In last night’s Closer, we discussed the latest positioning data from the weekly Commitments of Traders report published by the CFTC.
Released last Friday with data as of the prior Tuesday, the report would have captured October options expiration, and likely thanks to this, there were a number of significant changes to positioning across assets. As we discussed last night, one key area that saw big changes was equities.
Perhaps the most notable of these was in S&P 500 futures. Whereas this past summer saw positioning shift to the most net short (meaning a higher share of open interest is positioned short versus long) levels in over a decade, the past few months have seen those readings steadily unwind, and last week marked the first net long reading since June 14, 2022.
Meanwhile, the small-cap Russell 2000 still remains deep in net short territory, although there was some improvement. The Russell went from a recent low of 14.3% net short five weeks ago to 8.53% net short last week. That’s the highest reading since March.
As previously mentioned, the S&P 500 is back to net long for the first time in well over a year. In fact, the streak of net short readings concluded at 70 straight weeks.
That is now the longest such streak in the record of the data dating back to the late 1990s. The only other streak that comes close in length ended at 60 weeks in April 2016.
As for the Russell 2000, its streak of net short positioning has also been impressive at 135 weeks. However, that is not even half the length of the previous record that lasted from the back half of the 2000s through the early 2010s.
Put differently, positioning in Russell 2000 futures has historically held a more pessimistic tilt with net short readings 72.5% of the time since data for the index begins in August 2002.
Although current readings indicate there continues to be more speculators betting against rather than for the index, the recent rise also indicates there has been some improvement in optimism towards small caps.
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