CFTC Reports of Commitment of Futures Traders

[Dogpile 10]

Data is released to track the outstanding value of futures contracts held overnight.

[Dogpile 10]

Russell and Nasdaq Attached

[brownsfan019 17]

Interesting note dogpile, thanks for posting.

 

That coincides with my discussion with James_gsx in our thread here - http://www.traderslaboratory.com/forums/f104/djia-candles-2275.html

 

I was commenting there was a buy and while it has been working, James pointed out that while price has risen, it has done so on low volume, which is a big concern for the bulls.

 

Perhaps this report is an omen of what to come... I think we'll see these shorts win and bring this thing down or that magical 'someone' will run this up to find the stops of these shorts. Should make for some interesting action soon.

[Dogpile 10]

I have learned over the years to remain flexible. I find it helps to think about reasons why the market can go up or down to keep you as objective as possible. It is so easy to get overly bullish or bearish based on recent action. This data has been consistently 'crowded short' lately -- it does not mean the market can't go down. It just seems like I know a lot of bears right now... and I am trying not to be too bearish --- trying to remain open to whatever pattern presents itself next. looking at data such as this helps that.

[james_gsx 16]

This may be a dumb question, but how would the price be rising so dramatically if so many people were going short? Unless these are longer term positions that were accumulated over the last few weeks?

[brownsfan019 17]

Good question James. There's one train of thought that says 'they' are keeping prices where 'they' want them to be able to accumulate a large short position. In other words, let's say you worked for a large institution and were told to get aggressively short on the ES but do not make your move obvious. What would you do? You'd try to get short at your preferred level as much as possible w/o red flags going up everywhere. To do this, you'd need to accumulate positions over DAYS or WEEKS.

[Dogpile 10]

<<This may be a dumb question, but how would the price be rising so dramatically if so many people were going short? Unless these are longer term positions that were accumulated over the last few weeks?>>

 

Futures are just one part of the equation. There is very complex relationship between futures, options and stocks.

 

For instance, if you buy index puts -- whoever sold those puts to you very likely turned around and sold futures to hedge his position. Selling those futures puts downward pressure on the index but that may be offset by Fidelity or Joe Public buying stocks. If outside selling does come in then the put goes more 'in the money' and the seller of the option now has to sell more futures in order to stay hedged (hedging options is a dynamic process as they rise and fall in value exponentially).

 

You can see how there can be kind of a spiral effect as puts go in the money creating increased need to sell futures by option sellers. Eventually, the futures sellers will cover the futures positions as the puts expire. If put buyers come back after expiration then more futures will be sold.

 

Thus futures selling and put buying are closely related.

 

Re these charts, they just show we are at one end of the spectrum in terms of futures selling. I just look at the chart and see some reasons to look for upside --- amid many reasons to look for downside -- it is just one thing to consider.

[Dogpile 10]

by the way --- in the past, the Nasdaq futures have the best record of showing inflection points -- for whatever reason. You can see how the NQ futures gave a good signal in mid-2006 and that as of most recent reading -- are NOT at an extreme -- implying the market is not done going down yet....

 

I will try to post the NQ futures net positions here.

[Sparrow 10]

I've got little experience with the reports, so could someone please tell me if my interpretations are correct?

 

Here are this week's figures for the CAD futures

 

Commercials:

Long: 30,583 -5,937

Short: 91,730 +3,518

 

Non Commercials:

Long: 73,234 +5,221

Short: 21,889 -1,030

 

The weekly chart shows that price has been rejected at 0.9530 to 0.9570 for six consecutive weeks. Volatility is also decreasing and entering a congestion area. It's unlikely that the non commercials will gain the upper hand, the commercials have the deeper pockets and would be in a lot of pain if prices didn't drop.

For me that sounds like a compelling case to go short at the right price. Am i correct or is my approach flawed?

[Dogpile 10]

updating this thread with a longer-term chart of NQ Futures data. This has been a pretty good indicator for the market as a whole (not just Nasdaq).

 

Note that this is not showing a major bottom in place yet.

[Sparrow 10]

Very nice Dogpile. Is signing up to merrill lynch the only way to get these charts?

 

Writing a small program that does the charting based on the CFTC data wouldn't be so hard. The only thing i haven't figured out yet would be how to identify the oversold/overbought conditions.