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Commitments of Traders Guide

Commitments of Traders Guide


The Financial Spreads guide to the Commitments of Traders (COT) report.

As well as giving users the weekly COT data, the following guide also walks you through ways of interpreting the data.

We also show a consolidated view of the positions taken by the key 'Non-Commercial' companies (e.g. Hedge Funds). Users can find this in our 'Non-Commercial and Open Interest COT Summary'.

What is the Commitments of Traders Report?

It is a weekly report by the US Commodity Futures Trading Commission (CFTC) which provides "a breakdown of each Tuesday's Open Interest for markets in which 20 or more traders hold positions equal to, or above, the reporting levels established by the CFTC."

Put another way, the report shows how companies with significant positions in a given futures market have increased / decreased their positions over the week (Tuesday to Tuesday).

Note that the CFTC normally publishes the data on Fridays at 3:30pm Eastern time, i.e. 3 days after the closing Tuesday of the report.

The report also shows other important data such as whether traders are mostly long or short of a market.

We have reproduced the 'Short Format COT' report here because we don't find the information on CFTC.gov that easy to read.

We also give a 'Non-Commercial and Open Interest COT Summary' (see below).

Both of the reports are based on the weekly 'Futures-Only Commitments of Traders' report.

See below for COT report definitions. For more details also see the Commitments of Traders explanatory notes on CFTC.gov.


Why Use the Commitments of Traders Report?

The COT reports shows how companies are increasing / decreasing significant positions in a given market. Therefore some investors use the reports as a guide to future trends and / or reversal signals.


Weekly COT Reports on Financial Spreads

Whilst the CTFC data covers hundreds of markets, including markets such as 'hot rolled coil steel' and 'Non Fat Dairy Milk', we concentrate on the markets that our clients typically trade.

Each week we update the following COT reports (click on the relevant link for the latest report):

Stock Market COT ReportsForex COT ReportsCommodities COT Reports
Dow Jones COT Euro COT Gold COT
S&P 500 COT Sterling COT Silver COT
NASDAQ 100 COT Japanese Yen COT Crude Oil (US) COT
Nikkei 225 (¥) COT Swiss Franc COT
Australian Dollar COT
Canadian Dollar COT
New Zealand Dollar COT

Understanding the COT Report

The Short Format report that you see on Financial Spreads is broken down by: According to the CFTC website, Reportable positions typically cover 70-90% of the Open Interest in a given market.

Investors will often just focus on the Non-Commercial element of the report i.e. the big speculators.

In theory, the net position changes by the Non-Commercial companies can help determine whether a trend will continue or reverse in the near future, see COT trading signals.

Open Interest - this is the total of the long Reportable and Non-Reportable positions, it is also equal to the total short Reportable and Non-Reportable positions.

Change in Open Interest - this shows whether more or less funds are being traded on a particular market.

For more details, see below for the Commitments of Trader definitions.


US Dollar Index Commitments of Traders Report - 18 Apr 2017


Futures Only Positions, ICUS, Code 98662, (US Dollar Index x $1000)

Reporting Firms Non-Reportable Positions
Non-Commercial
Commercial Total Reportable
 
Commitments Open Interest Commitments
Long Short Spreads Long Short Long Short Long Short
46,766 3,329 2,153 9,926 58,731 58,845 64,213 66,658 7,813 2,445
 
Changes from 11 Apr 2017 Change in Open Interest Changes from
Long Short Spreads Long Short Long Short Long Short
-2,329 -1,431 394 180 -1,101 -1,755 -2,138 -4,837 -3,082 -2,699
 
Percent of Open Interest for Each Category of Trader
Long Short Spreads Long Short Long Short   Long Short
70.2% 5.0% 3.2% 14.9% 88.1% 88.3% 96.3%   11.7% 3.7%
 
Number of Traders in Each Category Total Traders  
Long Short Spreads Long Short Long Short    
87 24 17 12 6 107 42 128    
 
Long/Short Commitments Ratios   Long/Short Ratio
Ratio   Ratio Ratio   Ratio
14:1   1:5.9 1:1.1   3.2:1
 
Net Commitment Change  
-898  


COT Summary Reports

Many investors like to concentrate on the Non-Commercial commitments and the Change in Open Interest week to week, Therefore, as well as the normal COT reports, each week we publish the following 'Non-Commercial and Open Interest COT Summary' reports. If you would prefer to read the detailed Commitments of Traders report for a given market just click on the relevant market name in the tables below.


Summary Indices Non-Commercial and Open Interest COT Report - 18 Apr 2017


Indices Net Non-Commercial Commitments (Futures Only) Open
Interest
Change in Open Interest
Long:Short RatioRatio as of 18 Apr 2017 18 Apr 2017 11 Apr 2017 Weekly Change
Dow Jones Index 7.4:1 66,705 66,496 209 131,060 1,923
S&P 500 Index 1.4:1 2,463 4,567 -2,104 59,428 5,530
Nikkei 225 Index (Yen Denom) 3:1 20,164 15,617 4,547 74,059 1,923


Summary Forex Non-Commercial and Open Interest COT Report - 18 Apr 2017


Forex Net Non-Commercial Commitments (Futures Only) Open
Interest
Change in Open Interest
Long:Short RatioRatio as of 18 Apr 2017 18 Apr 2017 11 Apr 2017 Weekly Change
Euro 1:1.1 -21,649 -18,956 -2,693 430,589 10,257
Sterling 1:3.1 -99,490 -105,901 6,411 261,350 17,162
Japanese Yen 1:1.7 -30,463 -34,764 4,301 203,617 5,236
Swiss Franc 1:2.3 -13,802 -10,128 -3,674 48,435 1,667
Australian Dollar 2.6:1 43,262 45,151 -1,889 114,453 -8,691
Canadian Dollar 1:1.9 -33,252 -32,334 -918 136,614 10,202
New Zealand Dollar 1:1.8 -15,006 -15,153 147 43,061 -314
US Dollar Index 14:1 43,437 44,335 -898 66,658 -4,837


Summary Commodities Non-Commercial and Open Interest COT Report - 18 Apr 2017


Commodities Net Non-Commercial Commitments (Futures Only) Open
Interest
Change in Open Interest
Long:Short RatioRatio as of 18 Apr 2017 18 Apr 2017 11 Apr 2017 Weekly Change
Gold 3.3:1 195,768 172,666 23,102 472,263 16,132
Silver 5.2:1 103,887 105,515 -1,628 227,984 7,812
Crude Oil (US Light Sweet) 3.3:1 443,883 437,043 6,840 2,161,434 -32,133


Important

Spread betting, CFDs and margined forex trading are leveraged products which carry a high level of risk to your capital. You can lose more than your initial deposit so you should ensure spread betting, CFDs and margined forex meet your investment objectives and, if necessary, seek independent advice. Click here to see the full risk warning notice.

The information and comments provided herein should not be considered as an offer or solicitation to invest. Under no circumstances should anything herein be construed as investment advice. The information provided is believed to be accurate at the date the information is produced.

All reasonable efforts have been made to present accurate data. The information on this page is not meant to provide an exhaustive guide. Neither Financial Spreads nor any contributing company / author accepts any responsibility for any use that may be made of this data or for the correctness or accuracy of the data provided.


Commitments of Traders Trading Signals

Common ways for investors to read the COT signals include: COT Signals: Understanding Net Non-Commercial Commitment Changes

A positive number indicates that positions are net longer over the period and therefore market sentiment might be more optimistic.

A negative number indicates that positions are net shorter over the period and therefore market sentiment might be more pessimistic.


COT Signals: Reversals in Net Non-Commercial Commitments

This is when the Net Non-Commercial Commitments reverse, or flip, from positive to negative or vice versa. If this happens, it can indicate a potential market reversal.

Note that all forex pairs have a different set of characteristics, particularly when pairs involve a higher-yielding currency.

Pairs with a higher-yielding currency tend to reverse less frequently because positions are more likely to be net long for extended periods of time. This is because investors are more likely to be taking interest-earning positions in these markets.


COT Signals: Net Non-Commercial Overbought / Oversold Commitments

In forex futures, overbought / oversold commitments (i.e. positions) have historically identified important market reversals.

I.e. abnormally large long / short positions by Non-Commercial traders have often coincided with tops / bottoms in the underlying market.

As with most overbought / oversold signals, the explanation is fairly straightforward. The extreme positions have so many speculators trading in one direction that there is no one left to take the opposite side of the trade. Put another way, anyone who wants to be long is already long, therefore exhaustion ensues and the market starts to reverse.


COT Signals: Understanding Changes in Open Interest

Open Interest data is often more useful for investors who prefer to trade with longer-term trends.

This is because investors sometimes use Open Interest to gauge the overall health of a market, i.e. increasing / decreasing levels of Open Interest help to measure the strength or weakness of a trend.

Declining Open Interest (i.e. falling trading volumes) indicates that money is leaving the market and that the recent trend is running out of momentum. If you see a market with Declining Open Interest it is fairly suspect and should be treated with caution.

Be careful if there is a levelling off or reversal in Open Interest, i.e. be careful if a market has been in an uptrend or downtrend for a long time with increasing levels of Open Interest, and then the market changes. When this happens it can signal that the trend may be nearing its end.

Put another way, steadily rising prices and falling Open Interest can signal that the current trend is nearing an end as fewer traders are taking a position.

Rising Open Interest often indicates that the strength of the trend is increasing, this is because new traders and / or new money is entering the market.

Change in Open InterestMarket Price TrendSignal
Open Interest RisingUnderlying Market Rising Potential Trend Continuation - trend continuation, potential Buy
Open Interest RisingUnderlying Market Falling Potential Trend Continuation - trend continuation, potential Sell
Open Interest (Little Change) or Open Interest FallingUnderlying Market Rising Potential Trend Reversal - trend reversal, potential Sell
Open Interest (Little Change) or Open Interest Falling Underlying Market Falling Potential Trend Reversal - trend reversal, potential Buy


Commitments of Trader Definitions


Change in Open Interest:

The difference between the total Open Interest in the current report and the previous report.


Changes From:

The differences between the data for the current report date and the data in the previous report.


Commercial:

A Commercial Firm / Commercial Trader is one that buys or sells futures primarily to hedge a genuine exposure in the underlying market, i.e. a company that is "...engaged in business activities hedged by the use of the futures or option markets.". E.g. airlines hedging against crude oil price rises, an export company hedging against the changing valuation of its host currency, mining companies hedging against a potential fall in prices etc. Also see Reporting Firms and Non-Commercial.

Investopedia notes that "An increase in commercial traders' long positions in a certain commodity may mean these traders believe the price of the commodity will increase".


Commitments:

These are the currently open contracts listed within the specific categories of trader / trade type. 'Commitments' are also known as 'positions'. Also see Open Interest.


Contract:

An agreement to buy or sell a specified commodity, detailing the amount and grade of the commodity and the date at which the contract will mature and become deliverable.


Contract Market Code:

The CFTC code for the market e.g. 99741 is the code for the euro (Chicago Mercantile Exchange) and 84691 is the code for silver (Commodity Exchange Incorporated).


Contract Size:

The actual amount of the commodity represented in a single Contract.


Date:

The date of the data given in the report, this is normally a Tuesday. This date should not be confused with the publication date which is typically 3 days later on the Friday.


Futures Only Positions:

This is to clarify that on Financial Spreads we publish the 'Futures-only' data. Note the CFTC also publishes other reports such as a 'Futures and Options' report.


Long:

This is a bought futures contract which opens a market position. Traders with a Long position want the market to rise. Also see Open Interest.


Long / Short Commitments Ratios:

This is the ratio of the number of Long positions (commitments) to the number of Short positions (commitments).

This is not published on CFTC.gov however it is derived from the same data. We publish it on Financial Spreads to give users a snapshot of the Long vs Short commitments in the current report.


Market:

The name of the market. Note, in forex COT reports markets are traded against the US dollar.


Market Code:

The code of the futures market (exchange) e.g. CBT (Chicago Board of Trade), CME (Chicago Mercantile Exchange), NYME (New York Mercantile Exchange) etc.


Net Commitments Change:

This is not published on CFTC.gov however it is derived from the same data. We publish it on Financial Spreads to give users a snapshot of the overall change in commitments and therefore if, during the course of the last week, traders are getting net longer / shorter of a market.

Net Commitments = Long Commitments - Short Commitments

Net Commitments Change = Change in Long Commitments - Change in Short Commitments

A positive number in the Net Commitments Change indicates that positions are net longer over the last week.

A negative number indicates that positions are net shorter over the last week.

Investors often focus on the Net Commitments Change of the Non-Commercial positions in order to give a trading signal on the whether the market is getting more optimistic or pessimistic.

The formula works the same way, i.e.:

Net Non-Commercial Commitments = Long Non-Commercial Commitments - Short Non-Commercial Commitments

Net Non-Commercial Commitments Change = Change in Long Non-Commercial Commitments - Change in Short Non-Commercial Commitments


Non-Commercial:

A Non-Commercial Firm / Non-Commercial Trader is one that primarily buys or sells futures in a speculative manner. i.e. a company that is speculating and not hedging any genuine exposure to the underlying market. E.g. hedge funds and some large financial institutions. Also see Reporting Firms and Commercial.

As Investopedia puts it, "If non-commercial traders (speculators) have a substantial number of short positions, it can be inferred that this group of investors believes the price of the underlying asset is going to decrease."


Non-Reportable:

Positions taken but not through a 'Reporting Firm'.

According to CFTC.gov, "the long and short Open Interest shown as 'Non-Reportable Positions' is derived by subtracting total long and short 'Reportable Positions' from the total Open Interest. i.e.:

Non-Reportable Positions (Long) = Open Interest - Non-Commercial (Long) - Commercial (Long) - Spreads
Non-Reportable Positions (Short) = Open Interest - Non-Commercial (Short) - Commercial (Short) - Spreads

This means that positions held by 'Non Reporting Firms' could be Commercial or Non-Commercial, the classification is unknown.


Number of Traders in Each Category:

See Total Traders.


Open Interest:

The currently open contracts that have not been delivered, offset, expired, or otherwise closed. Open Interest held by a trader is referred to as that trader's position.

Also see the official definition of Open Interest.

Open Interest is the total Reportable and Non-reportable long positions, it is also equal to the total Reportable and Non-reportable short positions:

Open Interest = Total Reportable (Long) + Non-Reportable (Long)
Open Interest = Total Reportable (Short) + Non-Reportable (Short)


Percent Of Open Interest For Each Category Of Trader

The percentage of Open Interest in each category of trader / trade type.

Percentages of less than 0.05% are shown as 0.0% and therefore, because of rounding, the total is not always 100%.


Reporting Firms:

The collective term for Clearing Members (e.g. Chicago Mercantile Exchange Inc., LCH.Clearnet Ltd. etc.), Futures Commission Merchants (e.g. Barclays Capital Inc., Goldman Sachs & Co. etc) and Foreign Brokers with at least one open position that is larger than, or equal to, the Reporting Level in that market.


Reporting Level:

The size of a position set by an exchange and / or the CFTC above which a firm / trader must provide daily reports of all open positions held in that market.

These levels can, and do, change. Nevertheless, the levels remain large e.g. as of March 2015 for the euro market, the reporting level is €50m (or 400 contracts of €125,000) and for silver the reporting level was circa $11,250,000 (or 150 contracts of 5,000 troy ounces).


Reporting Traders:

A trader, at a Reporting Firm, with at least one open position that is equal to, or larger than, the Reporting Level in that market.


Short:

This is a sold futures contract which opens a market position. Traders with a Short position want the market to fall. Also see Open Interest.


Spreads / Spreading:

'Spreads' on the COT report should not be confused with 'spread betting' or the word 'spread' when it is used to define the difference between the buy and sell price of a market.

For the Futures-Only COT report, which we publish on this website, 'Spreads', also known as 'Spreading' measures the degree to which each non-commercial trader holds equal long and short futures positions.

E.g. if a Non-Commercial trader in sterling dollar futures holds 4,000 long contracts and 2,500 short contracts, then 1,500 contracts will appear in the "Long" category and 2,500 contracts will appear in the "Spreads" category.

These figures do not include intermarket spreading, such as spreading euro dollar futures against treasuries futures.

For the Options-and-Futures-Combined report (not published on this website), 'Spreading' measures the extent to which each non-commercial trader holds equal combined-long and combined-short positions.


Total Reportable

This is the total long and short Open Interest in a given market held by Reporting Firms / Reporting Traders.

According to CFTC.gov, "If, at the daily market close, a reporting firm has a trader with a position at or above the Commission's reporting level in any single futures month..., it reports that trader's entire position in all futures...in that commodity, regardless of size.

"The aggregate of all [reporting] traders' positions reported to the Commission usually represents 70-90% of the total Open Interest in any given market."


Total Traders / Number of Traders in Each Category:

To determine the total number of reportable traders in a market, a trader is counted only once irrespective of whether or not the trader appears in more than one category.

However, to determine the number of traders in each category, a trader is counted in each category in which the trader holds a position. Non-commercial traders may be long or short only and may be spreading. Commercial traders may be long and short.

Therefore, the total sum of the number of traders in each category will often exceed the number of traders in that market.




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