CoT: Peek Into Future Through Futures – How Hedge Funds Are Positioned By Hedgopia | May 27, 2017
Following futures positions of non-commercials are as of May 23, 2017.
E-mini S&P 500:Currently net long 40.4k, up 8.3k.
The buy-the-dip crowd saved the day – again. Off the Comey/Trump one-day selloff last week through Thursday’s all-time high of 2418.71, the cash rallied 2.8 percent.
All this without much help from flows.
In the week to Wednesday, SPY, the SPDR S&P 500 ETF, lost $1.5 billion (courtesy of ETF.com). In the past four, $10.2 billion was redeemed.
In the same week, $10.1 billion came out of U.S.-based equity funds – $17.1 billion in the past four (courtesy of Lipper).
Thursday, the S&P 500 kissed the daily upper Bollinger band. In the event of a breather, bulls need to defend 2400. Or the 50-day moving average (2372.52), for that matter.
Nasdaq 100 index (mini):Currently net long 74.1k, down 4.5k.
The energizer bunny that is the Nasdaq 100 keeps chugging higher. Yet another high on Thursday (5793.13) on the cash.
The 10-day which last week looked like it was itching to go lower is pointing up again, with the index moving further and further away from 5450 – first layer of decent support.
Things are beyond extended. Barring a brief drop below in April, the weekly RSI has been in the 70s for nearly four months now. That said, this also points to prevailing momentum.
In the week ended Wednesday, QQQ, the PowerShares Nasdaq 100 ETF, attracted $394 million (courtesy of ETF.com).
Russell 2000 mini-index:Currently net short 72.5k, up 28.6k.
After rallying three percent from last week’s low through Thursday’s high, the cash – essentially range bound between 1390s and 1340s for nearly six months – got stopped at resistance.
The Russell 2000 continues to act the weakest of major U.S. indices. Small-cap bulls did retake the 50-day this week but are struggling to build on it. Flows are not helping.
In the week ended Wednesday, IWM, the iShares Russell 2000 ETF, lost $1.8 billion. In the prior two weeks, $2.4 billion was withdrawn (courtesy of ETF.com).
US Dollar Index:Currently net long 31.3k, down 3k.
The cash (97.36) is trying hard to stabilize, and likely succeeds – at least near term. For the last several sessions, it has gone sideways near the daily Bollinger band. This week’s low approximates the bottom of a five-month downward-sloping channel. This gives dollar bulls some room to maneuver.
Resistance is galore – 99.20 (seven-month horizontal resistance), 100 (underside of broken May 2016 rising trend line), and 100.7 (range top going back to March 2015).
Medium-term, non-commercials continue to act tentative, having cut net longs to a 33-week low.
VIX:Currently net short 102.4k, down 39.9k.
From an intra-day high of 15.71 six sessions ago to a low of 9.65 Friday, it was yet another instance of rapid volatility contraction after a spike reversal.
Thursday, the cash closed below 10. Ditto with Friday. This was the fourth such instance this month – and 13 overall. VIX goes back to January 1990. That is how rare it is.
It is also safe to assume that once VIX (9.81) drops this low, the path of least resistance is up. It is just a matter of if it lingers around here or shoots right back up.
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