April 20th – By CountingPips.com – Receive our weekly COT Reports by Email
VIX Non-Commercial Speculator Positions:
Large volatility speculators continued to boost their bearish net positions in the VIX futures markets this week, according to the latest Commitment of Traders (COT) data released by the Commodity Futures Trading Commission (CFTC) on Friday.
The non-commercial futures contracts of VIX futures, traded by large speculators and hedge funds, totaled a net position of -169,908 contracts in the data reported through Tuesday April 16th. This was a weekly decrease of -5,525 net contracts from the previous week which had a total of -164,383 net contracts.
The week’s net position was the result of the gross bullish position (longs) increasing by 21,791 contracts to a weekly total of 101,191 contracts but was more than overcome by the gross bearish position (shorts) which saw a rise of 27,316 contracts for the week to a total of 271,099 contracts.
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The net speculator bearish position rose for a third straight week and for the fourth time out of the past five weeks. The current net position is at the most bearish level since October 10th when the net position reached a total of -174,665 contracts.
The speculators and commercial traders are both currently in extreme positions, according to a statistical technique we use called the COT Index that compares current positions to the range of the past three years. The two most recent times of prolonged extreme positions have forecasted sharp rises in the VIX price (see chart of net positions below). These moves can take place a few to many months after showing up and usually happen when speculators start bailing on their extreme short positions (creating a short squeeze situation) after prices fail to continue in the downward direction.
VIX Commercial Positions:
The commercial traders position, hedgers or traders engaged in buying and selling for business purposes, totaled a net position of 174,083 contracts on the week. This was a weekly advance of 6,038 contracts from the total net of 168,045 contracts reported the previous week.
Over the same weekly reporting time-frame, from Tuesday to Tuesday, the VIX Futures (Front Month) closed at approximately $12.50 which was a decline of $-2.65 from the previous close of $15.15, according to unofficial market data.
*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) as well as the commercial traders (hedgers & traders for business purposes) were positioned in the futures markets.
The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators).
Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).
Article By CountingPips.com – Receive our weekly COT Reports by Email