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HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
It’s been a long while since I’ve talked about the Commitment of Traders data. Well this weekend an interesting signal popped up on the Euro – more details in the video.
If you’re reading this article via email or RSS reader, then follow this link to view the Commitment of Traders video on the website. Good luck with your Emini trading.
Got the bounce and now the market has Exhaustion buying volume at the end of the day. We're coming into Memorial Day and markets tend to be strong into holiday weekends. So I'm expecting the Professionals to use Friday to take profits with some range trading. As always, trade your setups and don't over-think the market.
If you're reading this article via email or RSS reader, then follow this link to view the Emini Charts and Commitment of Traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
And here's another screen shot of the Emini 4,500 tick chart. Shows the "End of Trend" warning signal with Exhaustion selling followed by the rally.
I've updated the Commitment of Traders feature article with new code using the in-built TradeStation data. You can read more here:
Closed the gap and got the cyclical turn I was looking for on the lower time frame Emini charts (45, 81 and 135 minute). I'm looking for a bounce on Monday morning after some initial weakness and then for a re-test of the 1,125 level – either Monday or Tuesday.
My hypothesis is that we're starting another leg up – possibly the last leg before a major correction. I think the next cyclical turn on the daily Emini chart will be very significant.
If you're reading this article via email or RSS reader, then follow this link to view the Emini and Commitment of Traders videos on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
Just an update of the 81 minute Emini chart where we found the cyclical low and potential support at 1,120.
And here is the latest Commitment of Traders chart with Professionals net Long at +2.4% of total open interest and the Oscillator over-sold at -128.
I missed the last couple of days trading while travelling to New Zealand. Anyway, settled now for the next 3 weeks. Bit apprehensive about trading in this time zone – not easy. Good luck with your Emini trading next week.
Quiet start to the week. I think everybody's "hanging" to see Goldman's Blankfein and the "Fabulous Fab" tomorrow. I know I can't wait! Feel like a giddy schoolgirl before a Justin Bieber concert 
Anyway, Emini topped out at 1,216 during the morning and then dropped below support at 1,212 in the afternoon. However, the Professionals immediately stepped in and we didn't fall by much. We've got Exhaustion Selling volume signals on Better Momentum and I think we might see a rally tomorrow – after we've found support early on.
TRIN Oscillator is over-sold and if we get any strength I'll be taken out of my Short position. Don't get me wrong – I don't like this rally. All I'm saying is I won't be surprised if we break to new highs tomorrow.
Darn – I always get myself into trouble with calls like this. Must be the excitement of tomorrow. I'll take my trades as they set up, whether they're Long or Short.
If you're reading this article via email or RSS reader, then follow this link to view the Commitment of Traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
The Professionals are net Long 2.5% of total open interest and the Commitment of Traders Oscillator has dropped to +50.
Good luck with your Emini trading and see you on "the hill".
Quick Commitment of Traders update video. Professionals are net Short 0.4% of total open interest. Apologies, in the video I say 0.7% for some strange reason. Duh.
If you're reading this article via email or RSS reader, then follow this link to view the Commitment of Traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
The Commitment of Traders Oscillator has also reached +140 and rolled over. Last week's reading was +145. This means we should see some weakness going forward.
Both Tyler Durden at ZeroHedge and Karl Denninger at The Market Ticker posted the series of William K. Black interview videos online. That was great to see – I'm glad I'm in good (i.e. rebellious) company. Also managed to beat them to the post by a couple of hours. Ha ha.
Let's hope for a more interesting trading day on Tuesday and good luck with your Emini trading.
Commitment of Traders numbers are out and the Professionals flipped to net Short by 1.3% of total open interest. This has triggered my Crash warning signal which needs:
Please don't get over-excited about this. Just wanted to share the analysis with you and the video has more detail on how successful this pattern has been historically.
If you're reading this article via email or RSS reader, then follow this link to view the Commitment of Traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
Good luck with your Emini trading next week.
A couple of weeks ago I posted about the differences between Emini (ES) and large contract (SP) Commitment of Traders data. The conclusion was that the Emini is almost entirely a day trading vehicle and the SP contract is used for position trading. As a result, for longer term analysis, the SP Commitment of Traders data is more useful.
You can find that article on Commitment of Traders here.
This weekend I've got a video on Commitment of Traders and hedging versus trend following. Do the Professionals primarily use the futures market to hedge their positions or trade with the market trend? In essence, should you follow or fade the Professionals?
If you're reading this article via email or RSS reader, then follow this link to view the Commitment of Traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
TRIN Oscillator turned down Friday, so we're out of our Long position. We're "sitting in the pocket" and absolutely critical couple of days. We've still got to make a "Pull Back" and "End of Trend" warning signal on the 27, 45 and 81 minute charts. And we're a day or so away from a cycle turn on the daily time frame.
If we have a trend down day on Tuesday or Wednesday then we're off to the races and testing 1,040. Let's see how this pans out. Good luck with your trading next week.
Remember, the Commitment of Traders data is collected weekly after the close on Tuesday and the Commitment of Traders Report is published after the close on Friday.
First of all the Commitment of Traders numbers:
The video shows Wednesday's short setup and Friday's "End of Trend" warning signal on the 13,500 tick chart. However, going forward have we seen enough exhaustion price and volume activity to signal a bottom? The Commitment of Traders Oscillator is certainly bullish and setting up for a low this week.
If you're reading this article via email or RSS reader, then follow this link to view the emini charts & commitment of traders video on the website.
HIGH DEF VIDEO – MAY TAKE 15 SECONDS TO LOAD
I think we'll see good tradeable swings as the market re-tests Friday's low – and I'll take whatever trades setup. Good luck with your Emini trading next week.
I've been worrying about the chart below for over 6 months now – and here's why.
In my Commitment of Traders analysis of the equity indices (S&P500, NASDAQ, Dow, etc.) I've always used the large contract (SP) data to analyse what the Professionals are doing – and pretty much ignored the Emini contract (ES) and others. A larger data set and some back testing convinced me that the Commitment of Traders data for the SP contract was superior.
Well, the chart above shows that over the last year the Emini has not only overtaken the SP contract but has now become the largest component of the equity index futures market with just over 50% of total open interest. And yes, I've adjusted all the contracts for their relative margin size – so the Emini open interest data is divided by 5 so it's directly comparable with the SP contract, etc.
So the question is – should I change my Commitment of Traders analysis from the large contract (SP) to the Emini contract (ES)? In short, the answer is "No" and here's my reasoning.
Over the last 10 years several things have happened to the large contract (SP) market:
These last 2 points are critical – they show that the large contract (SP) has become the de-facto position trading vehicle. An SP position is entered and typically held for a month and only occasionally rolled over at contract expiry.
By contrast, the Emini contract (ES) has seen the following evolution over the last 10 years:
So Emini (ES) turnover is approx. 18 times, compared with approx. 1.0 times for the large contract (SP) in non-rollover months. The Emini (ES) has become almost exclusively a day trading vehicle.
Lastly, the chart above shows my weekly Commitment of Traders chart and the Professionals' position. Normally I show the top pane with the large contract (SP) Professionals and as you can see it has relatively large and smooth swings. However, the bottom pane shows the Emini (ES) Professionals. The swings are a lot smaller and appear almost random, week-by-week. For me this shows that the Emini Professionals are less directionally committed and reinforces that the Emini is a day trading vehicle.
Conclusion: I'll be sticking with the Commitment of Traders analysis using the large contract (SP) as I believe this gives me a better indication of the longer term direction of the equity indices.
Professionals continue to reduce their Short positions to -7.3% of total open interest this week. As a result of the analysis above I'll be dropping any comments to do with the difference between ES and SP Professionals (red line above).
The Commitment of Traders Oscillator is at -152 and over-sold. Since we broke below the zero line this week, the peak in the last swing at 1,147 has now been marked with a red dot. We're yet to see a slowing in last week's decline and bullish divergence or Professional accumulation patterns, so this week's trade might get bumpy.
Remember, the Commitment of Traders data is collected weekly after the close on Tuesday and the Commitment of Traders Report is published after the close on Friday.
After a dramatic down week on the Emini, here's what the Commitment of Traders charts are showing:
Professionals continue to reduce their Short positions from the peak of -19.3% six weeks ago to -13.7% of total open interest this week.
The Large contract (e.g. SP) Professionals are still more bearish than the Mini (e.g. ES) contract Professionals with the difference standing at -14.4% (red line above).
The Commitment of Traders Oscillator reached a peak of +133 seven weeks ago. Since then it has rolled over and this week is reading +32. I think this week's high of 1,147 will represent the peak of this swing in the Commitment of Traders Oscillator (plotted once the Oscillator crosses the zero line).
Going forward we'll either poke below the zero line and bounce or continue down to oversold levels around -100. The volume over the last 2 days was extreme and could represent Professional buying – we'll know by mid-week if the index starts to level out. The strength of any bounce later in the week will determine if we've just peaked and are heading into a medium term down trend. I'll be looking for "No Demand" volume patterns under the 1,147 level to signal this scenario.
The Professionals started to get long the US Dollar this week and are currently reading +4.5% of total open interest.
The US Dollar Oscillator has now dipped below the zero line and is reading -74, close to over-sold and in the buy zone. Since the US Dollar Index is advancing this shows a possible continuation of the uptrend.
Remember, the Commitment of Traders data is collected weekly after the close on Tuesday and the Commitment of Traders Report is published after the close on Friday.
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