Judging by the most liquid US equity market instrument - e-Mini S&P 500 futures - market participants have not been as exuberant buyers of stocks in three years. With AAII bulls at extremes vs bears, it seems this is anything but the most-hated rally of all time!
In the last 15 minutes yesterday, the liquidity imbalance in the S&P 500 futures was the largest in over 3 years...
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Source: Nanex
Furthermore, JPMorgan's Spec Risk Indicator just hit its extremes...
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Difference between net spec positions on US equities & rates - this indicator is derived by the difference between total CFTC spec positions in US equity futures (in $bn) scaled by open interest (in $bn) minus a duration weighted composite of UST futures and scaled by open interest. The US equity is an aggregate of the S&P500, Dow Jones, NASDAQ and their Mini index. The US rates series is duration weighted aggregate of the UST2YR, UST5YR, UST10YR, UST long bond & the UST Ultra long bond futures.
