Commitments of Traders (COT) report is issued weekly by the Commodity Futures Trading Commission (CFTC) and contains information about market participant long/short positions, open interest, number of big participants and other information useful for traders and hedgers who wish to predict price movements basing on the up-to-date summarized fundamental information.

Commitments of Traders (COT legacy) report

And now let’s move to futures (and options) market participants and Commitments of Traders report. COT report looks like:

US Treasury cot report

In this example you can see US Treasury Bond futures and options market commitments of traders report (ticker: ZB). You can download it for free from CFTC website www.cftc.gov/marketreports. It may look a bit chaotic but only for the first time. Let’s puzzle it out.

In the COT report all information is separated into three parts between three market participant groups.

• Non-Commercial – investment funds, banks (speculators).
• Commercial – hedgers.
• Nonreportable positions – small traders whose positions are out of the CFTC interest.

Each group contains two columns “Long” and “Short”, Non-commercial’s (Big speculators) group contains one more column “Spreads”:

• Long – the number of contracts (lots) in long positions.
• Short – the number of contracts (lots) in short positions.
• Spreads – the number of contracts (lots) in opposite positions of one speculator. What does this mean?
  

  Example: one entity is holding a long position in contract with expiration in July which amounts to 3000 lots and a short position in contract with expiration in October which amounts to 2000 lots. The difference between 3000 and 2000 is +1000. Therefore 1000 is added to non-commercial long positions and 2000 to spreads.

• Total – in this column you get summed results from two groups: non-commercial and commercial.
• Row “Commitments” – this week results.
• Row “Changes from” – the difference between this week and last week results.
• Open Interest (OI) – the open interest from all three groups. Find out what is open interest?
• Row “Percent of open interest” – what is the weight of each market participant category in long and short positions.
• Row “Number of traders in each category” – the number of big market participants in each category. One participant can be accounted in several groups because one company can hold both long and short positions and for different purposes.

Mistakes in Commitments of Traders (COT) reports

As you know (at least now) the specifics of futures markets consider that the number of contracts in long positions and short positions must be equal. This is because you “sign” an agreement with an exchange (actually special legal entity – market maker) which is responsible to provide you a counter party or to become this counter party. Therefore it means that by the end of the day each ask must be supported by a bid. Is it always so in COT report? Let’s look.

For example, wheat futures market was taken.

Wheat CBOT commitments of traders report

Sum all long and all short positions and the difference between long and short positions is:

584444-584243=+1

As you can see almost zero but not. Yes, it is a mistake, a small one but it is.

Let’s look another market report – Cocoa futures which are traded at InterContinental Exchange.

cocoa cot report

The result is 110535-110535=0

As you can see no mistakes. Actually this mistakes will not influence the results but just know that mistakes are possible. If you want to get less mistakes download reports in Excel, all mistakes there are corrected.