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< BACK TO ALL REPORTS

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

Jason Goepfert
2020-05-08

The 3-Year Min/Max Screen didn't show any new extremes of note this week. While it's slightly below the record from 3 weeks ago, hedgers moved to a net long position of more than $40 billion in equity index futures again. They take the opposite side of large and small speculators, so it means those speculators have been fighting this rally the whole way, very similar to what happened in early 2019. Hedgers are also net long more than 10% of the open interest in 30-year Treasury bond futures, surprising given the rally in bonds in recent months. The Backtest Engine shows that the 30-year contract showed an average return of +2.8% over the next six months when hedgers held more than 10% of open interest net long. When they held 10% of it net short, then the return fell to -2.3%.

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