Oct
11
C.O.T. Observations, from Anatoly Veltman
October 11, 2008 |
The three-day latency wreaks havoc for those who try and use Commitment Of Traders report for forecast, rather than just for objective description of preceding market composition. SP slide 1169-> 1006 (down 13%), included in five-session move ending 10/7: uncovered Bearish C.O.T. divergence of unprecedented degree! To sum up regular+miniSP: Commercial Net Short rose 64,000 regular SP contracts; while Funds Net Long rose 30,000 and Small Spec Net Long 34,000! Also unprecedented was Small Spec desertion of commitment overall: their "Net Long hike" resulted from halving of their entire futures Short interest! All this certainly explains subsequent past-10/7 rout, which brought SP further down 1006-> 891 (another 11%), since the period of report capture. Who knows how commitments might have changed over the past three days…
Throughout the panicky activity of the past month, there was un-paralleled number of attempts and methods to account for past and predict future. One can't hold oracle status in all areas of fundamental, technical, historical, philosophical, social and political analysis. What piqued my curiosity — and I must admit, it was not for the first time in my 22 years of 24-hour vigil (i.e. some 200,000 hours of real-time markets): the Commitment of Traders, heavily flawed and latent by definition — did filter out Stock crash, Currency crash and Gold/Treasury "non safe-haven."
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Actually there are pretty easy ways to figure out where the COT is on Friday… using open interest, volume, and direction functions. Of course this could take some money and the employment of a programmer, and as you have stated clearly in the past, that endeavor is a waste of time.
How will it yield C.O.T.?
You take the last COT numbers, run a function of price change, open interest change, and volume and you can come very very close to getting the actual COT on a daily basis.
How will it give you break-down of who was Net Buyers and who was Net Sellers during today's record price upmove: Commercials, Large Specs or Small Specs?
How will it breakdown for you as to who turned out to be Net Buyer and who Net Seller during today's record run-up: Commercial, Large Specs or Small Specs?