MS

Market Science

COT Report Analysis

May 16, 2020

Updated 16May2020, 00:39:12 UTC

NOTE: THE CONTENT IN THIS DOCUMENT IS CONFIDENTIAL AND PROPRIETARY.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.

Market Participant Category Breakdown

Insights

  • Total Open Interest put on another 1200 contracts, reaching new all-time highs for the second consecutive week
  • Levered funds' took back share of the outstanding float from Other Reportable participants
    • Their net positioning remained more/less constant

Net Positioning (Historical Context)

Insights

  • Major market participants are Leveraged Funds, Other Reportable, and Non Reportable
  • Leveraged Fund positioning remains near its historical median for the second consecutive week
  • Non-Reportable positioning is virtually unchanged since last week
  • After dipping into its most-short quartile, Other Reportable positioning popped back above its 50th percentile
  • These conditions have exhibited a bullish edge historically

Clustering Model

Here, we apply a simple clustering algorithm to identrify possible regimes by positioning among large CME futures market participants.

Appendix

Current Net Positioning Snapshot

Dealer Asset Manager Leveraged Funds Non Reportables Other Reportables
Long Composition 0.00 0.03 0.53 0.28 0.15
Short Composition 0.03 0.01 0.70 0.04 0.22
Net Position Percentile 0.15 0.78 0.40 0.65 0.55

Raw Data

Open Interest Dealer Longs Dealer Shorts Dealer Spreads Asset Manager Longs Asset Manager Shorts Asset Manager Spreads Leveraged Funds Longs Leveraged Funds Shorts Leveraged Funds Spreads Other Reportable Longs Other Reportable Shorts Other Reportable Spreads Total Reportable Longs Total Reportable Shorts Non Reportable Longs Non Reportable Shorts
date
2018-04-10 1702 0 0 0 122 0 0 902 1108 25 53 207 1 1103 1341 599 361
2018-04-17 2029 0 0 0 122 0 0 1053 1313 42 130 332 0 1347 1687 682 342
2018-04-24 2380 0 0 0 105 0 0 1194 1682 46 198 336 8 1551 2072 829 308
2018-05-01 1991 0 0 0 0 0 0 1198 1348 27 177 283 0 1402 1658 589 333
2018-05-08 2485 0 0 0 0 0 0 1284 1707 20 391 368 0 1695 2095 790 390
2018-05-15 2505 0 0 0 0 29 0 1338 1657 26 337 366 0 1701 2078 804 427
2018-05-22 2684 0 0 0 0 29 0 1323 1872 50 462 327 0 1835 2278 849 406
2018-05-29 2714 0 0 0 38 25 0 1172 1812 55 486 416 3 1754 2311 960 403
2018-06-05 2556 0 0 0 47 29 0 1126 1845 27 540 305 0 1740 2206 816 350
2018-06-12 2643 29 0 0 0 108 0 1349 1634 19 427 440 0 1824 2201 819 442
2018-06-19 2633 29 0 0 52 59 0 1478 1414 111 159 590 0 1829 2174 804 459
2018-06-26 2687 29 0 0 0 111 0 1508 1505 137 171 515 3 1848 2271 839 416
2018-07-03 2514 0 0 0 44 84 0 1198 1639 42 438 366 6 1728 2137 786 377
2018-07-10 2622 0 0 0 0 119 0 1412 1652 102 396 368 11 1921 2252 701 370
2018-07-17 2854 0 0 0 25 89 0 1469 1990 68 493 332 15 2070 2494 784 360
2018-07-24 3431 30 0 0 44 164 6 1353 2313 174 868 392 25 2500 3074 931 357
2018-07-31 3063 0 0 0 0 209 9 1722 1969 258 259 340 0 2248 2785 815 278
2018-08-07 2732 0 0 0 0 143 23 1481 1454 293 135 470 0 1932 2383 800 349
2018-08-14 2983 0 0 0 0 215 8 2065 1766 67 138 521 0 2278 2577 705 406
2018-08-21 2981 0 0 0 0 191 13 2104 1838 68 85 515 0 2270 2625 711 356
2018-08-28 2840 0 0 0 67 170 13 1688 1745 53 160 529 0 1981 2510 859 330
2018-09-04 2707 0 0 0 99 140 8 1187 1657 17 576 532 0 1887 2354 820 353
2018-09-11 2711 0 0 0 0 199 10 1630 1322 198 116 727 14 1968 2470 743 241
2018-09-18 2742 0 0 0 0 140 10 1566 1382 203 90 654 15 1884 2404 858 338
2018-09-25 2746 0 1 35 0 131 18 1412 1420 277 213 539 2 1957 2423 789 323
2018-10-02 2354 0 40 0 26 125 4 1237 1342 19 327 566 0 1613 2096 741 258
2018-10-09 2848 0 76 0 0 121 0 1643 1656 24 395 606 0 2062 2483 786 365
2018-10-16 2730 0 76 0 54 108 0 1606 1620 64 302 556 0 2026 2424 704 306
2018-10-23 3001 0 76 0 0 161 0 1659 1400 466 211 531 0 2336 2634 665 367
2018-10-30 2608 0 0 0 0 238 0 1789 1511 82 184 451 0 2055 2282 553 326
2018-11-06 2913 0 0 0 72 108 0 1877 1965 0 299 552 0 2248 2625 665 288
2018-11-13 3530 31 0 0 0 250 0 2462 2353 1 399 619 0 2893 3223 637 307
2018-11-20 3729 0 0 0 0 166 0 2152 1912 586 315 672 13 3066 3349 663 380
2018-11-27 3791 0 0 0 0 238 0 2416 2089 367 261 674 13 3057 3381 734 410
2018-12-04 3301 0 0 0 34 123 0 2409 2317 64 195 465 14 2716 2983 585 318
2018-12-11 3970 0 0 0 27 256 0 2905 2699 117 159 545 11 3219 3628 751 342
2018-12-18 4359 0 0 0 138 110 0 3091 3213 152 178 605 0 3559 4080 800 279
2018-12-24 3857 0 0 0 101 140 0 2690 2577 173 160 673 13 3137 3576 720 281
2018-12-31 3708 49 0 1 80 140 0 2452 2389 222 105 674 4 2913 3430 795 278
2019-01-08 3764 0 0 0 165 140 0 2610 2648 68 201 602 0 3044 3458 720 306
2019-01-15 4473 0 1 80 27 337 0 3417 2923 125 110 608 8 3767 4082 706 391
2019-01-22 4976 0 1 100 27 344 0 3341 2863 706 111 610 8 4293 4632 683 344
2019-01-29 4047 0 97 0 30 360 0 2760 2572 336 227 347 5 3358 3717 689 330
2019-02-05 3881 0 97 0 32 291 0 2532 2429 373 245 354 4 3186 3548 695 333
2019-02-12 3361 0 97 11 134 205 15 1697 2090 232 510 462 0 2599 3112 762 249
2019-02-19 3964 0 97 27 170 165 52 1834 2259 268 704 761 51 3106 3680 858 284
2019-02-26 3324 0 124 0 54 283 27 1575 1885 105 739 624 0 2500 3048 824 276
2019-03-05 3226 0 124 0 33 228 27 1347 1812 138 823 559 0 2368 2888 858 338
2019-03-12 3480 0 124 0 97 195 40 1459 2257 187 751 343 104 2638 3250 842 230
2019-03-19 3681 0 124 0 156 177 0 1460 2528 129 767 285 166 2678 3409 1003 272
2019-03-26 3428 0 124 0 35 241 0 1238 2105 276 687 88 262 2498 3096 930 332
2019-04-02 4000 0 158 0 315 89 35 1517 2598 416 598 440 20 2901 3756 1099 244
2019-04-09 4443 0 158 0 244 80 3 1968 2714 350 634 804 68 3267 4177 1176 266
2019-04-16 4324 0 158 0 163 201 0 2272 2541 176 532 975 17 3160 4068 1164 256
2019-04-23 4313 0 158 0 245 132 4 2025 2458 152 501 1173 0 2927 4077 1386 236
2019-04-30 3817 0 123 0 254 72 35 1789 2375 63 458 942 0 2599 3610 1218 207
2019-05-07 4388 0 123 0 286 0 29 1941 2692 79 719 1216 0 3054 4139 1334 249
2019-05-14 4447 0 123 0 199 0 15 2289 2455 274 317 1218 0 3094 4085 1353 362
2019-05-21 4650 0 123 0 223 0 0 2354 2498 384 268 1251 0 3229 4256 1421 394
2019-05-28 5190 0 123 0 319 0 0 2709 2763 371 238 1577 0 3637 4834 1553 356
2019-06-04 4436 0 0 0 300 56 0 2321 2698 211 213 1043 0 3045 4008 1391 428
2019-06-11 4434 0 0 0 359 0 0 2073 3044 256 362 751 24 3074 4075 1360 359
2019-06-18 5391 0 0 0 354 0 0 2564 2911 491 482 1621 0 3891 5023 1500 368
2019-06-25 6021 0 0 0 310 0 25 3093 3246 366 490 1967 0 4284 5604 1737 417
2019-07-02 5839 36 0 0 188 146 30 3253 3326 162 605 1812 30 4304 5506 1535 333
2019-07-09 6075 57 0 0 249 109 15 3233 3730 136 625 1711 30 4345 5731 1730 344
2019-07-16 5322 39 0 0 211 151 0 2566 3394 120 506 1157 91 3533 4913 1789 409
2019-07-23 4928 40 0 0 102 111 53 2208 2799 59 682 1370 72 3216 4464 1712 464
2019-07-30 4302 60 0 0 251 147 0 1843 2288 6 533 1280 86 2779 3807 1523 495
2019-08-06 4692 0 0 0 260 224 0 1847 2264 35 713 1586 37 2892 4146 1800 546
2019-08-13 4729 0 50 0 222 224 0 2002 2480 20 647 1346 90 2981 4210 1748 519
2019-08-20 4485 0 50 0 266 224 5 1836 2209 13 463 1350 206 2789 4057 1696 428
2019-08-27 4091 0 50 0 237 222 0 1739 2093 13 309 1131 68 2366 3577 1725 514
2019-09-03 4493 31 50 0 324 163 0 1979 2467 36 421 1221 118 2909 4055 1584 438
2019-09-10 4128 31 50 0 244 190 0 1692 2233 142 480 951 111 2700 3677 1428 451
2019-09-17 4174 31 50 0 262 201 0 1688 2254 164 521 1093 55 2721 3817 1453 357
2019-09-24 4178 72 50 0 42 100 55 1651 2510 171 488 687 71 2550 3644 1628 534
2019-10-01 3348 59 0 0 70 31 30 1298 2063 42 374 572 65 1938 2803 1410 545
2019-10-08 3335 59 0 0 140 138 0 1211 2048 79 395 526 56 1940 2847 1395 488
2019-10-15 3444 59 0 0 210 149 1 1186 2031 154 370 511 46 2026 2892 1418 552
2019-10-22 3093 59 0 0 163 31 0 950 1714 148 321 518 68 1709 2479 1384 614
2019-10-29 3155 33 0 0 260 86 0 956 2016 103 569 445 49 1970 2699 1185 456
2019-11-05 3520 32 0 0 188 149 10 1221 2345 134 595 457 43 2223 3138 1297 382
2019-11-12 3091 32 0 0 99 143 10 912 2043 87 636 358 41 1817 2682 1274 409
2019-11-19 3157 38 0 0 67 292 0 1059 1914 84 466 334 41 1755 2665 1402 492
2019-11-26 3554 38 0 0 56 298 1 1155 1669 263 334 626 38 1885 2895 1669 659
2019-12-03 2983 131 0 0 93 256 11 894 1257 17 307 638 44 1497 2223 1486 760
2019-12-10 3232 131 0 0 56 285 1 1069 1766 109 310 396 12 1688 2569 1544 663
2019-12-17 3840 134 0 0 38 444 0 1578 2446 125 295 331 12 2182 3358 1658 482
2019-12-24 3541 137 0 0 133 283 1 1179 2256 100 276 514 25 1851 3179 1690 362
2019-12-31 3186 137 0 0 159 437 1 1037 1840 102 366 451 30 1832 2861 1354 325
2020-01-07 5400 66 42 0 338 331 0 2517 3661 238 464 786 20 3643 5078 1757 322
2020-01-14 5405 66 46 0 272 300 0 2688 3339 230 342 1043 33 3631 4991 1774 414
2020-01-21 5139 66 46 0 185 445 0 2304 3035 302 437 864 43 3337 4735 1802 404
2020-01-28 4917 66 46 0 391 438 0 1747 2907 253 419 765 74 2950 4483 1967 434
2020-02-04 4367 71 50 0 132 434 0 1436 3136 96 678 168 103 2516 3987 1851 380
2020-02-11 6106 76 50 0 367 148 0 2237 4553 244 924 533 146 3994 5674 2112 432
2020-02-18 6463 78 158 0 260 177 0 2452 5258 130 1576 181 145 4641 6049 1822 414
2020-02-25 5632 71 178 5 164 189 0 1774 4511 102 1741 38 182 4039 5205 1593 427
2020-03-03 4837 66 159 0 163 196 0 764 3454 208 1234 0 413 2848 4430 1989 407
2020-03-10 4368 65 41 0 115 362 0 1421 3002 181 783 25 313 2878 3924 1490 444
2020-03-17 4474 336 0 0 101 465 0 1869 2907 10 584 504 93 2993 3979 1481 495
2020-03-24 3909 36 0 0 125 297 0 1136 2291 76 969 550 64 2406 3278 1503 631
2020-03-31 3947 36 0 0 173 248 0 1489 2602 51 900 453 39 2688 3393 1259 554
2020-04-07 5448 36 0 0 221 204 0 2452 3652 272 671 934 31 3683 5093 1765 355
2020-04-14 5538 38 0 0 203 283 0 2260 3198 244 868 1394 22 3635 5141 1903 397
2020-04-21 5648 38 0 0 218 316 0 2394 3026 261 759 1600 5 3675 5208 1973 440
2020-04-28 6111 53 30 0 324 35 0 2024 3379 402 1233 1784 64 4100 5694 2011 417
2020-05-05 7784 48 160 0 316 0 1 3312 4269 557 1330 2302 149 5713 7438 2071 346
2020-05-12 9939 43 300 0 282 113 1 4923 6477 627 1389 2047 29 7294 9594 2645 345

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