Each Friday in our post-market macro note — The Closer (available to Bespoke Institutional clients), we update tracking of futures market positioning using the CFTC’s Commitment of Traders report.  We’ve created a handy table so that clients can analyze the data each week, where we show the net position of traders reporting as speculators relative to the size of the market (percentage of open interest) in a given futures contract.

Speculator shorts are deducted from speculator longs to give a “net” position.  To summarize that positioning, the table below shows the current share of open interest (OI) along with the median, average, and ten year percentile.  We also show the change over the last 1, 4, 12, and 52 weeks, and show the position relative to the 10-year average in standard deviations in the scatter plot to the right as well as the change over the last 12 weeks.  The result is a comprehensive picture of how various asset classes are positioned.

Positioning can be a very helpful contrarian indicator; when financial speculators pile on to a rising price and become an unbalanced long, there’s nobody left to buy and prices are left vulnerable to a correction. This type of positioning is highlighted when the dots in our scatter plot move further and further into the green zone.  The opposite is also true for futures markets with falling prices.  When the dot in our scatter plot moves further and further left, speculators have become excessively bearish relative to history.  While not comprehensive – because they ignore spot markets for financial and physical commodities – the CoT report is definitely a helpful pointer to how the market currently sits.

Sign up for a two-week free trial to our Bespoke Institutional package if you’d like access to our weekly futures market positioning data in The Closer.

In our Closer report, we also show 10 year charts of positioning for each market listed above. Below is a sample of one of these chart grids, showing Energy futures positioning along with Copper, Lumber, and Gold.

Sign up for a two-week free trial to our Bespoke Institutional package if you’d like access to our weekly futures market positioning data in The Closer.

Print Friendly, PDF & Email