSCI EAFE-Mini (-11 percent) and the S&P500-Mini (-11 percent) lead the downside trend scores currently with the DowJones-Mini (-9 percent) coming in as the next market with lower trend scores.
Strength Trend Statistics:
VIX (37.4 percent) vs VIX previous week (34.8 percent)
S&P500-Mini (-10.6 percent) vs S&P500-Mini previous week (-5.3 percent)
DowJones-Mini (-8.7 percent) vs DowJones-Mini previous week (-6.9 percent)
Nasdaq-Mini (36.0 percent) vs Nasdaq-Mini previous week (41.2 percent)
Russell2000-Mini (28.2 percent) vs Russell2000-Mini previous week (40.7 percent)
Nikkei USD (16.2 percent) vs Nikkei USD previous week (28.0 percent)
EAFE-Mini (-10.9 percent) vs EAFE-Mini previous week (-3.8 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 Bullish-Extreme with a score of 98.8 percent. The commercials are Bearish-Extreme with a score of 0.7 percent and the small traders (not shown in chart) are Bullish with a score of 68.2 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.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 21.1 | 46.3 | 7.4 |
| – Percent of Open Interest Shorts: | 25.1 | 41.2 | 8.4 |
| – Net Position: | -15,111 | 19,037 | -3,926 |
| – Gross Longs: | 78,555 | 172,638 | 27,485 |
| – Gross Shorts: | 93,666 | 153,601 | 31,411 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 98.8 | 0.7 | 68.2 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 37.4 | -39.9 | 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 55.9 percent. The commercials are Bearish with a score of 37.8 percent and the small traders (not shown in chart) are Bullish with a score of 77.9 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.
| S&P500 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 15.6 | 68.2 | 12.0 |
| – Percent of Open Interest Shorts: | 18.4 | 68.9 | 8.6 |
| – Net Position: | -59,388 | -15,254 | 74,642 |
| – Gross Longs: | 337,420 | 1,469,898 | 259,484 |
| – Gross Shorts: | 396,808 | 1,485,152 | 184,842 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.9 | 37.8 | 77.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.6 | 14.9 | -17.0 |
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 73.6 percent. The commercials are Bearish with a score of 24.9 percent and the small traders (not shown in chart) are Bullish with a score of 60.7 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.
| Dow Jones Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.8 | 57.4 | 17.0 |
| – Percent of Open Interest Shorts: | 13.3 | 68.1 | 15.8 |
| – Net Position: | 8,168 | -9,186 | 1,018 |
| – Gross Longs: | 19,636 | 49,358 | 14,588 |
| – Gross Shorts: | 11,468 | 58,544 | 13,570 |
| – Long to Short Ratio: | 1.7 to 1 | 0.8 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 73.6 | 24.9 | 60.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.7 | 11.2 | -14.0 |
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 78.9 percent. The commercials are Bearish-Extreme with a score of 11.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 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.
| Nasdaq Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 26.9 | 53.1 | 15.6 |
| – Percent of Open Interest Shorts: | 17.0 | 67.7 | 10.9 |
| – Net Position: | 25,626 | -37,842 | 12,216 |
| – Gross Longs: | 69,833 | 137,787 | 40,496 |
| – Gross Shorts: | 44,207 | 175,629 | 28,280 |
| – Long to Short Ratio: | 1.6 to 1 | 0.8 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 78.9 | 11.0 | 77.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 36.0 | -12.7 | -22.2 |
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 89.2 percent. The commercials are Bearish-Extreme with a score of 9.3 percent and the small traders (not shown in chart) are Bullish with a score of 68.8 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.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 19.8 | 70.3 | 7.0 |
| – Percent of Open Interest Shorts: | 18.5 | 74.2 | 4.3 |
| – Net Position: | 5,727 | -17,531 | 11,804 |
| – Gross Longs: | 88,136 | 313,686 | 31,057 |
| – Gross Shorts: | 82,409 | 331,217 | 19,253 |
| – Long to Short Ratio: | 1.1 to 1 | 0.9 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 89.2 | 9.3 | 68.8 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 28.2 | -22.7 | -14.6 |
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 63.4 percent. The commercials are Bearish with a score of 25.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 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: | 11.1 | 52.2 | 25.3 |
| – Percent of Open Interest Shorts: | 22.3 | 53.3 | 13.0 |
| – Net Position: | -1,966 | -198 | 2,164 |
| – Gross Longs: | 1,939 | 9,152 | 4,445 |
| – Gross Shorts: | 3,905 | 9,350 | 2,281 |
| – Long to Short Ratio: | 0.5 to 1 | 1.0 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 63.4 | 25.1 | 84.5 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 16.2 | -16.0 | 7.6 |
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 37.4 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bullish with a score of 50.5 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.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.2 | 89.3 | 3.1 |
| – Percent of Open Interest Shorts: | 14.4 | 83.8 | 1.4 |
| – Net Position: | -29,250 | 22,526 | 6,724 |
| – Gross Longs: | 29,468 | 364,439 | 12,526 |
| – Gross Shorts: | 58,718 | 341,913 | 5,802 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 2.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 37.4 | 59.5 | 50.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.9 | 10.2 | 1.8 |
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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