The read
In the October 20 report, leveraged funds' net short in Russell 2000 futures narrowed by 38,612 contracts to 53,035, equal to 11.4% of open interest. It sits at the 51st percentile of its three-year range (z-score +0.07), in the middle of the range. The net short is 54,947 smaller than four weeks ago, and the prior week's narrowing was 13,670.
Both legs moved. Leveraged funds added 24,216 longs, taking them to 125,748, and held 14,396 fewer shorts, leaving 178,783. Open interest rose 4.9% to 466,789, so the move came in a larger market.
The prior report showed a net short of 91,647, or 20.6% of open interest. It is the largest change in this report, measured against each market's own history. The report also flags a divergence: the Russell 2000 price is at a 12-week low, while leveraged funds' positioning has moved the other way over the same 12 weeks. The report counts positions as of Tuesday, October 20, and shows the position, not the reason for it.
Russell 2000 positioning
Russell 2000: 53,035 contracts net short
Who moved
Leveraged funds added longs and covered shorts.
Leveraged funds' longs rose by 24,216 to 125,748 while their shorts fell by 14,396 to 178,783. More of the 38,612 net change came from new longs than from covered shorts.
Dealers / intermediaries moved the other way. Their net position fell by 34,500 to a net long of 23,003, as they added 28,740 shorts, taking them to 79,205, and held 5,760 fewer longs. Asset managers changed little: their net long rose by 1,432 to 30,960.
These are balances within this futures market, not whole portfolios.
Who holds Russell 2000 futures
Who holds Russell 2000 futures?
What would change the read
Does the Russell 2000 short keep narrowing?
The next report, for positions as of October 27, shows whether leveraged funds' net short stays below 53,035 or grows again. A net short smaller than 53,035 would extend the narrowing. A net short back at or above the prior 91,647 would undo the week's move.
The anchors
ES · CL · GC
S&P 500
Net short 372,869 contractsLeveraged funds added 13,354 longs and held 24,295 fewer shorts, so the net short narrowed by 37,649. It equals 19.1% of open interest and sits at the 35th percentile of its three-year range (z-score -0.38). The net short is only 2,747 smaller than four weeks ago.
WTI crude
Net long 101,906 contractsManaged money's net long shrank by 859 contracts: 16,653 fewer longs and 15,794 fewer shorts. It is 40,682 smaller than four weeks ago and sits at the 33rd percentile of its three-year range (z-score -0.28). Open interest fell 2.9%.
Gold
Net long 108,685 contractsManaged money's net long shrank by 2,394 contracts: 4,066 fewer longs and 1,672 fewer shorts. It is 22,649 smaller than four weeks ago and sits at the 23rd percentile of its three-year range (z-score -0.85).
Elsewhere
Four other positions worth a look.
Natural gas shorts grew
Managed money's natural gas net short grew by 30,692 to 156,848, 9.1% of open interest, with 24,497 fewer longs and 6,195 more shorts. It sits at the 1st percentile of its three-year range (z-score -1.83), the short end, for 4 reports. Open interest fell 1.7%.
VIX crossed to net short
Leveraged funds' VIX futures position moved from a net long of 1,105 to a net short of 20,890, a change of 21,995, as they added 18,259 shorts and held 3,736 fewer longs. It sits at the 59th percentile (z-score +0.36) and left the long end of its range after 2 reports.
Sterling shorts were covered
Leveraged funds' British pound net long rose by 13,791 to 24,104, 9.5% of open interest, with 9,983 fewer shorts and 3,808 more longs. It left the short end of its range after 3 reports and now sits at the 29th percentile (z-score -0.49). Open interest fell 5.4%.
Sugar longs held the long end
Managed money's sugar net long rose by 7,167 to 269,008, 17.7% of open interest. It sits at the 100th percentile of its three-year range (z-score +2.33), the long end, for 10 reports, and is 45,002 larger than four weeks ago.
One week later
The euro short grew again, and natural gas shorts did not narrow.
- Last week: would the euro short keep growing, and natural gas shorts narrow further? The report left both open, with natural gas at a net short of 126,156.
- The euro short grew again. Leveraged funds' net short grew by 839 to 68,840. It sits at the 1st percentile (z-score -2.50), the short end, for 4 reports.
- The natural gas short did not narrow. Managed money's net short grew by 30,692 to 156,848, from 126,156, and now sits at the 1st percentile (z-score -1.83).
- The S&P gross shorts fell. Leveraged funds held 24,295 fewer shorts, taking them from 531,716 to 507,421.
- The yen short narrowed. Leveraged funds' net short narrowed by 10,783 to 22,890.
- Copper's net long fell. Managed money's net long fell by 13,161 to 48,009, from 61,170.
- Next report: Whether the Russell 2000 net short stays below 53,035, and whether the euro and natural gas shorts stay at the short end of their ranges.
Positioning reference
Where positioning sits in its 3-year range.
| Market | Net position | 3-year percentile (z-score) | At this end |
|---|---|---|---|
| Sugar No. 11 | Net long 269,008 (17.7% of open interest) | 100th (+2.33) | 10 reports |
| Bitcoin (CME) | Net short 4,942 (23.5% of open interest) | 100th (+1.89) | 4 reports |
| Euro FX | Net short 68,840 (7.8% of open interest) | 1st (-2.50) | 4 reports |
| Natural Gas (Henry Hub) | Net short 156,848 (9.1% of open interest) | 1st (-1.83) | 4 reports |
| Lean Hogs | Net short 41,133 (10.0% of open interest) | 2nd (-1.82) | 21 reports |
| Silver | Net long 3,746 (2.9% of open interest) | 4th (-1.48) | 3 reports |
| Gasoline (RBOB) | Net long 93,591 (27.6% of open interest) | 96th (+1.75) | 10 reports |
| Canadian Dollar | Net short 91,113 (23.7% of open interest) | 7th (-1.60) | 2 reports |