12 Oct

Speculator Extremes: Australian Dollar & VIX lead weekly Bullish Positions

October 12, 2024

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on October 8th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

 

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Here Are This Week’s Most Bullish Speculator Positions:

Australian Dollar


The Australian Dollar speculator position comes in as the most bullish extreme standing this week. The Australian Dollar speculator level is currently at a 100.0 percent maximum score of its 3-year range.

The six-week trend for the percent strength score totaled 37.3 this week. The overall net speculator position was a total of 33,422 net contracts this week with a boost of 18,894 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

VIX


The VIX speculator position comes next in the extreme standings this week. The VIX speculator level is also at a 100.0 percent score of its 3-year range.

The six-week trend for the percent strength score was 26.6 this week. The speculator position registered -3,008 net contracts this week with a weekly gain of 12,869 contracts in speculator bets.

Silver


The Silver speculator position comes in third this week in the extreme standings. The Silver speculator level resides at a 90.0 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at 3.4 this week. The overall speculator position was 54,715 net contracts this week with a decline by -2,209 contracts in the weekly speculator bets.

Fed Funds


The Fed Funds speculator position comes up number four in the extreme standings this week. The Fed Funds speculator level is at a 90.0 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a change of 69.8 this week. The overall speculator position was 191,471 net contracts this week despite a drop of -54,222 contracts in the speculator bets.

Steel


The Steel speculator position rounds out the top five in this week’s bullish extreme standings. The Steel speculator level sits at a 89.4 percent score of its 3-year range. The six-week trend for the speculator strength score was 11.8 this week.

The speculator position was -1,801 net contracts this week following an increase by 830 contracts in the weekly speculator bets.

This Week’s Most Bearish Speculator Positions:

US Dollar Index


The US Dollar Index speculator position comes in as the most bearish extreme standing this week. The US Dollar Index speculator level is at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -44.3 this week. The overall speculator position was -1,889 net contracts this week and had a change of -2,043 contracts in the speculator bets.

1-Month Secured Overnight Financing Rate


The 1-Month Secured Overnight Financing Rate speculator position comes in next for the most bearish extreme standing on the week. The 1-Month Secured Overnight Financing Rate speculator level is at a 7.7 percent score of its 3-year range.

The six-week trend for the speculator strength score was -47.6 this week. The speculator position was -222,460 net contracts this week with a decline of -27,938 contracts in the weekly speculator bets.

5-Year Bond


The 5-Year Bond speculator position comes in as third most bearish extreme standing of the week. The 5-Year Bond speculator level resides at a 8.4 percent score of its 3-year range.

The six-week trend for the speculator strength score was 3.4 this week. The overall speculator position was -1,600,325 net contracts this week with a drop of -49,535 contracts in the speculator bets.

E-mini SP MidCap400

The E-mini SP MidCap400 speculator position comes in as this week’s fourth most bearish extreme standing. The E-mini SP MidCap400 speculator level is at just a 12.6 percent score of its 3-year range.

The six-week trend for the speculator strength score was -4.4 this week. The speculator position was 98 net contracts this week following a change of -898 contracts in the weekly speculator bets.

2-Year Bond


Finally, the 2-Year Bond speculator position comes in as the fifth most bearish extreme standing for this week. The 2-Year Bond speculator level is at a 16.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -12.5 this week. The speculator position was -1,225,036 net contracts this week with a decrease by -46,817 contracts in the weekly speculator bets.

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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