Market data
The COT report explained: how to read the Traders in Financial Futures report
The Commitments of Traders (COT) report is a weekly snapshot of who holds positions in US futures and options markets, published by the US Commodity Futures Trading Commission (CFTC). For financial futures, such as currencies, Treasury securities and stock indices, the most detailed version is the Traders in Financial Futures (TFF) report, which the CFTC announced in July 2010.
By Admin · · 4 min read
When it is published
The CFTC generally publishes the COT reports each Friday at 3:30 pm US Eastern Time, using data from the Tuesday of the same week. Holidays can move the release. Every figure is therefore three days old when it appears: read it as a weekly picture of positioning, not a live feed.
Four COT reports
| Report | What it covers |
|---|---|
| Legacy | Every reported market, split into commercial and non-commercial traders |
| Supplemental | 13 selected agricultural contracts |
| Disaggregated | Physical commodities: agriculture, petroleum, natural gas, electricity and metals |
| Traders in Financial Futures | Financial contracts such as currencies, US Treasury securities, stock indices, the VIX and the Bloomberg commodity index |
The Legacy, Disaggregated and TFF reports each come in two versions: futures only, and futures and options combined.
The TFF trader groups
The TFF report splits large traders into the market's sell side and buy side, by their role in the market rather than by whether they are long or short.
| Group | Who they are, as the CFTC describes them |
|---|---|
| Dealer/ | The sell side: large banks and dealers in securities, swaps and other derivatives, which design and sell financial products and tend to offset their risk |
| Asset Manager/ | Pension funds, endowments, insurance companies, mutual funds and managers whose clients are mainly institutions |
| Leveraged Funds | Typically hedge funds and other money managers, including commodity trading advisors and commodity pool operators |
| Other Reportables | The remaining large traders, mostly hedging business risk: corporate treasuries, central banks, smaller banks, mortgage originators and credit unions |
| Nonreportable positions | Everyone below the CFTC's reporting levels: total open interest minus all reportable positions |
Reading one market
For each market and each group, the report shows:
- Long and short positions, plus spreading: offsetting long and short positions held by the same trader across months, or across futures and options
- The change since the previous week
- Each figure as a share of open interest
- The number of traders in each group; counts below four are hidden to protect confidentiality
Analysts often compare a group's net position (long minus short) with its own history, because typical levels differ widely between markets.
Limits to keep in mind
- Three days old: positions are as of Tuesday, and markets move before Friday's release.
- Classified by trader, not by trade: CFTC staff place each trader in one group by their main activity, so a hedge fund's position counts as Leveraged Funds even when it is a hedge.
- Judgement and change: classifications rely on the traders' Form 40 filings and staff judgement, and can change over time.
- Approximate history: TFF data go back to 13 June 2006, but the early years were classified using later information, so they are less accurate.
- Context, not a forecast: positioning describes who holds what; it does not say where prices will go.
How Fellowdata uses it
Fellowdata's markets data analytics shows COT positioning with both dates, the Tuesday as-of date and the Friday publication date, and keeps every figure linked to its source.
Common questions
Is the COT report free?
Yes. The CFTC publishes every COT report on its website.
Why is the data from Tuesday?
The reports describe positions held at Tuesday's close; the CFTC publishes them on Friday.
Which report covers currencies?
The Traders in Financial Futures report, which covers currency futures on US exchanges.
Sources
Checked on .
- CFTC: Commitments of Traders: release day and time, the four reports and the markets each covers
- CFTC: COT explanatory notes: open interest, reportable and nonreportable positions
- CFTC: Traders in Financial Futures explanatory notes (PDF): the trader groups, spreading, trader counts, history and limits