Russell 2000 — Commitment of Traders

Russell 2000 futures (E-mini) trade on the CME in contracts representing $50 times the index. The Russell 2000 is the benchmark for US small-cap equities and is the most domestically focused of the major index futures. COT positioning in the Russell 2000 is a barometer of domestic US growth sentiment: when speculators are net long and the COT Index is high, the market is pricing in strong domestic earnings growth and easy credit conditions for small companies. Because small caps are more leveraged to the credit cycle and less exposed to global revenues, their COT data diverges from the S&P 500 during periods of dollar strength or global headwinds. The COT Index for the Russell is particularly useful during Fed tightening cycles: as credit costs rise, speculative longs in small caps are the first to be liquidated. Weekly changes in the Russell COT relative to the S&P 500 and Nasdaq are a classic risk-appetite thermometer. Historically, when the Russell COT Index diverges significantly from the S&P 500, it signals a sector rotation that often leads the headline index.