Combined COT Update (final)
The COT report this week is as of Dec 21, so it covers just the 3 days from Dec 19-21. Normally, the COT covers the activity from Wednesday to Tuesday, but of course, Christmas fell on Tuesday this year.
The Commercials are less short again this week for the third week in a row, with most of the covering taking place in the NASDAQ contracts. They are now back to the same level as the Nov 20 report.
The most interesting development is the big swing in the ND contract. They are now net long. However, at the same time they have gone record short the NQ (mini) contract, so their net exposure to NDX futures (ND equivalents) is short 4,932 contracts versus short 7,563 contracts last week.
COMMS LARGE SMALL
This Wk -77,229 +8.7% -5,965 .... +83,193 -6.0%
Last Wk -84,628 +5.9% -3,903 .... +88,531 -4.4%
3 Weeks -89,979 +1.7% -2,660 .... +92,640 -5.3%
4 Weeks -91,549 .... -6,320 .... +97,868 ....
A negative percentage indicates the group got shorter/less long and a positive percentage indicates they got longer/less short. Percentage change is not shown for small numbers.
Below is a crude chart showing the Commercials' short position since the extreme set at the Mar 6, 2001 report. The vertical axis is the number of contracts short and the horizontal is a column for each week.
135,000 :
130,000 |
125,000 |
120,000 |
115,000 ||
110,000 ||
105,000 || |
100,000 || : .||
95,000 || | : .|. ::...||| .
90,000 || |::| |||.|||||||| ||
85,000 ||: ||||..||||||||||||. .|||
80,000 ||| : ||||||||||||||||||| .||||.
75,000 |||| |.| ||||||||||||||||||| ||||||
70,000 |||| ||| ||||||||||||||||||| |||||||
65,000 |||||||| |||||||||||||||||||| :|||||||
60,000 |||||||| |||||||||||||||||||||: ||||||||
55,000 ||||||||.|||||||||||||||||||||||||:||||||||
50,000 |||||||||||||||||||||||||||||||||||||||||||
A reminder that my numbers are based on virtual S&P contracts by taking all the index futures (DJ, RL, MD, SP, SP mini, ND, ND mini) and then weighting and combining the positions.
Note as well that the COT report, although released on Fridays, is as of the prior Tuesday's close.
Commercials change in individual markets from last week:
SP+es ND+nq DJ MD RL
+7.5% +34.8% +.6% +7.5% -.5%
(See the message I am replying to for the previous update. ccoott) |
