Guide to COT Reports with Weekly Updates, Trading Signals and Definitions
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Commitments of Traders Guide

Commitments of Traders Guide


Welcome to the CleanFinancial guide to the Commitments of Traders (COT) reports.

The COT report data in this guide is updated weekly.

We also take a look at how to read the data and provide a consolidated view of the key ‘Non-Commercial’ companies (e.g. Hedge Funds) in our ‘Summary Non-Commercial and Open Interest COT Report’.

What is the Commitments of Traders Report?


A weekly report by the US Commodity Futures Trading Commission (CFTC) “providing 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.”

I.e. it is a report showing how companies with significant positions in a given futures market have increased/decreased their positions over the specified week (Tuesday to Tuesday). It also shows other important data such as whether traders are mostly long or short of a market.

The data on the CFTC website is not the easiest to read, so on CleanFinancial.com we use the ‘Short Format COT’ report and have tried to make it easier for investors to interpret.

We also show a ‘Summary Non-Commercial and Open Interest COT Report’ (see below).

Both of the reports are based on the weekly ‘Futures-Only Commitments of Traders’ report which the CFTC normally publish on Fridays at 3:30pm Eastern time.

For COT report definitions see below. For more details also see cftc.gov Commitments of Traders explanatory notes.

For a trading example, please see our Gold COT report case study.


Why Use the COT Report?


As mentioned above, the Commitments of Traders reports show how companies with significant positions are changing those positions and therefore some investors use the reports as a guide to future trends and reversal signals.


Weekly COT Reports on CleanFinancial


Each week we update the following COT reports. For the latest report, click on the relevant market link below.

If you would like to be told when we have updated the reports, simply follow us on Twitter, @spread_bettor. We Tweet when the new reports come out.


Stock Market COT ReportsForex COT ReportsTreasuries COT Reports

Metals COT ReportsEnergies COT ReportsSofts/Agricultures COT Reports

COT Chart


Below a commitments of traders chart for the key forex and commodities markets.

For a different chart, simply select the relevant market from the dropdown:


Commitments of Traders chart powered by OANDA

Reading the COT Report


The Short Format report that you see on Clean Financial is broken down by:
  • Commercial (reportable) - these are positions by companies involved in the production, processing and sale of a commodity. They use futures contracts primarily for hedging e.g. mining, oil and gas companies. These companies also meet the reportable requirements set by the CFTC

  • Non-Commercial (reportable) - these are positions by companies such as hedge funds who use futures markets for speculative purposes. These companies also meet the reportable requirements set by the CFTC

  • Non-Reportable - these are long and short positions that do not meet reportable requirements set by the CFTC
According to the CFTC, the Reportable positions typically cover 70-90% of the Open Interest in a given market.

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

Theoretically, the net position changes of 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 Reportable and Non-Reportable long positions, it is also equal to the total Reportable and Non-Reportable short positions. It shows whether more or less funds are being traded on a particular market.

For more details see the Commitments of Traders report definitions below.


Nikkei 225 Index (i) Commitments of Traders Report - 12 Sep 2017 (i)


Futures Only Positions (i), CME (i), Code 240741 (i), (Nikkei Index x $5) (i)

Reporting Firms (i) Non-Reportable Positions (i)
Non-Commercial (i)
Commercial (i) Total Reportable (i)
 
Commitments (i) Open (i) Interest Commitments
Long (i) Short (i) Spreads (i) Long Short Long Short Long Short
14,668 8,453 0 14,370 23,119 29,038 31,572 34,932 5,894 3,360
 
Changes from 5 Sep 2017 (i) Change in (i) Open Interest Changes from
Long Short Spreads Long Short Long Short Long Short
1,158 2,719 -4,410 -4,944 -6,737 -8,196 -8,428 -9,286 -1,090 -858
 
Percent of Open Interest for Each Category of Trader (i)
Long Short Spreads Long Short Long Short   Long Short
42.0% 24.2% 0.0% 41.1% 66.2% 83.1% 90.4%   16.9% 9.6%
 
Number of Traders in Each Category (i) Total (i) Traders  
Long Short Spreads Long Short Long Short    
17 4 0 16 9 33 13 42    
 
Long/Short Commitments Ratios (i)   Long/Short Ratio
Ratio   Ratio Ratio   Ratio
1.7:1   1:1.6 1:1.1   1.8:1
 
Net Commitment Change (i)  
-1,561  

The above example is the 'Nikkei 225 Index dollar denominated COT report' which is different from the 'Nikkei 225 Index yen denominated COT report'. For the yen denominated report see Nikkei 225 COT.


Summary COT Report


Because many investors concentrate on the Non-Commercial commitments and the Change in Open Interest, as well as the normal COT reports, we publish the following ‘Summary Non-Commercial and Open Interest COT Reports’ every week. For the full COT report for a particular market, simply click on the relevant market name in the summary table below.

Summary Indices Non-Commercial and Open Interest COT Report - 12 Sep 2017


Indices Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
Dow Jones Index 8.1:1 82,900 78,971 3,929 168,719 19,082
S&P 500 Index 1:2.8 -5,839 -4,028 -1,811 72,189 2,181
Nikkei 225 Index (Yen Denom) 3.7:1 13,044 15,355 -2,311 47,313 -17,730


Summary Forex Non-Commercial and Open Interest COT Report - 12 Sep 2017


Forex Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
Euro 1.8:1 86,058 96,309 -10,251 487,425 22,437
Sterling 1:1.7 -46,085 -52,927 6,842 273,720 54,672
Japanese Yen 1:2.4 -57,297 -72,945 15,648 200,444 -12,756
Swiss Franc 1:1.1 -1,314 -2,171 857 44,076 2,057
Australian Dollar 2.6:1 63,033 64,904 -1,871 187,355 19,184
Brazilian Real 2.1:1 11,363 11,749 -386 30,536 2,289
Canadian Dollar 2.2:1 50,499 53,644 -3,145 227,931 24,578
Mexican Peso 5.5:1 116,998 113,612 3,386 258,092 17,387
New Zealand Dollar 2:1 12,350 14,723 -2,373 49,256 3,162
Russian Ruble 1.7:1 5,232 486 4,746 48,708 8,636
US Dollar Index 1:1.1 -2,191 -3,944 1,753 55,883 55


Summary Metals Non-Commercial and Open Interest COT Report - 12 Sep 2017


Metals Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
Gold 3.6:1 254,760 245,298 9,462 580,606 13,789
Silver 3.8:1 74,987 64,171 10,816 188,207 4,931
Copper Grade #1 1.4:1 46,614 48,865 -2,251 316,294 -14,408
Palladium 6.7:1 23,306 24,968 -1,662 33,331 -1,646
Platinum 3:1 37,997 37,973 24 80,477 1,169


Summary Energies Non-Commercial and Open Interest COT Report - 12 Sep 2017


Energies Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
Crude Oil (US Light Sweet) 2.3:1 374,480 382,113 -7,633 2,345,125 18,539
Gasoline (RBOB) 2.2:1 79,467 78,446 1,021 415,114 -1,648
Heating Oil No. 2 1.7:1 44,067 41,375 2,692 437,212 23,953
Natural Gas 1:1.1 -52,203 -46,799 -5,404 1,318,206 14,679


Summary Softs Non-Commercial and Open Interest COT Report - 12 Sep 2017


Softs Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
Cocoa 1:1.6 -37,696 -40,240 2,544 261,699 13,202
Coffee C (Arabica) 1:1.5 -21,931 -22,111 180 205,989 -657
Corn 1:1.1 -24,614 -14,000 -10,614 1,368,725 31,093
Cotton No. 2 3:1 68,886 57,354 11,532 243,886 9,086
Lean Hogs 1.5:1 28,661 39,239 -10,578 249,335 2,485
Live Cattle 2.9:1 87,836 83,161 4,675 319,502 4,369
Oats 1.7:1 753 1,031 -278 5,862 226
Orange Juice 1:1.2 -444 -3,258 2,814 9,090 -597
Rough Rice 1.9:1 1,877 2,194 -317 10,496 429
Soybeans 1:1 3,592 -2,044 5,636 667,033 3,854
Sugar No. 11 1:1.2 -39,453 -56,330 16,877 801,502 -22,965
Wheat 1:1.2 -31,142 -36,031 4,889 435,529 -3,123


Summary Bonds Non-Commercial and Open Interest COT Report - 12 Sep 2017


Bonds Net Non-Commercial Commitments (i) (Futures Only) Open Interest (i) Change in Open Interest (i)
Long:Short Ratio (i) 12 Sep 2017 5 Sep 2017 Weekly Change
US 2yr Bonds 1:1.4 -102,806 -171,602 68,796 1,509,790 19,208
US 10yr Bonds 1.4:1 251,679 221,806 29,873 3,304,468 -99,489
US Long Term Bonds 1:2.4 -88,060 -98,446 10,386 842,177 -43,327


Important


Trading Risk Warning
This content is for information purposes only and is not intended as a recommendation to trade. Nothing on this website should be construed as investment advice.

Under no circumstances are the comments and the information provided herein to be considered an offer or solicitation to invest and nothing herein should 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 information. The above is not meant to form an exhaustive guide. Neither CleanFinancial.com nor any contributing company/author accept any responsibility for any use that may be made of the above or for the correctness or accuracy of the information provided.


Commitments of Traders Trading Signals


Common ways of reading COT signals include:

COT Signals: How to Read Net Non-Commercial Commitment Changes


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

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

Also see our Gold COT report case study.


COT Signals: Reversals in Net Non-Commercial Commitments


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

While this Reversals strategy has, historically, worked well for markets like USD/CHF, the reversals are far from perfect signals.

Every currency pair has a different set of characteristics, particularly with pairs involving a higher-yielding currency. These pairs reverse less frequently because positions tend to be net long for extended periods of time as traders take interest-earning positions.


COT Signals: Net Non-Commercial Overbought/Oversold Commitments


Overbought/oversold commitments (positions) in forex futures 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 reasoning is fairly straightforward. The extreme positions have so many speculators trading in one direction that there is no one left to buy or sell. E.g. anyone who wants to be long is already long so, as a result, exhaustion ensues and the prices begins to reverse.


COT Signals: How to Read Changes in Open Interest


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

Investors sometimes use Open Interest to gauge the overall health of a futures market, i.e. rising/falling levels of Open Interest help to measure the strength/weakness of a price trend.

Declining Open Interest indicates that money is leaving the market and that the recent trend is running out of momentum. Declining Open Interest (lower trading volumes) is fairly suspect and should be treated with caution.

If a market has been in a long-lasting uptrend or downtrend with increasing levels of Open Interest, which then changes e.g. there is a levelling off or decrease in Open Interest, then this is a red flag, signalling that the trend may be nearing its end.

For example, steadily rising prices and falling Open Interest can signal that the recent trend is nearing an end as fewer traders participate.

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

Change in Open InterestPrice ChangesSignal
Open Interest IncreasingUnderlying Market Increasing Trend Continuation
Open Interest IncreasingUnderlying Market Decreasing Trend Continuation
Open Interest (Little Change) or Open Interest DecreasingUnderlying Market Increasing Trend Reversal
Open Interest (Little Change) or Open Interest Decreasing Underlying Market Decreasing Trend Reversal


CleanFinancial Explains the COT Report:

Change in Open Interest:

This is the difference between the total Open Interest in this report and the previously published report.

Changes From:

Changes represent the differences between the data for the current report date and the data published in the previous report.

Commercial:

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

Alternatively, as Investopedia puts it "An increase in commercial traders' long positions in a certain commodity may mean these traders believe the price of the commodity will increase".

Commitments:

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

Contract:

The term describing a unit of trading for a commodity future or other derivative; (2) an agreement to buy or sell a specified commodity, detailing the amount and grade of the product and the date on which the contract will mature and become deliverable.

Contract Market Code:

The CFTC code for the market e.g. 88691 is the code for Gold (Commodity Exchange Incorporated) and 43602 is the code for 10-Year US Bonds (Chicago Board of Trade).

Contract Size:

The actual amount of a commodity represented in a contract.

Date:

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

Futures Only Positions:

This is to clarify that this is a 'Futures-only' report. The CFTC also releases other reports such as a 'Futures and Options' report. On Clean Financial we primarily review the Futures-only report.

Long:

A bought futures contract which opens a market position. Traders with a Long position think the market will rise. Also see Open Interest.

Long/Short Commitments Ratios:

This is not listed on the COT reports on the CFTC.gov website but it is derived from the same data. This has been added to the CleanFinancial report so it is easier to see the number of Long vs Short commitments. It is simply a ratio of the number of Long positions (commitments) to the number of Short positions (commitments).

Market:

The name of the market. Note that in these reports, Forex futures markets are traded against the US dollar.

Market Code:

This is the code of the futures market (exchange) e.g. CBT (Chicago Board of Trade), CME (Chicago Mercantile Exchange), CMX (Commodity Exchange Incorporated), ICUS (Ice Futures US), IFED (Ice Futures Energy Division), NYME (New York Mercantile Exchange) etc.

Net Commitments Change:

This is not listed on the COT reports on the CFTC.gov website but it is derived from the same data. This has been added to the CleanFinancial report so it is easier to see the overall change in commitments and therefore if, over 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.

The Net Commitments Change often focuses on 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/Trader is one that mainly buys or sells futures in a speculative manner. i.e. a firm that is speculating and not hedging a genuine exposure to the underlying market. Examples may include hedge funds and some large financial institutions. Also see 'Reporting Firms' and 'Commercial'.

Alternatively, 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 the CFTC, "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:

These are 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.

For more details please see the full 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%. Because of rounding, the total may not be 100%.

Reporting Firms:

The collective term for Clearing Members (e.g. Chicago Mercantile Exchange Inc. or LCH.Clearnet Ltd), Futures Commission Merchants (e.g. Barclays Capital Inc or Goldman Sachs & Co.) 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 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. However, the levels remain large e.g. as of March 2015 for the GBP market, the reporting level was £25m (or 400 contracts of £62,500 each) and for gold the reporting level was circa $24m (or 200 contracts of 100 troy ounces).

Reporting Traders:

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

Short:

A sold futures contract which opens a market position. Traders with a Short position think the market will fall. Also see Open Interest.

Spreads / Spreading:

Spreads, also known as Spreading, measures the extent to which each Non-Commercial trader holds equal combined-long and combined-short positions. For example, if a Non-Commercial trader in Euro Dollar futures holds 3,000 long contracts and 2,000 short contracts, then 1,000 contracts will appear in the "Long" category and 2,000 contracts will appear in the "Spreads" category. These figures do not include intermarket spreading, such as spreading Euro Dollar futures against Treasuries futures.

'Spreads' on a 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.

Total Reportable

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

According to the CFTC, "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 whether or not the trader appears in more than one category.

To determine the number of traders in each category, however, 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.

The sum of the numbers of traders in each category, therefore, will often exceed the number of traders in that market.


Trading Risk Warning
'Commitments of Traders Guide' edited by Jacob Wood, updated 18-Sep-17

For related articles also see:





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