Saturday 16 June 2007

Commitment of Traders oscillator drops below zero

Emini Commitment of Traders Image

This week's Commitment of Traders reading is +4.0%

Professionals are net long and their net long positions make up 4.0% of total open interest in all stock index futures. This is an increase of 0.5% from last week. Professionals continue to add to their long positions during market weakness over the last week and a half.

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.

Emini Commitment of Traders Oscillator Image

This week's Commitment of Traders Oscillator reading is -47

The COT Oscillator declined again this week from +9 to -47. With this fall below zero, we now how a confirmed high turning point at 1,559.00 on 1 June 2007. Last week I mentioned that "my best guess is that the COT Oscillator will bounce off the zero line and signal a long entry." Well, we might just have got that long entry this week. But we'll have to wait until the oscillator crosses above the zero line for a confirmation.

Although the COT data appears to be very bullish with a +4.0% reading and apparent Oscillator entry this week, the Bond market has collapsed over the last month. As a result, the Emini is very overvalued compared to Bonds and eventually something will have to give.

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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