Why are Large specs and retail divergent across SPZ and E-minis? Large spec is long SPZ but short E-mini and retail is the reverse of large spec. Commercial is the only one that is consistent across both SPZ and E-minis
S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE Code-138741
Commitments of Traders - Futures Only, October 14, 2008
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (S&P 500 INDEX X $250.00) :
: : :
All : 645,995: 118,351 46,157 3,286 414,933 450,245 536,570 499,688: 109,425 146,307
Old : 645,995: 118,351 46,157 3,286 414,933 450,245 536,570 499,688: 109,425 146,307
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: October 7, 2008 :
: 34,682: 16,043 2,747 -673 19,559 14,523 34,929 16,597: -247 18,085
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 18.3 7.1 0.5 64.2 69.7 83.1 77.4: 16.9 22.6
Old : 100.0: 18.3 7.1 0.5 64.2 69.7 83.1 77.4: 16.9 22.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 196: 46 35 18 81 66 136 110:
Old : 196: 46 35 18 81 66 136 110:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 21.1 27.0 32.1 39.7 18.9 25.9 29.8 38.6
Old : 21.1 27.0 32.1 39.7 18.9 25.9 29.8 38.6
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE Code-13874A
Commitments of Traders - Futures Only, October 14, 2008
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($50 X S&P 500 INDEX) :
: : :
All : 3,189,495: 549,198 715,689 52,462 1,843,847 2,084,624 2,445,507 2,852,775: 743,988 336,720
Old : 3,189,495: 549,198 715,689 52,462 1,843,847 2,084,624 2,445,507 2,852,775: 743,988 336,720
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: October 7, 2008 :
: 295,485: 54,215 116,476 -31,938 114,935 56,494 137,212 141,032: 158,273 154,453
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 17.2 22.4 1.6 57.8 65.4 76.7 89.4: 23.3 10.6
Old : 100.0: 17.2 22.4 1.6 57.8 65.4 76.7 89.4: 23.3 10.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 413: 108 101 44 139 131 271 252:
Old : 413: 108 101 44 139 131 271 252:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 16.5 25.9 25.5 38.4 12.3 24.9 21.2 36.2
Old : 16.5 25.9 25.5 38.4 12.3 24.9 21.2 36.2
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
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1 comment:
Hey Arak, nice blog! Really appreciate the COT data.
Is my interpretation that this is very bearish correct? Don't we need the commercials long for a sustained rally?
Thanks!
Matthew
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