29 replies to this topic

[jmicou]

Not sure where you got your charts from but this one shows commercials still short, although the trend is for them to be less short than in feb/mar but new trend is increasing to the downside.

I get them from myself. You may want to take a look again at my SPX COT Big Contract Commercial Net chart. You may also want to read my notes above on how to understand those positions.

Edited by jmicou, 08 April 2007 - 03:32 PM.

[Russ]

Echo, Looks impressive, what's the best way to learn about Hurst cycle projection?

- jmicou, I read what you wrote, thanks for the post.

Russ

FYI, RUT generated an upward 10wk Hurst cycle projection to 845 +/- 8.5 points that should be met (if it is going to be met) before the May expiration 5/18, most likely by late April or early May.

Echo

[gorydog]

Not sure where you got your charts from but this one shows commercials still short, although the trend is for them to be less short than in feb/mar but new trend is increasing to the downside.

Russ,
Look at the levels at the end of august on this graph. That is the closest configuration to where we are at now. Then look at the market over the following weeks. It's a bullish configuration.
GD

[Russ]

Good point GD and given the diverging internals on the march lows it looks like any attempt to bring the market down now will be limited.

Russ,
Look at the levels at the end of august on this graph. That is the closest configuration to where we are at now. Then look at the market over the following weeks. It's a bullish configuration.
GD

[Echo]

Echo, Looks impressive, what's the best way to learn about Hurst cycle projection?
Russ

FYI, RUT generated an upward 10wk Hurst cycle projection to 845 +/- 8.5 points that should be met (if it is going to be met) before the May expiration 5/18, most likely by late April or early May.

Echo

Russ, best method is to study the course available through Traderspress. Airedale would agree. Echo

[deacon]

this was discussed when mini's and their cot reports first came on the scene, and the conclusion was that what was called a 'commercial' in the minis was in fact a 'small spec' in terms of the large contract

perhaps the cftc has altered the way they started in the reporting over the years, but here's a link agreeing that you can't count on minis to make a hypothesis:
"Do you include the E-mini contracts in your COT analysis?
Yes, we do give weight to various mini contracts in formulating our forecasts, but there are differences: Each standard S&P 500 futures contract is sized at $250 time the index. If the S&P is trading at 900.00, this means that each contract is valued at $225,000. The large trader reporting level for the full-size S&P 500 futures contract is 1,000 contracts, meaning that the minimum holding of a large commercial hedger is $225 million. Compare this to a mini contract holder, where the contract multiplier is $50 and the reporting level is 300 contracts. Here, holdings of just $13.5 million qualifies as a "large commercial hedger," but these would be included in the "small trader" category if they were trading the full-sized contract. Obviously, at just 6% of the position size, the mini commercial is a different animal than the commercial who is trading full-sized contracts. Because of the short history of E-mini commitments data, it is too early to make firm evaluations of the usefulness of this analysis. Meanwhile, the full-sized S&P 500 contract, which enjoys the longest history, continues to provide extremely timely trading advice."
http://www.insiderca...llishReview.htm

sentimenttrader made nice posts elsewhere when SPX was down about 1375, saying the big contract SP commercials had covered their large short, and that bullish call turned out well

on NIKK, the number of contracts is so low it doesn't matter

commercials are about making money, they buy low and sell high, not just 'hedging', and in the other commodities they can let a market go against them for months while they build a position

normally the large specs are opposite the commercials in everything, and finally the large specs(who've made money earlier in the move) capitulate and the commercials win

[jmicou]

this was discussed when mini's and their cot reports first came on the scene, and the conclusion was that what was called a 'commercial' in the minis was in fact a 'small spec' in terms of the large contract

perhaps the cftc has altered the way they started in the reporting over the years, but here's a link agreeing that you can't count on minis to make a hypothesis:
"Do you include the E-mini contracts in your COT analysis?
Yes, we do give weight to various mini contracts in formulating our forecasts, but there are differences: Each standard S&P 500 futures contract is sized at $250 time the index. If the S&P is trading at 900.00, this means that each contract is valued at $225,000. The large trader reporting level for the full-size S&P 500 futures contract is 1,000 contracts, meaning that the minimum holding of a large commercial hedger is $225 million. Compare this to a mini contract holder, where the contract multiplier is $50 and the reporting level is 300 contracts. Here, holdings of just $13.5 million qualifies as a "large commercial hedger," but these would be included in the "small trader" category if they were trading the full-sized contract. Obviously, at just 6% of the position size, the mini commercial is a different animal than the commercial who is trading full-sized contracts. Because of the short history of E-mini commitments data, it is too early to make firm evaluations of the usefulness of this analysis. Meanwhile, the full-sized S&P 500 contract, which enjoys the longest history, continues to provide extremely timely trading advice."
http://www.insiderca...llishReview.htm

sentimenttrader made nice posts elsewhere when SPX was down about 1375, saying the big contract SP commercials had covered their large short, and that bullish call turned out well

on NIKK, the number of contracts is so low it doesn't matter

commercials are about making money, they buy low and sell high, not just 'hedging', and in the other commodities they can let a market go against them for months while they build a position

normally the large specs are opposite the commercials in everything, and finally the large specs(who've made money earlier in the move) capitulate and the commercials win

You might find these dollar weighted contract charts of interest. From personal observation, the NDX Mini Non-Commercial seems helpful:

[Russ]

Thanks Echo

Echo, Looks impressive, what's the best way to learn about Hurst cycle projection?
Russ

FYI, RUT generated an upward 10wk Hurst cycle projection to 845 +/- 8.5 points that should be met (if it is going to be met) before the May expiration 5/18, most likely by late April or early May.

Echo

Russ, best method is to study the course available through Traderspress. Airedale would agree. Echo

[Iblayz]

The large trader reporting level for the full-size S&P 500 futures contract is 1,000 contracts, meaning that the minimum holding of a large commercial hedger is $225 million. Compare this to a mini contract holder, where the contract multiplier is $50 and the reporting level is 300 contracts. Here, holdings of just $13.5 million qualifies as a "large commercial hedger," but these would be included in the "small trader" category if they were trading the full-sized contract.

In my opinion the writer of this piece got the facts a little confused. I did not go to the link and read the post. I only read what was enclosed. While the reporting threshold is correct for the large S&P Futures Contract there is a clear mistake. Commercials are classified as "Commercial" when they declare to the commission that they are using the futures "primarily" as a vehicle for "hedging". If the commission feels that a particular entity is doing that without reporting the activity as such they contact the entity a make enquiry as to the nature of the activity. The rest are classified as either "large traders" or they fall into the "non-reportable group. For the large contract the trader or entity must hold a minimum of 1000 contracts in order to be classified as such. So the above statement only applies to those classified as "large traders" not to those that are hedging as the writer here infers. That is, as far as the large contract goes, you are talking about a minimum of 225 million. This is, of course, nothing to sneeze at but when those numbers are applied to "commercial hedgers" that is just plain wrong. There is no threshold mentioned in reference to this group.....only that they must be using the futures primarily for the purpose of hedging. The money at risk in the large trader and the non-reportable group should be viewed as straight bets on the market. Again, that makes those large trader positions representative of massive amounts of capital.



I have said it before, I say it again and nobody can say anything to make me believe otherwise. The market is most at risk (of a fall) when the large traders are heavy net long, small traders are heavy net long AND commercials are heavy net short......because they are hedging. When this happens I think.....everybody is long...very long....and that is dangerous. Clearly we do not have that situation at present.

[jmicou]

The large trader reporting level for the full-size S&P 500 futures contract is 1,000 contracts, meaning that the minimum holding of a large commercial hedger is $225 million. Compare this to a mini contract holder, where the contract multiplier is $50 and the reporting level is 300 contracts. Here, holdings of just $13.5 million qualifies as a "large commercial hedger," but these would be included in the "small trader" category if they were trading the full-sized contract.

In my opinion the writer of this piece got the facts a little confused. I did not go to the link and read the post. I only read what was enclosed. While the reporting threshold is correct for the large S&P Futures Contract there is a clear mistake. Commercials are classified as "Commercial" when they declare to the commission that they are using the futures "primarily" as a vehicle for "hedging". If the commission feels that a particular entity is doing that without reporting the activity as such they contact the entity a make enquiry as to the nature of the activity. The rest are classified as either "large traders" or they fall into the "non-reportable group. For the large contract the trader or entity must hold a minimum of 1000 contracts in order to be classified as such. So the above statement only applies to those classified as "large traders" not to those that are hedging as the writer here infers. That is, as far as the large contract goes, you are talking about a minimum of 225 million. This is, of course, nothing to sneeze at but when those numbers are applied to "commercial hedgers" that is just plain wrong. There is no threshold mentioned in reference to this group.....only that they must be using the futures primarily for the purpose of hedging. The money at risk in the large trader and the non-reportable group should be viewed as straight bets on the market. Again, that makes those large trader positions representative of massive amounts of capital.



I have said it before, I say it again and nobody can say anything to make me believe otherwise. The market is most at risk (of a fall) when the large traders are heavy net long, small traders are heavy net long AND commercials are heavy net short......because they are hedging. When this happens I think.....everybody is long...very long....and that is dangerous. Clearly we do not have that situation at present.

Agreed. Also, posted the $WTD NDX COT charts to show that a lot of money pours into the minis. They are significant, too.