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Yuki,
Interesting related charts ...
http://www.softwarenorth.net/cot/current/charts/SP.png
http://www.softwarenorth.net/cot/current/charts/NK.png
I'm not sure what can be told from the NK chart, but look at the
change in the orientation of the commercials in the S&P chart.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> 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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