... hi Allan ... I am not sure if you are referring to the S&P 500 in that post ... but I show COT data for the S&P 500 from the CME dated 01/22/02 with the commercials long 342,841 contracts and short 394, 041 contracts for a net short of 51,200 contracts ... maybe you are not talking about S&P data, but some other futures contract ...
... while I am at it ... the above totals 736,882 contracts ... so even using maintenance margin for January, which is $15,750 per contract, that is 11.6 billion dollars in capital tied up in just S&P futures right now ... amazing ...
Ken Wilson
note ... I traced your post back further and found the difference in your earlier explanation ....... A reminder that my numbers are based on S&P contract equivalents by taking all the index futures (DJ, RL, MD, SP, SP mini, ND, ND mini) and then weighting and combining the positions
...my numbers are the S&Ps [SP] only ...
... by the way, if you total up all the outstanding contracts in your number, what percentage of the total is SP only? ... Ken |
