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Market Sentiment
Neutral (Overbought)
Based on the latest 13 weeks of non-commercial positioning data. ℹ️

ADJUSTED INT RATE S&P 500 TOTL (Non-Commercial)

13-Wk Max 105,790 58,250 32,898 9,095 60,066
13-Wk Min 57,976 41,159 -12,008 -1,622 16,817
13-Wk Avg 83,398 46,926 2,672 1,159 36,472
Report Date Long Short Change Long Change Short Net Position Rate of Change (ROC) ℹ️ Open Int.
May 13, 2025 91,696 57,850 302 -400 33,846 2.12% 728,150
May 6, 2025 91,394 58,250 1,400 3,181 33,144 -5.10% 733,124
April 29, 2025 89,994 55,069 -824 9,095 34,925 -22.12% 728,840
April 22, 2025 90,818 45,974 -863 0 44,844 -1.89% 719,527
April 15, 2025 91,681 45,974 -12,008 0 45,707 -20.81% 731,713
April 8, 2025 103,689 45,974 -2,101 250 57,715 -3.91% 735,869
April 1, 2025 105,790 45,724 2,709 1,350 60,066 2.31% 702,535
March 25, 2025 103,081 44,374 32,898 1,109 58,707 118.10% 690,810
March 18, 2025 70,183 43,265 3,571 515 26,918 12.81% 826,742
March 11, 2025 66,612 42,750 5,654 879 23,862 25.02% 793,095
March 4, 2025 60,958 41,871 657 70 19,087 3.17% 743,611
February 25, 2025 60,301 41,801 2,325 642 18,500 10.01% 753,539
February 18, 2025 57,976 41,159 1,022 -1,622 16,817 18.66% 738,349

Net Position (13 Weeks) - Non-Commercial

Change in Long and Short Positions (13 Weeks) - Non-Commercial

COT Interpretation for S&P BROAD BASED STOCK INDICES

Comprehensive Guide to COT Reports for Financial Instruments

Table of Contents

Introduction

The Commitment of Traders (COT) reports for financial instruments provide critical insights into positioning across currency, interest rate, and equity index futures markets. These markets differ significantly from commodity markets in terms of participant behavior, market drivers, and interpretation methodology.

Financial futures markets are characterized by institutional dominance, central bank influence, global economic sensitivity, and high levels of leverage. Understanding how different market participants position themselves in these markets can provide valuable information for both traders and investors seeking to anticipate potential market movements.

This guide focuses specifically on analyzing and applying COT data to financial futures markets, with specialized approaches for currencies, interest rates, and equity indices.

The Traders in Financial Futures (TFF) Report

The Traders in Financial Futures (TFF) report is a specialized COT report format introduced by the CFTC in 2009 specifically for financial markets. This report provides more detailed categorization of traders than the Legacy COT report, making it particularly valuable for financial futures analysis.

Key Features of the TFF Report

Enhanced Trader Categories:

  • Dealer/Intermediary: Typically large banks and broker-dealers
  • Asset Manager/Institutional: Pension funds, insurance companies, mutual funds
  • Leveraged Funds: Hedge funds and other speculative money managers
  • Other Reportables: Other traders with reportable positions
  • Non-Reportable Positions: Smaller traders below reporting thresholds

Advantages Over Legacy Report:

  • Separates true hedging activity from speculative positioning
  • Distinguishes between different types of institutional investors
  • Provides clearer signals about smart money vs. speculative money flows
  • Better reflects the actual market structure of financial futures

Coverage:

  • Currency futures and options
  • Interest rate futures and options
  • Stock index futures and options
  • U.S. Treasury futures and options

Financial Markets Covered

Currency Futures

  • Euro FX (CME)
  • Japanese Yen (CME)
  • British Pound (CME)
  • Swiss Franc (CME)
  • Canadian Dollar (CME)
  • Australian Dollar (CME)
  • Mexican Peso (CME)
  • New Zealand Dollar (CME)
  • Russian Ruble (CME)
  • Brazilian Real (CME)

Interest Rate Futures

  • Eurodollar (CME)
  • 30-Year U.S. Treasury Bonds (CBOT)
  • 10-Year U.S. Treasury Notes (CBOT)
  • 5-Year U.S. Treasury Notes (CBOT)
  • 2-Year U.S. Treasury Notes (CBOT)
  • Federal Funds (CBOT)
  • Euribor (ICE)
  • Short Sterling (ICE)

Stock Index Futures

  • S&P 500 E-mini (CME)
  • Nasdaq-100 E-mini (CME)
  • Dow Jones E-mini (CBOT)
  • Russell 2000 E-mini (CME)
  • Nikkei 225 (CME)
  • FTSE 100 (ICE)

Unique Characteristics of Financial COT Data

  1. Central Bank Influence

    Central bank policy decisions have outsized impact on financial futures

    Positioning often reflects anticipation of monetary policy shifts

    Large position changes may precede or follow central bank announcements

  2. Global Macro Sensitivity

    Financial futures positioning responds quickly to global economic developments

    Geopolitical events cause rapid position adjustments

    Economic data releases drive significant repositioning

  3. Intermarket Relationships

    Currency futures positions often correlate with interest rate futures

    Stock index futures positioning may reflect risk appetite across markets

    Cross-market analysis provides more comprehensive signals

  4. Leverage Considerations

    Financial futures markets typically involve higher leverage than commodities

    Position sizes can change rapidly in response to market conditions

    Margin requirements influence positioning decisions

  5. Institutional Dominance

    Financial futures markets have higher institutional participation

    Retail trader influence is typically lower than in commodity markets

    Professional trading desks manage significant portions of open interest

Understanding Trader Categories in Financial Markets

Dealer/Intermediary

Who they are: Major banks, broker-dealers, FCMs

Trading behavior:

  • Often take the opposite side of client transactions
  • May hold positions as part of market-making activities
  • Frequently use futures for hedging swap books and other OTC products

Interpretation keys:

  • Position changes may reflect client order flow rather than directional views
  • Extreme positions can indicate market imbalances
  • Often positioned against prevailing market sentiment

Asset Manager/Institutional

Who they are: Pension funds, insurance companies, mutual funds, endowments

Trading behavior:

  • Typically use futures for portfolio hedging or asset allocation
  • Often hold longer-term positions
  • Position changes may reflect broader investment flows

Interpretation keys:

  • Significant position changes can signal shifts in institutional outlook
  • Often represent "smart money" longer-term positioning
  • Less reactive to short-term market moves than other categories

Leveraged Funds

Who they are: Hedge funds, CTAs, proprietary trading firms

Trading behavior:

  • Primarily speculative positioning
  • Typically more active, with higher turnover
  • Often employ trend-following or technical strategies

Interpretation keys:

  • Extreme positions frequently signal potential market turning points
  • Rapid position changes may precede significant price movements
  • Often positioned with the prevailing trend

Interpreting Financial COT Data

1. Net Positioning Analysis

  • Net Long/Short Calculation: (Long Positions - Short Positions)
  • Percentile Ranking: Compare current positioning to historical range
  • Standard Deviation Measures: Identify statistical extremes in positioning

2. Position Change Analysis

  • Week-over-Week Changes: Identify rapid shifts in sentiment
  • Rate of Change: Measure acceleration or deceleration in position building
  • Rolling Averages: Compare current positioning to medium-term trends

3. Category Comparison Analysis

  • Dealer vs. Leverage Funds: Often positioned opposite each other
  • Asset Manager vs. Leveraged Funds: Can reveal institutional vs. speculative divergence
  • Category Ratio Analysis: Compare relative positioning between categories

4. Concentration Analysis

  • Concentration Ratios: Percentage of open interest held by largest traders
  • Dispersion Metrics: How widely positions are distributed among participants
  • Concentration Trends: Changes in market concentration over time

Currency Futures: COT Analysis Strategies

  1. Central Bank Divergence Strategy

    Setup: Identify diverging monetary policy expectations between currency pairs

    COT Signal: Leveraged funds increasing positions in the direction of policy divergence

    Confirmation: Asset managers beginning to align with the same directional bias

    Markets: Most effective in major currency pairs (EUR/USD, USD/JPY, GBP/USD)

  2. Extreme Positioning Reversal

    Setup: Identify historically extreme net positioning by leveraged funds

    COT Signal: When leveraged fund positioning reaches 90th+ percentile extremes

    Confirmation: Dealers positioning in the opposite direction

    Markets: Particularly effective in trending currency markets approaching exhaustion

  3. Dealer Positioning Strategy

    Setup: Monitor dealer positioning changes across currency markets

    COT Signal: Significant changes in dealer net positioning against prevailing trend

    Confirmation: Price action showing signs of reversal

    Markets: Works across most major and minor currency pairs

  4. Cross-Currency Analysis

    Setup: Compare positioning across related currency pairs

    COT Signal: Divergences in positioning between correlated currencies

    Confirmation: Fundamentals supporting the divergence

    Markets: Currency pairs with common risk factors or regional relationships

Interest Rate Futures: COT Analysis Strategies

  1. Yield Curve Positioning Strategy

    Setup: Analyze positioning across different maturity Treasuries

    COT Signal: Divergent positioning between short-term and long-term instruments

    Confirmation: Economic data supporting yield curve steepening/flattening

    Markets: Treasury futures across different maturities (2Y, 5Y, 10Y, 30Y)

  2. Fed Policy Anticipation Strategy

    Setup: Monitor asset manager positioning ahead of FOMC meetings

    COT Signal: Significant shifts in asset manager positioning in rate-sensitive futures

    Confirmation: Fed funds futures pricing aligning with the positioning shift

    Markets: Particularly effective in Eurodollar and short-term Treasury futures

  3. Inflation Expectation Strategy

    Setup: Track leveraged fund positioning in longer-dated Treasuries

    COT Signal: Major shifts in positioning following inflation data releases

    Confirmation: TIPS (Treasury Inflation-Protected Securities) market movements

    Markets: Most effective in 10Y and 30Y Treasury futures

  4. Risk Sentiment Analysis

    Setup: Compare positioning in safe-haven Treasuries vs. risk assets

    COT Signal: Divergences between bond positioning and stock index positioning

    Confirmation: Credit spread movements aligning with the positioning shifts

    Markets: Treasury futures and equity index futures compared

Stock Index Futures: COT Analysis Strategies

  1. Smart Money Divergence Strategy

    Setup: Compare asset manager positioning with leveraged fund positioning

    COT Signal: Asset managers and leveraged funds moving in opposite directions

    Confirmation: Market internals showing signs of potential reversal

    Markets: Particularly effective in S&P 500 and Nasdaq futures

  2. Sector Rotation Strategy

    Setup: Analyze positioning differences between various index futures

    COT Signal: Divergences between small cap (Russell 2000) and large cap (S&P 500) positioning

    Confirmation: Sector ETF flows aligning with the positioning shifts

    Markets: Works across various index futures (S&P 500, Nasdaq, Russell, Dow)

  3. Institutional Hedging Strategy

    Setup: Monitor asset manager short positioning in equity index futures

    COT Signal: Significant increases in short hedging during market rallies

    Confirmation: Put/call ratios or VIX movements supporting hedging activity

    Markets: Most liquid index futures (particularly S&P 500 E-mini)

  4. Equity Market Sentiment Strategy

    Setup: Track leveraged fund net positioning as a sentiment indicator

    COT Signal: Extreme net long or short positions relative to historical norms

    Confirmation: Traditional sentiment indicators aligning with positioning extremes

    Markets: Works across all major equity index futures

Intermarket Analysis Using Financial COT Data

  1. Currency-Interest Rate Correlation

    Analysis: Compare positioning in currency futures with related interest rate futures

    Signal Interpretation: Divergences between related markets may signal trading opportunities

    Example: EUR futures positioning vs. Eurodollar futures positioning

  2. Risk-On/Risk-Off Flows

    Analysis: Analyze positioning across equity indices, Treasuries, and safe-haven currencies

    Signal Interpretation: Coordinated movements across asset classes signal significant macro shifts

    Example: S&P 500 futures vs. Japanese Yen futures vs. 10-Year Treasury futures

  3. Commodity Currency Analysis

    Analysis: Compare positioning in commodity currencies with related commodity futures

    Signal Interpretation: Divergences may signal upcoming realignment

    Example: Australian Dollar futures vs. gold futures positioning

  4. Cross-Asset Volatility Signals

    Analysis: Monitor positioning changes during periods of heightened volatility

    Signal Interpretation: Identify which trader categories add/reduce risk in volatile periods

    Example: VIX futures positioning vs. S&P 500 futures positioning

Combining COT Data with Macroeconomic Indicators

Economic Data Releases

  • Compare COT positioning changes before and after major economic reports
  • Identify which trader categories respond most strongly to specific data points
  • Economic indicators to monitor:
    • Employment reports (Non-Farm Payrolls)
    • Inflation data (CPI, PCE)
    • GDP reports
    • Manufacturing and services PMIs
    • Retail sales

Central Bank Policy

  • Analyze positioning shifts around central bank meetings
  • Identify anticipatory positioning ahead of policy decisions
  • Monitor position adjustments following policy surprises
  • Key central bank events to track:
    • Federal Reserve FOMC meetings
    • European Central Bank policy announcements
    • Bank of Japan interventions
    • Bank of England decisions

Global Risk Events

  • Track positioning changes during geopolitical crises
  • Identify safe-haven flows across asset classes
  • Monitor unwinding of positions as risk events resolve

Market Liquidity Conditions

  • Analyze positioning shifts during periods of changing liquidity
  • Monitor quarter-end and year-end position adjustments
  • Track positioning during funding stress periods

Case Studies: Major Financial Futures Markets

Euro FX Futures

Typical Positioning Patterns:

  • Leveraged funds often drive trend-following moves
  • Asset managers typically position around long-term economic fundamentals
  • Dealers frequently positioned against extreme speculative sentiment

Key COT Signals:

  • Extreme leveraged fund positioning often precedes significant reversals
  • Asset manager position changes can signal longer-term trend shifts
  • Dealer positioning often provides contrarian signals at market extremes

10-Year Treasury Note Futures

Typical Positioning Patterns:

  • Asset managers use for portfolio hedging and duration management
  • Leveraged funds react to economic data and Fed policy expectations
  • Dealers often serve as liquidity providers across various yield curve points

Key COT Signals:

  • Asset manager positioning shifts often precede significant yield movements
  • Leveraged fund positioning extremes frequently signal potential turning points
  • Dealer positioning changes can indicate institutional order flow shifts

S&P 500 E-mini Futures

Typical Positioning Patterns:

  • Asset managers use for hedging equity exposure and risk management
  • Leveraged funds engage in directional speculation and volatility strategies
  • Dealers often manage complex option-related exposures

Key COT Signals:

  • Asset manager short positioning often increases during strong rallies (hedging)
  • Leveraged fund positioning extremes typically signal potential reversals
  • Dealer positioning often reflects institutional client flows and market-making needs

Advanced Strategies for Financial Markets

  1. Multi-Timeframe COT Analysis

    Implementation:

    • Analyze weekly position changes for short-term signals
    • Track 4-week position trends for medium-term bias
    • Monitor 13-week position changes for longer-term signals

    Benefits:

    • Reduces noise from single-week fluctuations
    • Provides context for short-term moves
    • Identifies persistent institutional positioning trends
  2. COT Momentum Strategy

    Implementation:

    • Calculate rate of change in positioning for each trader category
    • Identify acceleration or deceleration in position building
    • Enter positions when rate of change reaches extremes

    Benefits:

    • Captures early stages of position building
    • Identifies exhaustion in existing trends
    • Works across multiple financial futures markets
  3. COT Divergence Strategy

    Implementation:

    • Identify divergences between price action and positioning
    • Look for situations where prices make new highs/lows but positions don't confirm
    • Enter counter-trend positions when divergences appear at extremes

    Benefits:

    • Catches major turning points in financial markets
    • Provides higher probability entry points
    • Often precedes significant market reversals
  4. COT Spread Strategy

    Implementation:

    • Analyze relative positioning between related markets
    • Identify unusual divergences in correlated instruments
    • Establish spread positions when divergences reach extremes

    Benefits:

    • Reduces directional market risk
    • Capitalizes on relative value opportunities
    • Often offers better risk-adjusted returns than outright positions

Common Pitfalls in Financial COT Analysis

  1. Ignoring Market Context

    Pitfall: Interpreting COT data in isolation without considering market environment

    Solution: Always evaluate positioning within broader market context

    Example: Leveraged fund short positions during a bull market correction vs. during a bear market

  2. Misinterpreting Hedging Activity

    Pitfall: Confusing hedging-related positioning with directional views

    Solution: Understand the typical hedging patterns in each market

    Example: Asset manager short positions in S&P futures often increase during rallies due to portfolio hedging

  3. Overlooking Contract Roll Impacts

    Pitfall: Misinterpreting position changes during contract roll periods

    Solution: Be aware of standard roll schedules for major contracts

    Example: Apparent position shifts during quarterly IMM dates in currency and interest rate futures

  4. Overemphasizing Single Data Points

    Pitfall: Making decisions based on a single week's position changes

    Solution: Focus on multi-week trends and significant position extremes

    Example: Temporary positioning adjustments vs. sustained directional shifts

  5. Neglecting Regulatory Changes

    Pitfall: Failing to account for changes in reporting requirements or regulations

    Solution: Stay informed about CFTC reporting methodology changes

    Example: Impact of Dodd-Frank rules on swap dealer classifications and reporting

Educational Resources

  • "Sentiment in the Forex Market" by Jamie Saettele
  • "Trading the Fixed Income, Inflation and Credit Markets" by Neil Schofield
  • "Inside the Currency Market" by Brian Twomey

Institutional Research

  • Bank Research Reports: Often include COT data analysis in market commentary
  • Investment Bank Strategy Notes: Frequently reference COT positioning in market outlooks
  • Hedge Fund Research: Sometimes available through prime brokerage relationships

© 2025 - This guide is for educational purposes only and does not constitute financial advice. Financial futures markets involve significant risk, and positions should be managed according to individual risk tolerance and objectives.

Market Neutral (Overbought)
Based on the latest 13 weeks of non-commercial positioning data.
📊 COT Sentiment Analysis Guide

This guide helps traders understand how to interpret Commitments of Traders (COT) reports to generate potential Buy, Sell, or Neutral signals using market positioning data.

🧠 How It Works
  • Recent Trend Detection: Tracks net position and rate of change (ROC) over the last 13 weeks.
  • Overbought/Oversold Check: Compares current net positions to a 1-year range using percentiles.
  • Strength Confirmation: Validates if long or short positions are dominant enough for a signal.
✅ Signal Criteria
Condition Signal
Net ↑ for 13+ weeks AND ROC ↑ for 13+ weeks AND strong long dominance Buy
Net ↓ for 13+ weeks AND ROC ↓ for 13+ weeks AND strong short dominance Sell
Net in top 20% of 1-year range AND net uptrend ≥ 3 Neutral (Overbought)
Net in bottom 20% of 1-year range AND net downtrend ≥ 3 Neutral (Oversold)
None of the above conditions met Neutral
🧭 Trader Tips
  • Trend traders: Follow Buy/Sell signals when all trend and strength conditions align.
  • Contrarian traders: Use Neutral (Overbought/Oversold) flags to anticipate reversals.
  • Swing traders: Use sentiment as a filter to increase trade confidence.
Example:
Net positions rising, strong long dominance, in top 20% of historical range.
Result: Neutral (Overbought) — uptrend may be too crowded.
  • COT data is delayed (released on Friday, based on Tuesday's positions) - it's not real-time.
  • Combine with price action, FVG, liquidity, or technical indicators for best results.
  • Use percentile filters to avoid buying at extreme highs or selling at extreme lows.

Okay, let's break down how to use the Commitment of Traders (COT) report to develop a trading strategy for the "ADJUSTED INT RATE S&P 500 TOTL - CHICAGO MERCANTILE EXCHANGE" contract, which, from the information you've provided, seems to be based on the S&P 500 Total Return Index futures.

Understanding the Context: The S&P 500 Total Return Index and its Futures

  • S&P 500 Total Return Index: This index tracks the performance of the S&P 500 including dividends. It reflects the total return an investor would receive if they reinvested all dividends.
  • Futures Contract (Likely E-mini S&P 500 Total Return Index Futures): A futures contract is an agreement to buy or sell a specific asset (in this case, an index) at a predetermined price on a future date. E-mini contracts are smaller versions, making them more accessible to retail traders. Because of the 'Adjusted Int Rate' in the contract name, this may also be a Swap Future contract that has an implied interest rate.

The Commitment of Traders (COT) Report: Your Tool

The COT report is published weekly by the Commodity Futures Trading Commission (CFTC). It breaks down the positions held by different groups of traders in the futures market. The main groups you'll focus on are:

  • Commercials (Hedgers): These are entities that use futures to hedge against price risk related to their underlying business activities. They are often considered the "smart money" because they have a deep understanding of the underlying market.
  • Non-Commercials (Large Speculators): These are large institutions, hedge funds, and other entities that trade futures for profit. They are considered trend-following and can amplify market moves.
  • Retail Traders (Small Speculators): These are typically individual traders. While the COT report aggregates their positions, individual positions rarely move the market.

Trading Strategy Based on COT Data

Here's a strategy based on combining COT data with other technical and fundamental analysis:

1. Accessing and Analyzing the COT Report

  • Source: Get the COT report from the CFTC website (www.cftc.gov). Look for the "Supplemental" or "Disaggregated" reports, which provide a more detailed breakdown. You want the report that specifically covers the S&P 500 Total Return Index futures (or the closest equivalent).
  • Data to Track:
    • Net Positions: Calculate the net position for each group (Commercials and Non-Commercials). Net position = Long Positions - Short Positions.
    • Changes in Net Positions: Track how the net positions are changing week-over-week. Are Commercials becoming more bullish (increasing their net long position or decreasing their net short position)? Are Non-Commercials doing the opposite?
    • Historical Context: Compare the current net positions to their historical ranges. Is the current positioning at an extreme (historically high or low)? This can indicate potential overbought or oversold conditions.

2. Core Trading Principles

  • Follow the Commercials (Hedgers): The general principle is to align your trading direction with the Commercials. They are considered more informed about the underlying market conditions.
  • Watch for Divergences: Pay attention to situations where the price action of the S&P 500 Total Return Index is diverging from the positioning of the Commercials. For example:
    • Bearish Divergence: The index is making new highs, but the Commercials are decreasing their net short positions (or increasing their net long positions) This could signal an impending correction.
    • Bullish Divergence: The index is making new lows, but the Commercials are decreasing their net long positions (or increasing their net short positions) This could signal a potential rally.
  • Confirmation: Never rely solely on the COT report. Use it as a confirmation signal in conjunction with other forms of analysis.

3. Trading Strategy Steps

  • Step 1: Fundamental Analysis (Macroeconomic Overview):

    • Interest Rate Environment: The "Adjusted Int Rate" part of the contract name suggests that the contract has an embedded funding/carry cost. An environment of rising interest rates may be less supportive of higher prices for the contract.
    • Economic Growth: Strong economic growth generally supports higher stock prices (and therefore the S&P 500 Total Return Index). Pay attention to GDP growth, employment data, and other key indicators.
    • Inflation: Inflation can be a mixed bag. Moderate inflation is often tolerated, but high inflation can lead to tighter monetary policy (higher interest rates), which can hurt stock prices.

  • Step 2: Technical Analysis:

    • Trend Identification: Determine the overall trend of the S&P 500 using tools like moving averages, trendlines, and chart patterns.
    • Support and Resistance Levels: Identify key support and resistance levels where price reversals are likely.
    • Momentum Indicators: Use indicators like RSI (Relative Strength Index) and MACD (Moving Average Convergence Divergence) to gauge momentum and identify overbought/oversold conditions.

  • Step 3: COT Report Analysis:

    • Commercial Positioning: What is the net position of the Commercials? Is it historically high, low, or neutral? How is it changing?
    • Divergences: Are there any divergences between the price action of the S&P 500 and the Commercials' positioning?

  • Step 4: Trade Execution:

    • Entry Signals:
      • Long Entry: Overall trend is bullish. Commercials are increasing their net long positions (or decreasing their net short positions), and the index pulls back to a support level. Momentum indicators are showing signs of turning up from oversold conditions.
      • Short Entry: Overall trend is bearish. Commercials are decreasing their net long positions (or increasing their net short positions), and the index rallies to a resistance level. Momentum indicators are showing signs of turning down from overbought conditions.
    • Stop-Loss Orders: Place stop-loss orders to limit your potential losses. A common approach is to place the stop-loss just below a recent swing low (for long positions) or just above a recent swing high (for short positions).
    • Profit Targets: Set profit targets based on technical analysis (e.g., a resistance level for a long position, a support level for a short position) or a specific risk/reward ratio (e.g., 2:1).
    • Position Sizing: Adjust your position size based on your risk tolerance and the volatility of the market. Never risk more than a small percentage of your trading capital on a single trade (e.g., 1-2%).

Example Scenario: Bullish Setup

  1. Fundamental Analysis: The economy is growing at a moderate pace, interest rates are stable, and inflation is under control.
  2. Technical Analysis: The S&P 500 is in an uptrend, trading above its 200-day moving average. The index pulls back to a key support level.
  3. COT Report: The Commercials have been steadily increasing their net long positions in S&P 500 futures.
  4. Entry: Enter a long position near the support level, with a stop-loss order placed just below the support.
  5. Profit Target: Set a profit target at the next resistance level.

Example Scenario: Bearish Setup

  1. Fundamental Analysis: The economy is slowing down, and there are concerns about rising interest rates.
  2. Technical Analysis: The S&P 500 is in a downtrend, trading below its 200-day moving average. The index rallies to a key resistance level.
  3. COT Report: The Commercials have been steadily decreasing their net long positions in S&P 500 futures (or increasing their net short positions).
  4. Entry: Enter a short position near the resistance level, with a stop-loss order placed just above the resistance.
  5. Profit Target: Set a profit target at the next support level.

Important Considerations for Retail Traders

  • Lagging Indicator: The COT report is published after the data is collected. It's a lagging indicator, so don't use it in isolation.
  • Aggregation: The "Retail Traders" category in the COT report is an aggregation of many individual traders. It's difficult to draw meaningful conclusions about their behavior.
  • Risk Management: Always use stop-loss orders to protect your capital.
  • Education: Continuously educate yourself about the futures market, technical analysis, and fundamental analysis.
  • Paper Trading: Before risking real money, practice your strategy in a paper trading account.
  • Brokerage Fees: Be mindful of your brokerage fees, as they can eat into your profits. Look for brokers with competitive commissions and margin rates.

Disclaimer:

  • This is not financial advice. Trading futures involves significant risk and can result in substantial losses. Always do your own research and consult with a qualified financial advisor before making any investment decisions.

By combining the COT report with sound fundamental and technical analysis, you can develop a more informed and potentially profitable trading strategy for S&P 500 Total Return Index futures. Good luck!