Kevin,
Actually you would expect the Blees number to be high when the S&P is down. If there was a surprise I think it is the Blees number didn't go down during the rally.
I don't think the COT report for the stock market is as useful as it used to be. And I think one of the reasons is the e-mini has grown so popular even among commercial traders. So what I see happening is that often money will flow out of one contract and into the other. So the Blees number for the big contract might go up at the same time the number for the small contract goes down.
It's best to look at the big S&P contract, the e-mini, the big Nasdaq 100 contract, the Nasdaq 100 mini and the Russell mini as an aggregate. And try to make a dertermination about whether commercial money is flowing into those contracts or flowing out. So, with the stock market, it's a more subjective determination than it used to be.
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