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Don't go against the physicists: professional participants began to lose to individuals on the Moscow Exchange
US market participants are familiar with the Commitments of Traders (COT) report, which reveals data on the open positions of futures market participants in a variety of exchange-traded assets, from wheat, corn and forex to the S&P and NASDAQ indices.
In Russia, similar data is published on the Moscow Exchange for indices, stocks, currency and commodity futures of individuals and legal entities. However, if you want to view the history of open positions and build charts, you will not be able to download historical data in one file for this period. Every day you have to open your data and copy it into Excel.
Moscow Exchange also provides the ability to track the dynamics of open positions of participants online, but you will have to pay for these services.
The US COT report divides participants into several categories. The main categories that people pay attention to are large speculators, such as hedge funds and asset management companies, and small speculators, represented mainly by individuals.
Small speculators are considered to be countercyclical and send opposite signals. However, it is not worth focusing on only one category of participants. Speculators, both large and small, speculate on the direction of the market and then either go against the market or close profitable positions early.
Given the specific profile of the Russian stock market in recent times, when almost 80% of transactions on the Moscow Exchange are made by individuals, and 80% of them are qualified, information about the behavior of the dominant group should not be underestimated.
By analyzing the positions of individuals (natural persons) and corporations (LE) at key points of the current IMOEX index correction, which started from the highest point in May of this year, we can see how many mistakes professional participants made. Despite opening a position in the direction of the trend, a short futures position on the Moscow Exchange stock index was opened.
The organization's net position in the IMOEX2 index and IMOEX futures
The ratio of corporate net position to open interest (the number of corporate long positions minus the number of corporate short positions) on the first adjustment date, May 20, 2024, and subsequent reversal dates (the sum of corporate public positions and corporations) is minimal, ranging from -6% to 3%, indicating that neither individuals nor corporations have been particularly active.
On August 23, the company increased its short futures position sharply by 9,000, with its net short position reaching almost a quarter of the open interest in IMOEX futures. Thus, individuals formed a net long position equivalent to a quarter of the open interest. On August 26, the company closed about 11,000 short positions.
Then the market fell to its lowest point, and a similar situation was observed on September 2. The corporation's net short position increased again by a quarter of its open interest! And this short sale will end on 09/03 and 09/04.
In foreign markets there is an expression: “Don’t fight the Fed” (“Don’t go against the Fed”), but in relation to Russian realities we can say: “Don’t go against the physicist.”