Saturday 19 January 2008

Latest COT Report for the Emini

Here is the latest COT Report for the Emini.

Emini and COT Report Image

Emini and COT Report: Professionals +4.3%

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 Oscillator Image

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.

The COT Oscillator is a longer term Emini indicator and designed to highlight broad trends. The COT data is usually collected after the close on Tuesday each week and the COT Report is published after the close on Friday. Click here for a full explanation of this Commitment of Traders analysis.