Commitment of Traders (COT) Reports - 03/22/2011

After missing a couple of reports due to traveling, it's time to catch up. A lot has happened over the last 3-4 weeks, most notably the persistent unrest in the middle east and North Africa -particularly in Libya - and, of course, earth quake in Japan and the nuclear crisis that ensued. Through this bumpy ride, markets remained in favor of risk and the US stock market was able to maintain its multi-month highs as yields on US treasuries began to creep up again. However, the most recent COT reports signal a mood swing may already be in play.

Of the nine reports we look at, the S&P 500 E-minis report provides the most ominous reading of all. After a sharp spike in net positive position last week, we now can see a huge swing in non-commercial positions to the negative side. Combined with a smaller net-short position in Ten Year Notes and a higher net-positive position in JPY, these reports suggest a risk aversion mood is setting in.

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Commitment of Traders (COT) Reports - 03/08/2011

COT reports (net positions) for March 08, 2011

Commitment of Traders (COT) Reports - 02/22/2011

Against the odds, speculative (non-commercial) positions in the S&P 500 e-minis are on the rise for the second week in a row, brushing off unrest in the Middle East and northern Africa. Speaking of unrest, it should come as no surprise to see the spike in Crude positions. But what is surprising, are the new lows in net short positions for ten year Notes and the JPY - both often considered safe havens, albeit for different reasons.

As always, click on the images to enlarge, and enjoy!

Commitment of Traders (COT) Reports - 02/15/2011

For now, just the graphs. Commentary to follow later in the weekend....

Commitment of Traders (COT) Reports - 02/08/2011

Perhaps the only sharp and interesting change from last week is in the S&P e-mini COT report. Non-commercials shifted to a net short position. This move, together with a smaller net short position in the Ten Year Note is signaling that a correction at the 1300 level may not be out of the question after all.....

Commitment of Traders (COT) Reports - 02/01/2011

I love looking at the COT reports despite their obvious limitations; although they contain data three days old, they do provide an excellent window into market sentiment. Take for example the E-Mini COT report. For the past couple of weeks we have been noticing an increase in net-positive positions of the non-commercials - just as the S&P500 has been steadily moving closer to a major resistance level: 1300. As I mentioned in a post from two weeks ago, the shift in net-positive positions indicated that the S&P had some room to stretch. This week, the S&P not only managed to break above the 1300 level but also managed a Friday close above this level.

Commitment of Traders reports are far from being a magic crystal ball to predict the future. But taken in the right context, they can help us frame a short term bias.

Highlights of this week's COT reports:

• S&P E-Mini's report showing yet another increase in net-positive positions.
• EUR net positive positions increase, while DXY positions are now negative (for non-commercials)
• Ten Year Notes register another increase in net-short positions - suggesting further rate increase in the 10YR benchmark (bye, bye, cheap mortgage rates?)
• Crude net-positive positions stay elevated - not expecting to see any decline in oil prices in the near future.

 Click on images below to enlarge: