Saturday 28 June 2008

Reversal in Commitment of Traders Data

Latest Commitment of Traders charts:

Emini Commitment of Traders Image

Commitment of Traders: Professionals -1.8% (short)

The large (SP) contract professionals reversed their net position this week from long to short. The drop was from +4.9% of total open interest to -1.8%.

By contrast, the mini (ES) contract professionals increased their long positions to +7.0% of open interest. I have shown both data sets on the chart above.

The back testing that I've done shows that the large contract professionals are a better indicator of future market direction than the mini contract professionals.

Emini Commitment of Traders Oscillator Image

Commitment of Traders: Oscillator -74

The Commitment of Traders Oscillator has turned up this week and gone from -122 to -74. The Emini is at critical support (1,260 to 1,280) and it's quite possible that we'll get a bounce or short covering rally this week.

However, the strength of the market is clearly in doubt with this week's sharp drop in the professional's outlook. Good luck with your Emini trading.

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.