By InvestMacro
The latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC) showed that stock market speculators added bearish bets on the week. The latest COT data for Week 36 is updated through Tuesday September 6th 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 lower by Dow Jones Mini (-8,188 contracts) & Nasdaq Mini (-4,761 contracts)
The COT stock market speculator bets were overall lower this week as three out of the seven stock markets we cover had higher positioning this week while the other four markets had lower contracts.
Leading the gains for stock markets was the VIX (9,201 contracts) with the MSCI EAFE Mini (3,096 contracts) and the S&P500 Mini (912 contracts) also showing positive weeks.
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The stock markets leading the declines in speculator bets this week were the Dow Jones Industrial Average Mini (-8,188 contracts) and the Nasdaq Mini (-4,761 contracts) with the Russell 2000 Mini (-4,456 contracts) and the Nikkei 225 USD (-78 contracts) also registering lower bets on the week.
| Sep-06-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| S&P500-Mini | 2,314,290 | 8 | -238,720 | 12 | 301,282 | 93 | -62,562 | 13 |
| Nikkei 225 | 14,151 | 10 | -4,641 | 55 | 2,949 | 44 | 1,692 | 50 |
| Nasdaq-Mini | 286,754 | 64 | 22,046 | 87 | 1,869 | 28 | -23,915 | 0 |
| DowJones-Mini | 76,726 | 37 | -9,608 | 25 | 10,386 | 73 | -778 | 34 |
| VIX | 326,476 | 35 | -88,734 | 65 | 95,211 | 35 | -6,477 | 60 |
| Nikkei 225 Yen | 77,781 | 69 | -2,622 | 26 | 32,959 | 100 | -30,337 | 12 |
Nasdaq-Mini & VIX lead the Strength Scores
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 Nasdaq-Mini (87.3 percent) remains the strength leader in stocks and continues to be in a bullish extreme position (above 80 percent). The VIX (64.8 percent) comes in as the next highest stocks market in strength scores.
On the downside, the S&P500-Mini (12.0 percent) comes in at the lowest strength level currently and is followed by the Russell 2000-Mini (13.7 percent). Both of these markets are below 20 percent and currently in a bearish extreme level.
Strength Statistics:
VIX (64.8 percent) vs VIX previous week (60.2 percent)
S&P500-Mini (12.0 percent) vs S&P500-Mini previous week (11.8 percent)
DowJones-Mini (25.5 percent) vs DowJones-Mini previous week (36.4 percent)
Nasdaq-Mini (87.3 percent) vs Nasdaq-Mini previous week (90.0 percent)
Russell2000-Mini (13.7 percent) vs Russell2000-Mini previous week (16.2 percent)
Nikkei USD (55.4 percent) vs Nikkei USD previous week (55.8 percent)
EAFE-Mini (27.8 percent) vs EAFE-Mini previous week (24.4 percent)
DowJones-Mini leads Strength Trends
Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the DowJones-Mini (15.4 percent) leads the past six weeks trends for stocks this week. The EAFE-Mini (6.6 percent), the Russell 2000-Mini (5.4 percent) and the VIX (1.9 percent) fill out the other positive movers in the latest trends data.
The Nikkei USD (-12.8 percent) leads the downside trend scores currently while the next market with lower trend scores were the Nasdaq-Mini (-5.5 percent) followed by the S&P500-Mini (-0.2 percent).
Strength Trend Statistics:
VIX (1.9 percent) vs VIX previous week (-14.0 percent)
S&P500-Mini (-0.2 percent) vs S&P500-Mini previous week (-5.8 percent)
DowJones-Mini (15.4 percent) vs DowJones-Mini previous week (19.2 percent)
Nasdaq-Mini (-5.5 percent) vs Nasdaq-Mini previous week (-0.7 percent)
Russell2000-Mini (5.4 percent) vs Russell2000-Mini previous week (5.4 percent)
Nikkei USD (-12.8 percent) vs Nikkei USD previous week (-13.4 percent)
EAFE-Mini (6.6 percent) vs EAFE-Mini previous week (13.0 percent)
Individual Markets:
VIX Volatility Futures:
The VIX Volatility large speculator standing this week totaled a net position of -88,734 contracts in the data reported through Tuesday. This was a weekly boost of 9,201 contracts from the previous week which had a total of -97,935 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 64.8 percent. The commercials are Bearish with a score of 35.5 percent and the small traders (not shown in chart) are Bullish with a score of 59.9 percent.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.2 | 59.6 | 7.2 |
| – Percent of Open Interest Shorts: | 40.4 | 30.5 | 9.2 |
| – Net Position: | -88,734 | 95,211 | -6,477 |
| – Gross Longs: | 43,204 | 194,652 | 23,450 |
| – Gross Shorts: | 131,938 | 99,441 | 29,927 |
| – Long to Short Ratio: | 0.3 to 1 | 2.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 64.8 | 35.5 | 59.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.9 | -2.1 | 2.3 |
S&P500 Mini Futures:
The S&P500 Mini large speculator standing this week totaled a net position of -238,720 contracts in the data reported through Tuesday. This was a weekly boost of 912 contracts from the previous week which had a total of -239,632 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-Extreme with a score of 12.0 percent. The commercials are Bullish-Extreme with a score of 92.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.2 percent.
| S&P500 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.8 | 77.3 | 9.8 |
| – Percent of Open Interest Shorts: | 20.1 | 64.3 | 12.5 |
| – Net Position: | -238,720 | 301,282 | -62,562 |
| – Gross Longs: | 226,374 | 1,789,211 | 227,788 |
| – Gross Shorts: | 465,094 | 1,487,929 | 290,350 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 12.0 | 92.7 | 13.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.2 | 1.5 | -2.1 |
Dow Jones Mini Futures:
The Dow Jones Mini large speculator standing this week totaled a net position of -9,608 contracts in the data reported through Tuesday. This was a weekly lowering of -8,188 contracts from the previous week which had a total of -1,420 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 25.5 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bearish with a score of 34.3 percent.
| Dow Jones Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 30.3 | 52.9 | 15.6 |
| – Percent of Open Interest Shorts: | 42.8 | 39.4 | 16.7 |
| – Net Position: | -9,608 | 10,386 | -778 |
| – Gross Longs: | 23,230 | 40,613 | 12,001 |
| – Gross Shorts: | 32,838 | 30,227 | 12,779 |
| – Long to Short Ratio: | 0.7 to 1 | 1.3 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.5 | 72.9 | 34.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.4 | -22.4 | 27.5 |
Nasdaq Mini Futures:
The Nasdaq Mini large speculator standing this week totaled a net position of 22,046 contracts in the data reported through Tuesday. This was a weekly lowering of -4,761 contracts from the previous week which had a total of 26,807 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 87.3 percent. The commercials are Bearish with a score of 27.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.1 percent.
| Nasdaq Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 29.8 | 55.9 | 12.4 |
| – Percent of Open Interest Shorts: | 22.1 | 55.2 | 20.8 |
| – Net Position: | 22,046 | 1,869 | -23,915 |
| – Gross Longs: | 85,430 | 160,216 | 35,685 |
| – Gross Shorts: | 63,384 | 158,347 | 59,600 |
| – Long to Short Ratio: | 1.3 to 1 | 1.0 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 87.3 | 27.7 | 0.1 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -5.5 | 16.8 | -35.9 |
Russell 2000 Mini Futures:
The Russell 2000 Mini large speculator standing this week totaled a net position of -95,605 contracts in the data reported through Tuesday. This was a weekly reduction of -4,456 contracts from the previous week which had a total of -91,149 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-Extreme with a score of 13.7 percent. The commercials are Bullish-Extreme with a score of 85.9 percent and the small traders (not shown in chart) are Bearish with a score of 23.7 percent.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.3 | 86.0 | 4.2 |
| – Percent of Open Interest Shorts: | 25.9 | 68.2 | 4.4 |
| – Net Position: | -95,605 | 96,814 | -1,209 |
| – Gross Longs: | 44,891 | 466,378 | 22,920 |
| – Gross Shorts: | 140,496 | 369,564 | 24,129 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.7 | 85.9 | 23.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.4 | -6.9 | 11.0 |
Nikkei Stock Average (USD) Futures:
The Nikkei Stock Average (USD) large speculator standing this week totaled a net position of -4,641 contracts in the data reported through Tuesday. This was a weekly reduction of -78 contracts from the previous week which had a total of -4,563 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 55.4 percent. The commercials are Bearish with a score of 44.4 percent and the small traders (not shown in chart) are Bearish with a score of 49.6 percent.
| Nikkei Stock Average Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.2 | 53.3 | 34.2 |
| – Percent of Open Interest Shorts: | 45.0 | 32.5 | 22.3 |
| – Net Position: | -4,641 | 2,949 | 1,692 |
| – Gross Longs: | 1,729 | 7,548 | 4,844 |
| – Gross Shorts: | 6,370 | 4,599 | 3,152 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.4 | 44.4 | 49.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.8 | -1.3 | 37.0 |
MSCI EAFE Mini Futures:
The MSCI EAFE Mini large speculator standing this week totaled a net position of -10,768 contracts in the data reported through Tuesday. This was a weekly lift of 3,096 contracts from the previous week which had a total of -13,864 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 27.8 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 percent.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.7 | 91.4 | 2.1 |
| – Percent of Open Interest Shorts: | 8.4 | 89.3 | 1.6 |
| – Net Position: | -10,768 | 8,643 | 2,125 |
| – Gross Longs: | 23,221 | 370,798 | 8,690 |
| – Gross Shorts: | 33,989 | 362,155 | 6,565 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 27.8 | 72.9 | 37.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.6 | -5.5 | -8.1 |
Article By InvestMacro – Receive our weekly COT Newsletter by Email
*COT Reports: 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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