What Is COT? The Commitments of Traders Report
What is COT? It stands for Commitments of Traders, a weekly report from the US Commodity Futures Trading Commission (CFTC) that breaks down the open positions in US futures markets by type of trader. It shows each Tuesday’s positions and is released on Friday at 3:30 p.m. Eastern Time (CFTC: About the COT reports).
For currencies, the latest week of every major is on COT report for forex, with a page per currency such as the Euro COT report and the Japanese yen COT report.
Where the COT report comes from
Its roots go back to 1924, when the US Department of Agriculture’s Grain Futures Administration published its first annual report on hedging and speculation. The report came out monthly from 1962, twice a month from 1990, every two weeks from 1992 and weekly since 2000.
Firms report every day the positions of traders at or above the CFTC’s reporting level for that market. Subtract those reportable positions from open interest and what is left is shown as nonreportable: smaller traders whose number and type are unknown (CFTC explanatory notes).
The versions of the report
The CFTC publishes the same positions in several cuts, each with its own groups:
- Legacy: commercial traders, who hedge business risk, against non-commercial traders, with smaller traders as nonreportable.
- Disaggregated: for physical commodities, with producers, swap dealers, managed money and other reportables.
- Traders in Financial Futures (TFF): for financial futures such as currencies, with dealers, asset managers, leveraged funds and other reportables. The CFTC describes leveraged funds as typically hedge funds and money managers, including commodity trading advisors (TFF explanatory notes).
- Supplemental: the Legacy groups plus index traders, for selected agricultural markets.
Which to read for forex, and why the Legacy groups can mislead, is in COT Report Explained.
How traders use the COT report
The usual starting point is net positioning: one group’s longs minus its shorts. On its own a net position says little. It becomes useful against the market’s size, through open interest, and against its own history, through a percentile or a z-score.
- A position at a historical extreme shows that a trade is heavily owned.
- It does not say when the trend will turn.
- The figures are three days old on release: they show where traders stood.
How to read an extreme is in COT Data Reversals.
What our COT pages show
Our COT pages read the TFF report’s leveraged funds, labelled Leveraged Money, in the futures of eight currencies. The US dollar’s positions come from the ICE US Dollar Index future. For each week they print the longs, the shorts, the net position, its change on the week and its share of open interest.