Here are COT charts as of 12/28/2010 for the E-Mini S&P Future (ES) and S&P 500 Index Future (SP) (courtesy of cotpricecharts.com). I'm not sure if this means much, but look how large speculators net long SP and net short ES closed out open interest recently. Charts after the jump.
- ES COT on 12/7/2010: 37% of large speculators were bullish with 2,979,326 contracts open. ES COT on 12/28/2010: 47% of large speculators were bullish with 2,479,708 contracts open.
- SP COT on 12/7/2010: 74% of large speculators were bullish with 384,778 contracts open. SP COT on 12/28/2010: 52% of large speculators were bullish with 273,812 contracts open.
I was wondering what the large specs were doing before the flash crash in April 2010. A few weeks before the flash crash, large specs in ES were net short after being very net long, and large specs in SP were net short after being very net short. It will be interesting to see if net short positions increase in the next CFTC release. Why did large spec extremes in SP and ES flip when comparing Feb 2010 to the last few months? FYI: At 7:39am Easter Time, E-Mini S&P March 2011 (ESH11) is -0.63% at 1257.25.
E-Mini S&P 500 Net Commitments of Futures Traders (cotpricecharts.com)
S&P 500 Net Commitments of Futures Traders