COT Stock Market Charts: Speculator Bets led by MSCI EAFE & VIX

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 November 12th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by MSCI EAFE & VIX

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.

Leading the gains for the stock markets was the MSCI EAFE-Mini (17,352 contracts) with the VIX (12,245 contracts), the DowJones-Mini (735 contracts) and the Nasdaq-Mini (288 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the S&P500-Mini (-88,439 contracts), the Nikkei 225 (-498 contracts) and with the Russell-Mini (-398 contracts) also registering lower bets on the week.

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Stock Market Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

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Strength Scores led by VIX & Russell-Mini

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 (92 percent) and the Russell-Mini (88 percent) led the stock markets this week. The DowJones-Mini (83 percent) and S&P500-Mini (68 percent) came in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (35 percent) comes in at the lowest strength level currently.

Strength Statistics:
VIX (92.3 percent) vs VIX previous week (81.3 percent)
S&P500-Mini (68.5 percent) vs S&P500-Mini previous week (81.7 percent)
DowJones-Mini (82.5 percent) vs DowJones-Mini previous week (81.3 percent)
Nasdaq-Mini (64.5 percent) vs Nasdaq-Mini previous week (64.1 percent)
Russell2000-Mini (87.7 percent) vs Russell2000-Mini previous week (88.0 percent)
Nikkei USD (59.2 percent) vs Nikkei USD previous week (63.4 percent)
EAFE-Mini (35.0 percent) vs EAFE-Mini previous week (16.4 percent)

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VIX tops the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the VIX (10 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (3 percent) is the next highest positive mover in the latest trends data.

The Russell-Mini (-8 percent) leads the downside trend scores currently with the DowJones-Mini (-6 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (10.4 percent) vs VIX previous week (-10.5 percent)
S&P500-Mini (2.6 percent) vs S&P500-Mini previous week (22.2 percent)
DowJones-Mini (-5.5 percent) vs DowJones-Mini previous week (-4.1 percent)
Nasdaq-Mini (0.5 percent) vs Nasdaq-Mini previous week (0.1 percent)
Russell2000-Mini (-8.2 percent) vs Russell2000-Mini previous week (-9.0 percent)
Nikkei USD (-6.3 percent) vs Nikkei USD previous week (16.2 percent)
EAFE-Mini (-2.7 percent) vs EAFE-Mini previous week (-14.0 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week was a net position of -4,423 contracts in the data reported through Tuesday. This was a weekly boost of 12,245 contracts from the previous week which had a total of -16,668 net contracts.

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 92.3 percent. The commercials are Bearish-Extreme with a score of 9.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	23.8	39.5	8.4
– Percent of Open Interest Shorts:	25.0	38.9	7.8
– Net Position:	-4,423	2,263	2,160
– Gross Longs:	83,713	139,177	29,674
– Gross Shorts:	88,136	136,914	27,514
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	92.3	9.9	86.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.4	-11.7	9.5

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week was a net position of 25,001 contracts in the data reported through Tuesday. This was a weekly decrease of -88,439 contracts from the previous week which had a total of 113,440 net contracts.

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 68.5 percent. The commercials are Bearish-Extreme with a score of 17.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.1	68.9	12.9
– Percent of Open Interest Shorts:	15.0	76.1	6.8
– Net Position:	25,001	-161,143	136,142
– Gross Longs:	360,987	1,540,339	288,150
– Gross Shorts:	335,986	1,701,482	152,008
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	68.5	17.7	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.6	-9.2	21.4

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week was a net position of 13,666 contracts in the data reported through Tuesday. This was a weekly advance of 735 contracts from the previous week which had a total of 12,931 net contracts.

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 82.5 percent. The commercials are Bearish-Extreme with a score of 12.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	30.2	49.0	18.5
– Percent of Open Interest Shorts:	14.7	68.9	14.0
– Net Position:	13,666	-17,645	3,979
– Gross Longs:	26,664	43,230	16,310
– Gross Shorts:	12,998	60,875	12,331
– Long to Short Ratio:	2.1 to 1	0.7 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	82.5	12.6	78.6
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.5	1.4	14.5

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week was a net position of 16,380 contracts in the data reported through Tuesday. This was a weekly increase of 288 contracts from the previous week which had a total of 16,092 net contracts.

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 64.5 percent. The commercials are Bearish-Extreme with a score of 19.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.2 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	25.6	56.5	14.8
– Percent of Open Interest Shorts:	19.7	67.4	9.7
– Net Position:	16,380	-30,363	13,983
– Gross Longs:	71,007	156,585	40,901
– Gross Shorts:	54,627	186,948	26,918
– Long to Short Ratio:	1.3 to 1	0.8 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	64.5	19.2	81.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.5	-3.7	5.8

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week was a net position of 8,394 contracts in the data reported through Tuesday. This was a weekly decline of -398 contracts from the previous week which had a total of 8,792 net contracts.

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 87.7 percent. The commercials are Bearish-Extreme with a score of 5.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.9	72.0	8.2
– Percent of Open Interest Shorts:	15.1	78.3	3.6
– Net Position:	8,394	-30,429	22,035
– Gross Longs:	81,169	346,137	39,360
– Gross Shorts:	72,775	376,566	17,325
– Long to Short Ratio:	1.1 to 1	0.9 to 1	2.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	87.7	5.3	100.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.2	1.9	29.0

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week was a net position of -2,464 contracts in the data reported through Tuesday. This was a weekly decline of -498 contracts from the previous week which had a total of -1,966 net contracts.

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 59.2 percent. The commercials are Bearish with a score of 37.5 percent and the small traders (not shown in chart) are Bullish with a score of 60.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	2.0	70.2	27.7
– Percent of Open Interest Shorts:	24.7	55.7	19.5
– Net Position:	-2,464	1,576	888
– Gross Longs:	221	7,620	3,008
– Gross Shorts:	2,685	6,044	2,120
– Long to Short Ratio:	0.1 to 1	1.3 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	59.2	37.5	60.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-6.3	4.8	1.0

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week was a net position of -31,471 contracts in the data reported through Tuesday. This was a weekly gain of 17,352 contracts from the previous week which had a total of -48,823 net contracts.

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 35.0 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bearish with a score of 42.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.5	88.4	2.8
– Percent of Open Interest Shorts:	15.6	82.4	1.7
– Net Position:	-31,471	26,425	5,046
– Gross Longs:	37,792	393,527	12,545
– Gross Shorts:	69,263	367,102	7,499
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.0	63.6	42.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.7	4.1	-6.8

 

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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.