Saturday 17 May 2008

Commitment of Traders Oscillator Reaches +110

Latest Commitment of Traders charts.

Emini Commitment of Traders Image

Commitment of Traders: Professionals +1.2% (long)

The professionals (large SP contract) are still long, but they reduced their long positions from 1.9% to 1.2% of total open interest this week. This is now 3 weeks in a row that the professionals have been lightening their long positions.

What was interesting this week was that the large contract (SP, etc.) professionals moved in a sharply different direction than the small contract (ES, etc.) professionals. My back-testing has shown that the large contract professionals are a more reliable indicator of future market direction and divergences like this can be significant.

Emini Commitment of Traders Oscillator Image

Commitment of Traders: Oscillator +110

The Commitment of Traders Oscillator reached +110, up from +81 the week before. This is over-bought but the oscillator has still not rolled over yet.

We could be approaching a cycle top soon. We've got:

Over-bought swing trading oscillators (TRIN, Put Call Ratio)
Weekly Hilbert Sine Wave cycle top, and
Over-bought on Bond market oscillator

I'm going to be looking for signs of profit-taking this week - particularly volume patterns like exhaustion volume, high volume churn, "No Demand" or Stopping Volume.

The Commitment of Traders Oscillator is a longer term Emini indicator and designed to highlight broad trends. 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. Follow this link for a full explanation of this Commitment of Traders analysis.