Saturday 29 December 2007

COT Report and Emini Charts

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

Emini and COT Professionals Image

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 and COT Oscillator Image

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 and COT Large Contract Image

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 COT Oscillator 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.

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