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The latest Commitments of Traders report was released, covering positions through Tuesday

Jason Goepfert
2021-08-06

The 3-Year Min/Max Screen shows that "smart money" commercial hedgers established only one new extreme this week. Thanks to continued selling in major equity index futures, now totalling about $46 billion, the Hedgers Combo is at 0 (the Combo is just an oscillator of hedgers' positions in equities). The Backtest Engine shows that the S&P 500's average return is -0.7% three months after a reading of 0, compared to an average of +4.2% when the Combo is at 100. There wasn't much notable among other contracts, though hedgers sold more sugar and are holding nearly a 15-year extreme short exposure as a % of open interest.

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