Commitment of Traders and Critical Support
Here are the latest charts from Friday's Commitment of Traders report.
Commitment of Traders: Professionals at +6.1%
Professionals maintained their long positions at 6.1% of total open interest in all stock index futures, a decrease of 0.5% from last week.
Commitment of Traders: Oscillator at +49
The Commitment of Traders Oscillator crossed the zero line this week and reached +49. Crossing the zero line confirms the low reached during the last cycle at 1,417, marked with a blue dot.
The Emini looks very weak with a reversal bar this last week and closing on the lows. The Commitment of Traders Oscillator is also now above zero and, strictly speaking, over-bought. However, we saw possible climactic volume at the close on Friday.
Monday's trading will be critical to see if the 1,475 level holds. If it does not, we'll probably try and close the gap made on 28 November (see the chart below).
Critical Emini Support at 1,475
Remember, the COT Oscillator is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 1 December 2007Commitment of Traders - Oscillator has turned
Here are the latest charts from Friday's Commitment of Traders report.
Commitment of Traders: Professionals at +5.1%
Professionals maintained their long positions at 5.1% of total open interest in all stock index futures, a decrease of 0.4% from last week.
Commitment of Traders: Oscillator at -48
The Commitment of Traders Oscillator turned up last week and has now risen to -48. The previous week's reading was -60 and the low was -75. The Oscillator had been in over-sold territory for some time and we were looking for signs of strength. This last week we got a break above 1,456.50, the previous week's high.
Remember, the COT Oscillator is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Latest COT Report
Here are the latest charts from Friday's COT report.
COT Report: Professionals at +6.9%
Professionals increased their long positions again this week. The COT Report showed professionals at +6.9% of total open interest in all stock index futures, an increase of 0.9% from last week.
COT Report: Oscillator at -75
The COT Report Oscillator is at -75, down from -50 last week. The Oscillator continues to decline into over-sold territory but is yet to turn up. We're looking for signs of strength like exhaustion volume down on a weekly bar or break above the previous week's high. Trading volume is likely to be lower than average this week with the Thanksgiving holiday and we're still 50 points away from last week's high.
Remember, the COT Oscillator is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Commitment of Traders Update
Apologies for not posting recently - I'm traveling with my wife in France, Italy and Egypt for a month. Anyway, here are the latest Commitment of Traders charts.
Commitment of Traders at +4.9%
Professionals have been slowly unwinding their long positions from the peak 2 months ago. However, they still remain bullish overall with the net professional position being +4.9% of total open interest in all stock index futures. This is down 0.3% from the previous week.
Commitment of Traders Oscillator at -27
The Commitment of Traders Oscillator is now below zero and reached -27 this week. This is down from a reading of -12 last week. We have now confirmed the high of the last upswing was 4 weeks ago. This high point is marked with a red dot on the chart above. As you can see the COT Oscillator did quite a nice job of signaling a peak in the market with an over-bought reading above +80.
The COT Oscillator has now crossed into the buy zone. But is it time to go long? We have had a few positive signs:
- Friday's high volume and relatively small range was a Stopping Volume pattern
- The Hilbert Sine Wave shows a cyclical low was made on Friday in the 135 minute time frame (my primary time frame for swing trading)
- Possible Triple Bottom at 1,500 with this level providing resistance on 22 and 24 October and again today
Remember, the COT Oscillator is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Latest Commitment of Traders Report
The latest Commitment of Traders report shows that Professionals are unwinding some of their long positions but are still bullish.
Latest Commitment of Traders Report
The chart above shows the Professionals are net long and their long positions account for 6.2% of total open interest in all stock index futures. This is down 0.5% from last week and down 4.6% from the peak reading just over a month ago.
Latest Commitment of Traders Oscillator Reading
The chart above shows the latest Commitment of Traders Oscillator reading is +88, up from +86 last week. We're now in overbought territory and looking for market weakness to signal the next leg down.
Remember, this is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 15 September 2007Commitment of Traders Update
The latest Commitment of Traders report shows professionals are still long. Apologies for not updating this analysis more regularly. Although the professional position has not changed much over the last few weeks, the Commitment of Traders Oscillator has now moved into overbought territory.
Commitment of Traders Professional Position
The chart above shows the Professional position at +10.8%. That is, the professionals are net long and their long positions account for 10.8% of total open interest in all stock index futures. This is an increase of 0.5% from the previous week and a very strong reading.
Commitment of Traders Oscillator
Although the raw Commitment of Traders reading is important, I use the Oscillator to identify market swings and potential entry points. The Commitment of Trader Oscillator rose from +29 to +40 this week. We're now in overbought territory and looking for market weakness to signal the next leg down.
Commitment of Traders Analysis
Remember, this is a longer term Emini indicator and designed to highlight broad trends. The Commitment of Traders Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 18 August 2007COT Report and a Black Swan event
The COT Report shows that Professionals are net long. Their net long positions make up 10.0% of total open interest in all stock index futures. This is up 0.8% from last week.
COT Report and Professional Position
The chart above shows the COT Report Professional position below the weekly Emini bars. It also includes a "Crash" indicator that is automatically added when the Emini drops more than 10% from it's recent high. More correctly this 10% level is normally called a "Correction" but whatever.
The point of showing this indicator is that we've had this large downward move in the Emini while the COT Report has shown that the Professionals are net long. This is the first time this has happened since the COT Reports started being published. As such, it is a Black Swan event.
Nassim Taleb, a very successful option trader, recently popularized the term with his book "The Black Swan." It refers to the fact that prior to the discovery of Australia all swans were assumed to be white because a black swan had never been seen. However, in Australia there happened to be black swans. The moral of the story? Don't assume an event will not happen just because it has never happened before.
COT Report and Crash Warning Signals
The chart above shows weekly bars of the Emini during 1999 and 2000. All 10% crash or correction events were preceded by warning signals from the COT Report. In each case, the Professionals turned bearish prior to the corrections and had adopted net short positions. According to the current COT Report the Professionals are very bullish - let's see how this turns out.
COT Oscillator and Turning Points
The COT Oscillator dropped slightly this week from -70 to -75. We're now in the buy zone and looking to take medium term long positions.
COT Report is a longer term indicator
Remember, this is a longer term Emini indicator and designed to highlight broad trends. The COT Report data is collected after the close on Tuesday each week and then published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 21 July 2007COT Report - Professionals still Long
This week's Commitment of Traders reading is +7.6%
Professionals are net long and their net long positions make up 7.6% of total open interest in all stock index futures. This is unchanged from last week.
There's a lot of uncertainty and negative talk around the markets this week. We have some earnings jitters and evidence that the Fed is not altogether unified in their outlook for the economy. Volatility has increased and day traders are having fun with the large intra-day swings. Two market indicators stand out for me. The first is the consistently bullish COT numbers. The second is the lack of a bearish signal on the ISEE (put/call ratio).
Note: Commitment of Traders data is collected after the close on Tuesday each week and then published after the close on Friday. On the chart below: Light blue dot = Low turning point; Red dot = High turning point.
This week's Commitment of Traders Oscillator reading is +7
The COT Oscillator rose this week from 0 to +7. Officially we have now entered the sell zone but it may be too early to start looking for short trades. My best guess is that the Emini will make a bottom during the first couple of days of this week and then continue up.
Remember, this is a longer term Emini indicator and designed to highlight broad trends. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 14 July 2007Commitment of Traders - When to follow the Professionals
This week's Commitment of Traders reading is +7.6%
Professionals are net long and their net long positions make up 7.6% of total open interest in all stock index futures. This is another increase of 1.3% from last week.
Last week we said that "this level of bullishness by Professionals suggests any downturn in the market will be shallow and short lived." And it was. Tuesday's fall this week was quickly wiped out and the market rebounded almost 50 points by the end of the week. It's uncanny how well the COT data alone is forecasting market direction.
Note: Commitment of Traders data is collected after the close on Tuesday each week and then published after the close on Friday. On the chart below: Light blue dot = Low turning point; Red dot = High turning point.
This week's Commitment of Traders Oscillator reading is 0
The COT Oscillator rose this week from -56 to 0. We have been looking for the next long entry signal and the move to zero this week confirms the best long entry was 2 weeks ago. The Emini remains over-bought and we've seen distribution above 1,560. Let's see if any market weakness early in the week brings back more bullish volume.
Remember, this is a longer term Emini indicator and designed to highlight broad trends. Click here for a full explanation of this Commitment of Traders analysis.
Saturday 7 July 2007COT Report - Professionals remain very bullish
This week's Commitment of Traders reading is +6.3%
The COT Report was delayed this week because of the July 4 holiday. Professionals are net long and their net long positions make up 6.3% of total open interest in all stock index futures. This is a big increase of 1.8% from last week.
This level of bullishness by Professionals suggests that any downturn in the market will be shallow and short lived. But take care relying on any one single market measure - use multiple non-correlated indicators to make trading decisions.
Note: Commitment of Traders data is collected after the close on Tuesday each week and then published after the close on Friday. On the chart below: Light blue dot = Low turning point; Red dot = High turning point.
This week's Commitment of Traders Oscillator reading is -56
The COT Oscillator declined marginally this week from -54 to -56. With the Oscillator below zero we have been looking for the next long entry signal. Last week's action was very positive but the Emini is currently over-bought and touching a resistance trend line. Let's see if bullish volume returns to the market this week to push through this resistance.
Remember, this is a longer term Emini indicator and designed to highlight broad trends. Click here for a full explanation of this Commitment of Traders analysis.
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