VIX Futures Speculators raised bearish positions to highest since September in COT data

By CountingPips.com

Weekly CFTC Net Speculator VIX Report




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VIX Futures Contracts: Large traders and speculators added to their overall bearish bets in the VIX futures market last week for a third straight week and to the highest level since September, according to the latest data from the Commodity Futures Trading Commission (CFTC) released on Friday.

The VIX non-commercial futures contracts, comprising of large speculator and hedge fund positions, totaled a net bearish position of -82,686 contracts in the data reported for May 13th. This was a change of -19,220 contracts from the previous week’s total of -63,466 net contracts that was registered on May 6th.

The third straight weekly increase in bearish positions brings overall net contracts to the highest bearish level since September 17th 2013 when net positions stood at a level of -91,017 contracts.

Meanwhile, the VIX index over the same reporting time-frame last week edged lower from a 13.80 reading on Tuesday May 6th to a 12.13 reading on Tuesday May 13th, according to the Chicago Board Options Exchange (CBOE) Volatility Index.

 

Last 6 Weeks of Large Trader Positions

Date Open Interest Long Specs Short Specs Net Non-Commercials Weekly Change VIX Score
04/08/2014 359952 105096 136842 -31746 -1173 14.89
04/15/2014 368887 96296 132242 -35946 -4200 15.61
04/22/2014 362130 106598 140655 -34057 1889 13.19
04/29/2014 365215 110843 156329 -45486 -11429 13.71
05/06/2014 391848 104252 167718 -63466 -17980 13.80
05/13/2014 419669 111532 194218 -82686 -19220 12.13

*COT Report: The weekly commitment of traders report summarizes the total trader positions for open contracts in the futures trading 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).




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