CoT: Peek Into Future Through Futures, How Hedge Funds Are Positioned By: Hedgopia | July 28, 2018
Following futures positions of non-commercials are as of July 24, 2018.
E-mini S&P 500:Currently net long 181.9k, down 1.1k.
Bulls built on last week’s rectangle breakout at 2800. Wednesday, the cash (2818.82) rallied to within less than 25 points of the all-time high of 2872.87 on January 26. In doing so, it also tested the upper bound of a four-month ascending channel. Most of that session’s gains came in the last half hour as news of a trade truce between the EU and the US hit the wires. The daily chart is way extended. The January 30 gap has been filled. Breakout retest is likely near term. The 50-day lies at 2761.62.
In the week to Wednesday, SPY (SPDR S&P 500 ETF) took in $1.9 billion, VOO (Vanguard S&P 500 ETF) $364 million, while IVV (iShares core S&P 500 ETF) lost $478 million (courtesy of ETF.com). In the same week, US-based equity funds (including ETFs) lost $620 million (courtesy of Lipper.com). This was the seventh weekly outflows in last eight, during which $44.9 billion was withdrawn.
Nasdaq 100 index (mini):Currently net long 32.9k, down 6.3k.
In the week ended Wednesday, QQQ (PowerShares QQQ ETF) experienced outflows in every session, with combined loss of $1.6 billion (courtesy of ETF.com). The cash (7296.78) in the meantime rallied to yet another high on Wednesday (7511.39), once again testing the upper bound of a six-month ascending channel.
During the week, of the major tech names, Facebook (FB) and Intel (INTC) disappointed, while Alphabet (GOOGL) and Amazon (AMZN) received positive post-earnings reaction, although AMZN closed poorly. The Nasdaq 100 continues to be led by a very narrow group of leaders. With daily momentum indicators having turned lower, the index closed the week right at near-term support of 7300. Medium term, it needs to go a lot lower before overbought conditions are unwound.
Russell 2000 mini-index:Currently net long 25.8k, down 15.3k.
Bulls yet again tested 1700-plus on the cash (1663.34), and met with failure – 1708.10 on June 20, 1708.56 on July 10 and 1706.83 this Tuesday. This sideways action follows a break out of 1610-15 mid-May, hence can be viewed as consolidation before another leg higher. But non-commercials have not been betting on this outcome.
The weekly chart in particular remains way overbought. Friday, the 50-day was slightly breached. Breakout retest is the path of least resistance.
In the week to Wednesday, IWM (iShares Russell 2000 ETF) saw withdrawals of $916 million. This is the fifth straight week of redemptions, having lost $1.5 billion in the prior four. IJR (iShares core S&P small-cap ETF) in the same week gained $334 million (courtesy of ETF.com).
US Dollar Index:Currently net long 25.3k, up 6.3k.
Since May 14, the cash (94.46) has made higher lows. Shortly thereafter, 95-plus posed resistance. So in essence, the US dollar index is in the midst of an ascending triangle. A breakout will be significant. This is probably why dollar bulls have not given up. In three of the first four sessions this week, the 50-day was lost intraday but saved by close.
That said, non-commercials are not betting on a massive breakout. At least not yet. Prior to this week, net longs went flat in the 18,000 range for five weeks. This week, they added more, but have not gotten very aggressive. They are probably eyeing the weekly chart on the cash which remains grossly overbought.
VIX:Currently net short 86.2k, up 14.3k.
For over seven weeks, volatility bears tried to push the cash (13.03) sub-11, but unsuccessfully. Unlike in the past when VIX routinely dropped to 10 – even high single digits (all-time low of 8.56 last November) – it has found support at a higher level since stocks sold off late January-early February. Unless broken, this is a trend shift. The only thing is, attempts to push off of this support have met with selling, with 19-plus resisting rally attempts several times the past three months. Friday, VIX was unable to take out the 200-day. But in all probability a breakout is coming.
In the meantime, the 21-day moving average of the CBOE equity-only put-to-call ratio continued to inch higher, with Friday at 0.623. This metric has thus far diverged from the S&P 500. On June 26, it dropped to 0.56, which is low and reflects built-in optimism. One reason behind this is that protection is being sought even as stocks are rallying. Put skew is positive, and elevated.
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