This is from 6/12/2009 Sentiment’s Edge by Jason Goepfert talking about the Comittment of Traders report from the CFTC:
This is more of “what the…” chart more than anything tradeable, but it’s interesting that as of the latest release covering positions through the June 9th close, the CFTC shows that large speculators are net long VIX futures to a degree not matched in the past few years.
Normally, large speculators are more of a contrary indicator than anything when their positions reach an extreme, but that hasn’t worked in the VIX. This is a relatively new futures contract, and it can act pretty screwy when compared to the cash VIX index, but the last couple of times we saw large specs build big positions (relatively speaking) in the futures, we saw implied volatility jump over the next couple of months.
There was a temporary spike in their positions in early March of this year which was quickly reversed before volatility began to fall, but that’s still kinda sorta a false signal. Anyway, like I said, I wouldn’t trade on this by any means, but it does make me raise one eyebrow just a bit.
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