Updated COT Report charts below.
COT Commercials: -1.7% (short)
The Commercials (professionals) turned bearish this week. The large contract (SP) Commercials are now net short 1.7% of open interest.
Once again we have to be wary of the delay between data collection and publication. The COT data is collected at the close on Tuesday and the largest falls in the Emini happened after Tuesday. However, I said that last week and was expecting the Commercials to be buying at the end of that week. Instead they were shorting.
Another important point to note this week. The large contract Commercials are shorting while the mini contract Commercials are going long. There is a large difference between the large contract and mini contract Commercials now. My back testing has shown that the large contract Commercials are a more reliable predictor of Emini direction.
COT Commercials: Oscillator -46
Made a change to my COT Oscillator calculation this week. The old calculation relied on a couple of hard coded numbers and I hate having anything that looks like optimization in my code. Anyway, the new code now is cleaner. The shape of the COT Oscillator has not changed just the extreme levels reached (+/-100 instead of +/-80).
This week’s COT Oscillator reading is -46, up a fraction from last week. Given the Commercial’s short position, I’ll wait a week before commenting on the Oscillator.
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.