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We have talked about CoT on this board in the past, and I would be
interested in anyone's interpretation of the interesting and somewhat
dramatic change in Nikkei CoT data as of 6/17.
If you look at it http://www.cftc.gov/dea/futures/deacmesf.htm second
to last on the page, you will see what I consider to be a strikingly
large drop in open interest on the commercial side. In the case of
long commercial interest, the drop was well more than 50 percent of
the total commercial long interest (actually about 62+ percent), and
also a striking drop (but less, and less than 50 percent) in open
interest on the short side.
For those not following the Nikkei, it's now suddenly up about 20
percent since 4/28, when it hit yet another of several 20-year lows
marked early this year. About 1/3 of the recent run up was in May,
and a seesaw movement, the other 2/3 in the first 3 weeks of June,
and pretty much a straight arrow up, which now appears set for
serious consolidation.
One thing that is clear for sure is that commercials stayed net short
(and are still net short) throughout this ferocious rally (I am
interested to know if this has been the case with the S & P in the
US, too). But now, even with foreign money starting to pile in here,
commercial interest on both sides of the market has suddenly dropped
by a percentage that I have not noticed before. Any interpretive
attempts welcome.
Steve . . . you are a futures guy. ^_-
Yuki ^_^
P.S. Non-commerical shorts clearly got hammered out of the market, as
open interest there also dropped by about 1/3, while non-commercial
longs stayed about the same. I would be tempted to say 'important
intermediate top' now, seeing the imbalance on the long side in
non-commercial interest. But the large commercial exits puzzle me.
The only thing I can come up with off the top of my head is some
unwinding of a huge spread or hedge. Nothing about it has any
predictive value for me, sadly.
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