Sunday, 27 June 2010

Smart Money Rolls Dice on Rally

I've now updated my latest signals table based on Friday's Commitments of Traders data. More zigzagging in the COT data for the S&P 500.
The "smart money" commercial hedgers have gotten fired up the past week, raising their net futures and options position to a higher level as a percentage of the total open interest than any time in the past two and a half years.

Also, their relative position compared to recent data is higher than any time since Feb. 2010, which marked the start of the rally we saw early this year. At the same time, the wrong-way small trader crowd has suddenly gotten massively bearish. This is of course another positive sign. The setup works with a three-week delay for signals to take effect, so it's still flopping around based on how the data was bouncing around in recent weeks. The setup goes to cash this coming week, then goes back to bullish the week after.

U.S. financials: The COT data I use for signals for the benchmark BKX U.S. Bank Index is doing better again this week, with the total open interest for both the large speculators and small traders both moving up in the latest COT report. The setup remains in cash this week, though.

Natural gas: My setup for gas goes bearish for this coming week's open of trading.

Thanks for tuning in, and I hope you survived another week. Check back early this week for an update to my portfolio page. Good luck this week!


Dave Narby said...

Have been lurking for awhile with nothing to add except... Thanks for sharing your thoughts with us, I appreciate it.


.: moogle fishy :. said...

Do you mean, big boys are rolling for a rally?

Vic said...

Is that a phone number after:
"Good luck this week!" 4148466894

On the S&P 500 signals should the bullish date be modified to 7/6?

Is the S&P 500 Commercial at -0.03 because of the previous data string?

Alex Roslin said...

Hi Vic,

Oops. That was some code I put on to have my site recognized by another market site. Thanks for mentioning it. I've taken that off now.

For the S&P 500 signal, it takes effect on the open the week of July 5, as the table says.

The commercial COT position is -0.03 because that's where it stands in comparison to the moving average of the net position as a percentage of the total open interest.