The Weekly Market Sentiment Report: 25th June - 2nd July 2023

The Weekly Market Sentiment Report: 25/06/2023 - 02/07/2023

CONTENTS

• EVOLUTION OF THE REPORT

• ECONOMIC CALENDAR

  • THE COMMITMENT OF TRADERS REPORT: NORMALIZED VALUES

  • THE COMMITMENT OF TRADERS REPORT: PATTERN RECOGNITION

  • THE PUT-CALL RATIO SENTIMENT

  • THE GAMMA EXPOSURE INDEX

  • THE AMERICAN ASSOCIATION OF INDIVIDUAL INVESTORS

  • GERMANY ZEW ECONOMIC SENTIMENT INDEX

  • THE ISM PURCHASING MANAGER’S INDEX

  • THE UNIVERSITY OF MICHIGAN CONSUMER SENTIMENT INDEX

• DISCLAIMER

EVOLUTION OF THE REPORT

This report will grow in time due to feedback and new techniques put into place. You may notice new markets added or other markets removed. Similarly, new sentiment models may be added or removed. Feel free to leave a feedback (e.g. nature of the document, its usefulness, its time interval, its content, language, etc.).

At the moment, the future changes over the coming months can be summed up as follows:

• Adding the Bullish Percentage Index, a collection of individual technical indicators calculated on each stock of the S&P 500. Following this, a global index is constructed in order to calculate the current sentiment.

ECONOMIC CALENDAR

THE COMMITMENT OF TRADERS REPORT: NORMALIZED VALUES

The U.S Commodity Futures Trading Commission (CFTC) publishes statistics of the futures market on a weekly basis called the Commitment of Traders (COT) report. The report has many valuable information inside, namely the number of futures contracts held by market participants (hedge funds, banks, producers of commodities, speculators, etc.). Two main categories have to be distinguished:

• Commercial players: They deal in the futures markets for hedging purposes (i.e. to cover their operations or other trading positions). Examples of hedgers include investment banks and agricultural giants. Their positions are negatively correlated with the underlying market.

• Non-commercial players: They deal in the futures markets for speculative reasons (i.e. to profit from their positions). Examples of speculators include hedge funds. Their positions are positively correlated with the underlying market.

The COT meter takes the difference between the net non-commercial players and the net commercial players in order to get a final net value which is supposed to be positively correlated to the underlying asset.

For example, if the Canadian Dollar is showing an extreme value of 100, then this means that taking into account the past 26 weeks (6 months), the net market positioning has been overly bullish which could mean that a correction may be likely. The following table summarizes the current state of the markets with the optimal opportunities:

The COT report is also known for its commodities side, and therefore, the following shows a summary of a few key commodities: