Emini and COT Report: Professionals +4.3%

Here is the latest COT Report for the Emini.

Professionals are long 4.3% of total open interest in all stock index futures, down 0.1% from last week. Remember the COT Report data is collected at the close of trade on Tuesday. This week’s data does therefore not include positions taken during the large down move in the Emini at the end of the week.

As this large topping pattern has developed in the Emini since mid 2007, the Professionals’ position in both Large and Mini index futures has stayed stubbornly above zero (i.e. long). In previous corrections the Professionals’ position has always turned negative (i.e. short) before any move greater than 10%.

As each week goes by, I’m paying more and more attention to what the Professionals in the Large S&P contract are doing. Prior to this last leg down they did get short and this week they turned bullish and got long. Maybe the “real” smart money is trading the Large S&P contract. I’ll do some more research and report back.

Emini and COT Report: Oscillator -58

The COT Oscillator is at -58, down from -34 last week. We’re getting close to the typical reversal level of -80. Next week will be interesting.

Despite my comments above about the absolute level of Professional activity in Large versus Mini contracts, the COT Oscillator (which measures changes in position) is still providing good turning point signals.

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.

Here is the latest Emini and Commitment of Traders analysis.

Emini and Commitment of Traders Analysis: Professionals +4.4%

Professionals are long 4.4% of total open interest in all stock index futures, up 0.4% from last week.

Emini and Commitment of Traders Analysis: Oscillator -34

The Commitment of Traders Oscillator is at -34, down from -16 last week. We're in "no man's land" here with no clear signal – oversold but not close to the -80 typical reversal level. The next week will be one of waiting and seeing.

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.

Here are the latest Emini and Commitment of Traders charts.

Emini and Commitment of Traders: Professionals +4.0%

Professionals are long 4.0% of total open interest in all stock index futures, almost unchanged from last week's reading of +3.8%. Normally the Commitment of Traders data is collected after the close on Tuesday. This week, because of New Years, the data is for Monday's close. Remember the Emini was over 50 points higher at that stage.

Emini and Commitment of Traders: Oscillator -16

The Commitment of Traders Oscillator fell below the zero line and closed at -16 this week. We didn't reach the normal turning point of +80 last week, but the cross below zero confirms we're in a down swing. At -16 we're only slightly over-sold, however, remember the Commitment of Traders data is skewed this week because it does not include most of the week's trading.

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.

Here are the latest Emini charts from Friday's COT Report.

Emini COT Report: Professionals +3.8%

Professionals are long 3.8% of total open interest in all stock index futures, almost unchanged from last week's reading of +3.7%..

Emini COT Report: Oscillator +67

The COT Oscillator increased from +59 to +67 this week. We're getting closer to the +80 level where Emini reversals are likely, but we're not there yet.

Emini COT Report: Large versus Mini Contracts

I haven't shown this COT Report chart before. The indicator shows the difference between the Professional position in "large" index contracts (e.g. S&P500 SP, Dow DJ) versus "mini" contracts (e.g. Emini ES, Mini-sized Dow YM). When the indicator is positive, Professionals in the "larger" contracts are more bullish than Professionals in the "mini" contracts.

This week's reading was -6.8%, down from last week's reading of -1.7% and the peak in mid-October. This adds to the overall cautious view I have of the Emini market.

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.

Here are the latest Emini charts from Friday's Commitment of Traders report.

Emini Commitment of Traders: Professionals +3.7%

Professionals are long 3.7% of total open interest in all stock index futures, a decrease of 2.4% from last week. As an Emini upswing gets underway it is normal for the professionals to lighten their long positions, so this decline is not unusual.

Emini Commitment of Traders: Oscillator +59

The Commitment of Traders Oscillator increased from +49 to +59 this week. We're getting closer to the +80 level where Emini reversals are likely, but we're not there yet.

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.

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 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.

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 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.

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 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.

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 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.

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, 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.