Saturday 20 September 2008

Commitment of Traders Update

Latest Commitment of Traders charts. I'm just returning from 10 days in Hawaii and will post a longer article before Monday's open.

Emini Commitment of Traders Image

Commitment of Traders: Professionals -0.6% (short)

Bear in mind that the Commitment of Traders data is collected at the close on Tuesday, therefore, before the volatility we saw at the end of last week. The Large contract (SP) professionals have reduced their short positions from -2.0% to -0.6% of total open interest.

The Large contract (SP) professionals have become more bullish than the Mini contract (ES) professionals. The red line in the chart above shows the difference between the two groups. This week the difference was +1.9%. Back testing shows that the Large contract professionals are a more reliable indicator of market direction.

Emini Commitment of Traders Oscillator Image

Commitment of Traders: Oscillator -75

The Commitment of Traders Oscillator continued to drop from -65 to -75 this week. However, it looks like the Oscillator is beginning to turn, although has not reached true over-sold levels of around -100.

Looking back the over-bought reading we had a month ago looks to have been a very good signal to limit exposure long and go short. The highest turning point of the last cycle is marked with a red dot (low turning points are shown with blue dots).

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 to a feature article with a full explanation of this Commitment of Traders analysis.