You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Commercials sitting on largest net long SP500 Future position in years
- Thread starter makloda
- Start date
Quote from basis:
net long futures
net short stocks
yawn
You're right but COT's alleged value is as a sentiment indicator.
(or better since it's a measure of actual positions)
The fact that spec selling and it's trickle down effect of program selling (basis is correctly saying that the long commercials in futs are selling stocks as a program or basis trade) is not turning stocks lower so it seemingly means that there's a persistent bid by stuck shorts. You can see it on the tape.
Trouble is every index has a completely differing COT mix. Also basis, these SPX options at the CBOE have become so freakin volumous the past year it's impossible figuring out what's an MM hedge. SPX options have an OI of over 9 million contracts!
Quote from notouch:
That doesn't mean commercials are net short. Are you saying the same commercials are long futures and short stock? Not sensible from a funding perspective.
A commercial by his very nature is typically "hedged" in futures opposite his position in cash.
Most index "commercials" are program traders. Hence if they're buying futures below fair value from speculators (whose selling may indiscriminately push futs into program levels) then those commercial buyers of futures in turn sell the basket.
Quote from notouch:
That doesn't mean commercials are net short. Are you saying the same commercials are long futures and short stock? Not sensible from a funding perspective.
Are you saying people don't do index arbitrage?
The point is that all this crap is useless. There's no predictive value to it. Short interest was probably useful in 1970. Now it's not. COT in a replicable product has *always* been useless.
Quote from Pa(b)st Prime:
A commercial by his very nature is typically "hedged" in futures opposite his position in cash.
Most index "commercials" are program traders. Hence if they're buying futures below fair value from speculators (whose selling may indiscriminately push futs into program levels) then those commercial buyers of futures in turn sell the basket.
but pabst -- Mr. Hershey says the cash always leads the futures -- j/k.
Quote from basis:
Are you saying people don't do index arbitrage?
The point is that all this crap is useless. There's no predictive value to it. Short interest was probably useful in 1970. Now it's not. COT in a replicable product has *always* been useless.
Would index arbitrage contribute to open interest? I wouldn't have thought they'd be kept as an open position. Correct me if I'm wrong. You're right about the predictive value of the COT reports though.