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 December 13th 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 S&P500-Mini & VIX
The COT stock markets speculator bets were lower this week as two out of the seven stock markets we cover had higher positioning while the other five markets had lower speculator contracts.
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Leading the gains for the stock markets was Russell-Mini (9,651 contracts) with the Nasdaq-Mini (5,681 contracts) also showing a positive week.
The markets with the declines in speculator bets this week were the S&P500-Mini (-26,403 contracts), VIX (-8,399 contracts), MSCI EAFE-Mini (-7,969 contracts), DowJones-Mini (-939 contracts) and the Nikkei 225 (-356 contracts) also registering lower bets on the week.
| Dec-13-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| S&P500-Mini | 2,477,140 | 15 | -230,122 | 14 | 212,726 | 79 | 17,396 | 30 |
| Nikkei 225 | 18,813 | 23 | -2,964 | 63 | 1,418 | 37 | 1,546 | 48 |
| Nasdaq-Mini | 312,984 | 79 | 19,198 | 86 | -12,779 | 19 | -6,419 | 40 |
| DowJones-Mini | 106,454 | 79 | -12,542 | 24 | 20,249 | 85 | -7,707 | 1 |
| VIX | 347,723 | 51 | -82,978 | 57 | 85,453 | 42 | -2,475 | 79 |
| Nikkei 225 Yen | 39,328 | 19 | 8,049 | 59 | 3,511 | 20 | -11,560 | 57 |
Strength Scores led by Nasdaq-Mini & Nikkei 225
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 Nasdaq-Mini (86 percent) and the Nikkei 225 (63 percent) lead the stock markets this week. The VIX (57 percent) comes in as the next highest in the weekly strength scores.
On the downside, the S&P500-Mini (14 percent) is at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score is the DowJones-Mini (24.2 percent).
Strength Statistics:
VIX (57.4 percent) vs VIX previous week (63.0 percent)
S&P500-Mini (13.6 percent) vs S&P500-Mini previous week (18.5 percent)
DowJones-Mini (24.2 percent) vs DowJones-Mini previous week (25.6 percent)
Nasdaq-Mini (85.8 percent) vs Nasdaq-Mini previous week (82.6 percent)
Russell2000-Mini (31.5 percent) vs Russell2000-Mini previous week (26.1 percent)
Nikkei USD (63.4 percent) vs Nikkei USD previous week (65.1 percent)
EAFE-Mini (25.4 percent) vs EAFE-Mini previous week (35.0 percent)
Nasdaq-Mini tops the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Nasdaq-Mini (19.2 percent) leads the past six weeks trends for the stock markets. The MSCI EAFE-Mini (13 percent) is the next highest positive mover in the latest trends data.
The Nikkei 225 (-14 percent) and the Russell-Mini (-8 percent) lead the downside trend scores currently.
Strength Trend Statistics:
VIX (-12.5 percent) vs VIX previous week (-14.3 percent)
S&P500-Mini (-10.2 percent) vs S&P500-Mini previous week (2.9 percent)
DowJones-Mini (-6.5 percent) vs DowJones-Mini previous week (3.4 percent)
Nasdaq-Mini (19.2 percent) vs Nasdaq-Mini previous week (4.4 percent)
Russell2000-Mini (-7.9 percent) vs Russell2000-Mini previous week (4.0 percent)
Nikkei USD (-14.1 percent) vs Nikkei USD previous week (-19.9 percent)
EAFE-Mini (13.2 percent) vs EAFE-Mini previous week (25.8 percent)
Individual Stock Market Charts:
VIX Volatility Futures:
The VIX Volatility large speculator standing this week came in at a net position of -82,978 contracts in the data reported through Tuesday. This was a weekly decline of -8,399 contracts from the previous week which had a total of -74,579 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 57.4 percent. The commercials are Bearish with a score of 41.8 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 16.2 | 54.3 | 7.4 |
| – Percent of Open Interest Shorts: | 40.1 | 29.7 | 8.1 |
| – Net Position: | -82,978 | 85,453 | -2,475 |
| – Gross Longs: | 56,330 | 188,883 | 25,721 |
| – Gross Shorts: | 139,308 | 103,430 | 28,196 |
| – Long to Short Ratio: | 0.4 to 1 | 1.8 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 57.4 | 41.8 | 79.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.5 | 10.6 | 14.8 |
S&P500 Mini Futures:
The S&P500 Mini large speculator standing this week came in at a net position of -230,122 contracts in the data reported through Tuesday. This was a weekly fall of -26,403 contracts from the previous week which had a total of -203,719 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 13.6 percent. The commercials are Bullish with a score of 78.7 percent and the small traders (not shown in chart) are Bearish with a score of 30.0 percent.
| S&P500 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.1 | 73.3 | 11.3 |
| – Percent of Open Interest Shorts: | 18.4 | 64.8 | 10.6 |
| – Net Position: | -230,122 | 212,726 | 17,396 |
| – Gross Longs: | 226,507 | 1,816,921 | 279,775 |
| – Gross Shorts: | 456,629 | 1,604,195 | 262,379 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.6 | 78.7 | 30.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.2 | 2.1 | 8.3 |
Dow Jones Mini Futures:
The Dow Jones Mini large speculator standing this week came in at a net position of -12,542 contracts in the data reported through Tuesday. This was a weekly decrease of -939 contracts from the previous week which had a total of -11,603 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 24.2 percent. The commercials are Bullish-Extreme with a score of 85.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.2 percent.
| Dow Jones Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.0 | 55.9 | 13.0 |
| – Percent of Open Interest Shorts: | 33.8 | 36.8 | 20.3 |
| – Net Position: | -12,542 | 20,249 | -7,707 |
| – Gross Longs: | 23,411 | 59,477 | 13,855 |
| – Gross Shorts: | 35,953 | 39,228 | 21,562 |
| – Long to Short Ratio: | 0.7 to 1 | 1.5 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 24.2 | 85.2 | 1.2 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -6.5 | 5.9 | 1.2 |
Nasdaq Mini Futures:
The Nasdaq Mini large speculator standing this week came in at a net position of 19,198 contracts in the data reported through Tuesday. This was a weekly increase of 5,681 contracts from the previous week which had a total of 13,517 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 85.8 percent. The commercials are Bearish-Extreme with a score of 18.6 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.
| Nasdaq Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 23.4 | 58.6 | 11.8 |
| – Percent of Open Interest Shorts: | 17.2 | 62.7 | 13.9 |
| – Net Position: | 19,198 | -12,779 | -6,419 |
| – Gross Longs: | 73,103 | 183,306 | 36,975 |
| – Gross Shorts: | 53,905 | 196,085 | 43,394 |
| – Long to Short Ratio: | 1.4 to 1 | 0.9 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 85.8 | 18.6 | 40.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.2 | -25.8 | 14.1 |
Russell 2000 Mini Futures:
The Russell 2000 Mini large speculator standing this week came in at a net position of -63,784 contracts in the data reported through Tuesday. This was a weekly lift of 9,651 contracts from the previous week which had a total of -73,435 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 31.5 percent. The commercials are Bullish with a score of 65.5 percent and the small traders (not shown in chart) are Bearish with a score of 45.6 percent.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.6 | 82.2 | 5.4 |
| – Percent of Open Interest Shorts: | 20.9 | 71.1 | 4.2 |
| – Net Position: | -63,784 | 57,647 | 6,137 |
| – Gross Longs: | 44,847 | 426,831 | 27,878 |
| – Gross Shorts: | 108,631 | 369,184 | 21,741 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 31.5 | 65.5 | 45.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.9 | 6.7 | 3.9 |
Nikkei Stock Average (USD) Futures:
The Nikkei Stock Average (USD) large speculator standing this week came in at a net position of -2,964 contracts in the data reported through Tuesday. This was a weekly decrease of -356 contracts from the previous week which had a total of -2,608 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 63.4 percent. The commercials are Bearish with a score of 36.7 percent and the small traders (not shown in chart) are Bearish with a score of 47.7 percent.
| Nikkei Stock Average Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 17.0 | 45.9 | 22.0 |
| – Percent of Open Interest Shorts: | 32.7 | 38.4 | 13.7 |
| – Net Position: | -2,964 | 1,418 | 1,546 |
| – Gross Longs: | 3,193 | 8,634 | 4,132 |
| – Gross Shorts: | 6,157 | 7,216 | 2,586 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 63.4 | 36.7 | 47.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.1 | 9.2 | 14.2 |
MSCI EAFE Mini Futures:
The MSCI EAFE Mini large speculator standing this week came in at a net position of -14,886 contracts in the data reported through Tuesday. This was a weekly decline of -7,969 contracts from the previous week which had a total of -6,917 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 25.4 percent. The commercials are Bullish with a score of 66.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 4.2 | 90.5 | 4.6 |
| – Percent of Open Interest Shorts: | 7.7 | 89.4 | 2.2 |
| – Net Position: | -14,886 | 4,926 | 9,960 |
| – Gross Longs: | 18,081 | 386,031 | 19,545 |
| – Gross Shorts: | 32,967 | 381,105 | 9,585 |
| – Long to Short Ratio: | 0.5 to 1 | 1.0 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.4 | 66.1 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 13.2 | -24.5 | 73.6 |
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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