CoT: Peek Into Future Through Futures – How Hedge Funds Are Positioned By: Hedgopia | September 30, 2017
Following futures positions of non-commercials are as of Sep 26, 2017.
E-mini S&P 500:Currently net long 119.7k, up 18.4k.
Near-term support at 2480-90 on the cash was tested Monday – successfully. The bulls were able to build on that with a new intra-day high of 2519.44 on Friday.
This was preceded by a slight increase in short interest on SPY (SPDR S&P 500 ETF) mid-September, which rose 5.3 percent period-over-period. Shorts likely got squeezed. That said, they are not getting very aggressive.
The week to Wednesday also saw outflows of $9.7 billion from U.S.-based funds (courtesy of Lipper).
In the same week, SPY itself lost $2.6 billion. As did VOO (Vanguard S&P 500 ETF) and IVV (iShares core S&P 500 ETF) – $11 million and $1.4 billion, respectively (courtesy of ETF.com).
Nasdaq 100 index (mini):Currently net long 28.3k, down 10.3k.
The cash (5979.3) has been trapped in a rising wedge for four months. It briefly fell out of it on Monday, but was saved in the nick of time.
Short interest on the Nasdaq composite remains elevated, and this could end up helping the bulls if they can force a squeeze.
The 6000 level has resisted rally attempts for a couple of months now, with a high of 6012.95 on September 18.
In the week to Wednesday, QQQ (PowerShares QQQ trust) lost $1.1 billion (courtesy of ETF.com).
Russell 2000 mini-index:Currently net short 26.3k, down 16.2k.
The cash (1490.86) traded within a rising wedge for nearly four years now. This was broken this week – to the upside – thanks in particular to Wednesday’s 1.9-percent surge. The index also rose to a new high, and has gone parabolic since the intraday low of August 18. It has rallied north of 10 percent since. The daily RSI ended the week at 82 – way overbought.
Non-commercials are getting squeezed.
Small-cap bulls are placing a lot of faith in the tax plan put forth by the White House this week to pass Congress. It is probably too soon to conclude that, considering the federal government already owes more than $20 trillion in debt. But the crowd thinks otherwise.
For now, the bulls are sitting pretty. Nearest support lies at 1452.
In the week to Wednesday, inflows of $39 million into IWM (iShares Russell 2000 ETF) were much weaker than prior week’s $1.9 billion, but were positive nonetheless (courtesy of ETF.com).
US Dollar Index:Currently net short 6.6k, up 390.
Riding the coattails of rising interest rates, the cash (92.88) finally broke out of broken-support-turned-resistance at 92.50-60. It also took out the 50-day.
On the weekly chart, the dollar index has plenty of room to continue higher, but near term the bulls may not be out of the woods, with daily conditions now overbought. A retest of the afore-mentioned level is a must-save for the bulls.
VIX:Currently net short 172.4k, up 1.2k.
The VIX-to-VXV ratio has stayed oversold for six weeks now, with four of them in mid- to high-0.70s and two low-0.80s. At least going back two and a half years, the ratio has lingered in oversold territory for weeks before spiking.
This is not going to happen until spot VIX begins to demand premium. Since September 5 when it rose to 14.06, rally attempts for the most part have been consistently sold, including this week, with all five sessions dipping below 10 intraday and three closing under.
In the meantime, the 21-day CBOE equity put-to-call ratio dropped to .605 nine sessions ago, before rising a tad. But at .619, there is plenty of room to rise. Several times in the past, the ratio in high .50s-low .60s have been a signal to get cautious on equities – at least short-term.
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