Why are S&P and EMini S&P COT reports so different? - futures io
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Why are S&P and EMini S&P COT reports so different?


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Why are S&P and EMini S&P COT reports so different?

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  #1 (permalink)
 josh 
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Why are the COT reports for the big S&P contract (top) and emini S&P contract (bottom) so different?

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 Fat Tails 
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josh View Post
Why are the COT reports for the big S&P contract (top) and emini S&P contract (bottom) so different?

I think that the breakdown of the traders into commercial and non-commercial positions is inaccurate, if not contradictory.

I suggest to use the Traders in Financial Futures Report, which breaks down the traders into the following categories

Dealer / Intermediary
Asset Manager / Institutional
Leveraged Funds
Other Reportables

If you break down the position this way, the picture is consistent:

Dealers / Intermediaries have a net short position.
Asset Managers / Institutional have a net long position.
Leveraged funds have a net short position.
Other reportables are net short as well.

Link to Traders In Financial Futures Report from November 8:

CFTC Commitments of Traders Short Report - Financial Traders in Markets (Futures Only)
CFTC Commitments of Traders Short Report - Financial Traders in Markets (combined)

Note explaining the new breakdown:

https://www.cftc.gov/ucm/groups/public/@commitmentsoftraders/documents/file/tfmexplanatorynotes.pdf

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 josh 
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Thanks FT -- I will read more on the breakdown and make sure I understand it. Great info, thanks a bunch.

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ammo
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maybe because 5 eminis equal 1 big contract

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 josh 
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ammo View Post
maybe because 5 eminis equal 1 big contract

Are you suggesting traders trading the big contract are hedging against their positions on the emini? Otherwise, why would they be flip flopped as they are?

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ammo
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yes ,hard to tell on that chart,but if you shrink it down to a daily,you will probably see a ratio correlation

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 Fat Tails 
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ammo View Post
maybe because 5 eminis equal 1 big contract

This is definitely not the reason. If you look at the COT statistics above you will see that commercial hedgers

-> have a net short position of 16,865 contracts of the big S&P 500 futures
-> have a net long position of 264,522 contracts of E-mini S&P 500 futures

If you convert the 16,865 contracts to E-mini equivalents, you will get 84,325 contracts short.

So it seems that the same group is long the E-mini while it is short the big S&P 500.


Don't believe in any Statistics that you have not forged yourself!

The contradiction can be explained in two ways.

(1) The stastistics above looks at the difference between long and short positions and shows net positions per group. If you look at the ratio between long and short positions of comnmercial hedgers you would find

Big S&P 500: long 203,685 - short 220,500 -> ratio long/(long + short) = 48%
E-mini S&P 500: long 2,369,188 - short 2,104,666 -> ratio long/(long + short) = 53%

This means that out of 100 positions in the big S&P 500 futures held by commercial hedgers there are 48% long and 52% short positions. Out of 100 positions in the E-mini S&P 500 futures there are 53% long and 47% short positions.

In the end this is not a big difference. It is just the way that chart presents the difference. I suggest that you also look at COT ratios and not only at absolute figures.

(2) As I said in my prior post, the aggregation of positions into non-commercial and commercial positions does not make sense. Swap dealers and index traders are included with commercial positions, although they may be both sell side dealers for commercial (hedging) customers and enter speculative positions on their own account.

For more details also see pages 44 - 51 of the paper below:

https://www.loe.org/images/content/080919/cftcstaffreportonswapdealers09.pdf

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ammo
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i said maybe for starters,and your example ,was 11.5 /1 on the long side ....and 9.5 to 1 on the short side,since you watch it,i dont have access to these numbers,it would be interesting to track the ratio and see if there is a divergence and if it gives any pre move clues,obviously the one example can not be used as an avg to measure against...like i said, maybe, it was only a guess

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 Gianni78bari 
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Fat Tails View Post
This is definitely not the reason. If you look at the COT statistics above you will see that commercial hedgers

-> have a net short position of 16,865 contracts of the big S&P 500 futures
-> have a net long position of 264,522 contracts of E-mini S&P 500 futures

If you convert the 16,865 contracts to E-mini equivalents, you will get 84,325 contracts short.

So it seems that the same group is long the E-mini while it is short the big S&P 500.


Don't believe in any Statistics that you have not forged yourself!

The contradiction can be explained in two ways.

(1) The stastistics above looks at the difference between long and short positions and shows net positions per group. If you look at the ratio between long and short positions of comnmercial hedgers you would find

Big S&P 500: long 203,685 - short 220,500 -> ratio long/(long + short) = 48%
E-mini S&P 500: long 2,369,188 - short 2,104,666 -> ratio long/(long + short) = 53%

This means that out of 100 positions in the big S&P 500 futures held by commercial hedgers there are 48% long and 52% short positions. Out of 100 positions in the E-mini S&P 500 futures there are 53% long and 47% short positions.

In the end this is not a big difference. It is just the way that chart presents the difference. I suggest that you also look at COT ratios and not only at absolute figures.

(2) As I said in my prior post, the aggregation of positions into non-commercial and commercial positions does not make sense. Swap dealers and index traders are included with commercial positions, although they may be both sell side dealers for commercial (hedging) customers and enter speculative positions on their own account.

For more details also see pages 44 - 51 of the paper below:

https://www.loe.org/images/content/080919/cftcstaffreportonswapdealers09.pdf

One thing I never understood: Why in the TFF the Asset manager/institutionals (blue line in the attached file) have always a net long position. In this category there are pension funds, endowments, insurance companies, mutual funds etc. In my understanding these companies hold significant long stock positions and so they would mainly short futures to hedge against risks of underlying stocks, which should result in a short hedging position (net short).
An explanation I gave myself is that Asset managersí positions always net long are consistent with the fact that index-tracking funds are often in higher demand than inverse-tracking funds.
What do you think?
Thank you very much
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