CoT: Peek Into Future Through Futures, How Hedge Funds Are Positioned By: Hedgopia | August 4, 2018
Following futures positions of non-commercials are as of July 31, 2018.
E-mini S&P 500:Currently net long 170.3k, down 11.6k.
Bulls stepped up where they needed to. Early weakness Thursday morning was bought hand over fist just under 2800. The cash (2840.35) broke out of this level mid-July. Wednesday last week, it retreated after getting rejected at the upper bound of a four-month rising channel at 2848.03. This price point is now worth watching next week.
In the week to Wednesday, flows improved as well. US-based equity funds (including ETFs) gained $2.1 billion (courtesy of Lipper.com). In the ETF land, SPY (SPDR S&P 500 ETF) took in $4.6 billion, VOO (Vanguard S&P 500 ETF) $145 million, while IVV (iShares core S&P 500 ETF) lost $662 million (courtesy of ETF.com).
Nasdaq 100 index (mini):Currently net long 43.2k, up 10.4k.
Apple (APPL) literally saved the day for the Nasdaq 100 – for now. Monday and Tuesday, the cash (7395.49) tested the 50-day. Tuesday, AAPL reported its fiscal 3Q, followed by a 5.9-percent jump Wednesday and another 2.9-percent rally Thursday. The stock has a 12-percent weight in the index. For the week, the Nasdaq 100 rallied 1.3 percent, and has room to go test last week’s high, which is 1.6 percent away. Things are different on a weekly basis, however, where momentum indicators remain way overbought, and are looking ready to head lower.
In the week to Wednesday, QQQ (PowerShares QQQ ETF) saw $765 million come out (courtesy of ETF.com). In the prior week, $1.6 billion was withdrawn.
Russell 2000 mini-index:Currently net long 32.8k, up 7k.
In the last six weeks, small-cap bulls have been denied at 1700-plus three times – 1708.10 on June 20, 1708.56 on July 10 and 1706.83 on July 24 – but they are not ready to give in just yet. They defended the daily lower Bollinger band in the first three sessions. For the week, the cash (1673.37) rallied 0.6 percent. If it manages to continue higher, bulls do not want to get rejected at that resistance again.
Rather encouragingly for them, after seeing redemptions in the prior five weeks totaling $2.4 billion, IWM (iShares Russell 2000 ETF) in the week to Wednesday attracted $483 million. In the same week, IJR (iShares core S&P small-cap ETF) gained $65 million (courtesy of ETF.com).
US Dollar Index:Currently net long 28.5k, up 3.2k.
The cash (94.96) has made higher lows since May 14. The streak continued this week. Tuesday, the US dollar index stopped at 93.94. By Friday, it was testing the daily upper Bollinger band. The 95-plus level has resisted rally attempts since late May. It will be an important test. Friday, it rallied to 95.19 intraday before heading lower. A breakout will have consequences for a whole host of assets.
In the meantime, non-commercials are not aggressively building net longs, but they are not as indifferent as in the past either. This week, net longs rose to a 14-month high.
VIX:Currently net short 103.5k, up 17.3k.
After last Friday’s rejection at the average, the cash (11.64) twice this week failed to take out the 200-day. Amidst this, the daily Bollinger bands have tightened to merely 2.3 points. When the bands contract this much, this often precedes a sharp move. VIX is already in low double digits. Unless in the sessions ahead it goes on to test the all-time low of 8.56 of last November – never say never, but unlikely – if a genuine sharp move is coming, it will have to be on the upside. At least volatility bulls hope so. Not that they did not have their share of chances of late. Over the last three months, 19-plus resisted rally attempts several times. For this to change, the 200-day needs to go first.
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