How to read the Commitments of Traders Report
The first Commitments of Traders (COT) report was published for 13 agricultural commodities as of June 30, 1962. At the time, this report was proclaimed as “another step forward in the policy of providing the public with current and basic data on futures market operations.” Those original reports were compiled on an end-of-month basis and were published on the 11th or 12th calendar day of the following month.
Over the years, in a continuous effort to better inform the public about futures markets, the Commodity Futures Trading Commission has improved the COT in several ways. The COT report is published more often—switching to mid-month and month-end in 1990, to every 2 weeks in 1992, and to weekly in 2000. The COT report is released more quickly—moving the publication to the 6th business day after the “as of” date (1990) and then to the 3rd business day after the “as of” date (1992). The report includes more information—adding data on the numbers of traders in each category, a crop-year breakout, and concentration ratios (early 1970s) and data on option positions (1995). The report also is more widely available—moving from a subscription-based mailing list to fee-based electronic access (1993) to being freely available on the Commission’s internet website (1995).
The COT reports provide 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. The weekly reports for Futures-Only Commitments of Traders and for Futures-and-Options-Combined Commitments of Traders are released every Friday at 3:30 p.m. Eastern time.
Reports are available in both a short and long format. The short report shows open interest separately by reportable and nonreportable positions. For reportable positions, additional data are provided for commercial and non-commercial holdings, spreading, changes from the previous report, percents of open interest by category, and numbers of traders. The long report, in addition to the information in the short report, also groups the data by crop year, where appropriate, and shows the concentration of positions held by the largest four and eight traders.
This sample is a page from the December 12, 2006, COT report (short format) showing data for the Chicago Board of Trade’s wheat futures contract.
Open Interest – Open interest is the total of all futures and/or option contracts entered into and not yet offset by a transaction, by delivery, by exercise, etc. The aggregate of all long open interest is equal to the aggregate of all short open interest. Open interest held or controlled by a trader is referred to as that trader’s position. For the COT Futures & Options Combined report, option open interest and traders’ option positions are computed on a futures-equivalent basis using delta factors supplied by the exchanges. Long-call and short-put open interest are converted to long futures-equivalent open interest. Likewise, short-call and long-put open interest are converted to short futures-equivalent open interest. For example, a trader holding a long put position of 500 contracts with a delta factor of 0.50 is considered to be holding a short futures-equivalent position of 250 contracts. A trader’s long and short futures-equivalent positions are added to the trader’s long and short futures positions to give “combined-long” and “combined-short” positions.
Open interest, as reported to the Commission and as used in the COT report, does not include open futures contracts against which notices of deliveries have been stopped by a trader or issued by the clearing organization of an exchange.
Reportable Positions – Clearing members, futures commission merchants, and foreign brokers (collectively called “reporting firms”) file daily reports with the Commission. Those reports show the futures and option positions of traders that hold positions above specific reporting levels set by CFTC regulations. (Current Commission reporting levels can also be found at the Commission’s website noted above.) 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 or option expiration, it reports that trader’s entire position in all futures and options expiration months in that commodity, regardless of size. The aggregate of all traders’ positions reported to the Commission usually represents 70 to 90 percent of the total open interest in any given market. From time to time, the Commission will raise or lower the reporting levels in specific markets to strike a balance between collecting sufficient information to oversee the markets and minimizing the reporting burden on the futures industry.
Commercial and Non-commercial Traders – When an individual reportable trader is identified to the Commission, the trader is classified either as “commercial” or “non-commercial.” All of a trader’s reported futures positions in a commodity are classified as commercial if the trader uses futures contracts in that particular commodity for hedging as defined in the Commission’s regulations (1.3(z)). A trading entity generally gets classified as a “commercial” by filing a statement with the Commission (on CFTC Form 40) that it is commercially “…engaged in business activities hedged by the use of the futures or option markets.” In order to ensure that traders are classified with accuracy and consistency, the Commission staff may exercise judgment in re-classifying a trader if it has additional information about the trader’s use of the markets.
A trader may be classified as a commercial in some commodities and as a non-commercial in other commodities. A single trading entity cannot be classified as both a commercial and non-commercial in the same commodity. Nonetheless, a multi-functional organization that has more than one trading entity may have each trading entity classified separately in a commodity. For example, a financial organization trading in financial futures may have a banking entity whose positions are classified as commercial and have a separate money-management entity whose positions are classified as non-commercial.
Nonreportable Positions – The long and short open interest shown as “Nonreportable Positions” are derived by subtracting total long and short “Reportable Positions” from the total open interest. Accordingly, for “Nonreportable Positions,” the number of traders involved and the commercial/non-commercial classification of each trader are unknown.
Spreading – For the futures-only report, spreading measures the extent to which each non-commercial trader holds equal long and short futures positions. For the options-and-futures-combined report, 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 Eurodollar futures holds 2,000 long contracts and 1,500 short contracts, 500 contracts will appear in the “Long” category and 1,500 contracts will appear in the “Spreading” category. These figures do not include intermarket spreading, e.g., spreading Eurodollar futures against Treasury Note futures. [See a further explanation of “spreading” under the “Old and Other Futures” caption below.]
Changes in Commitments from Previous Reports – Changes represent the differences between the data for the current report date and the data published in the previous report.
Percent of Open Interest – Percents are calculated against the total open interest for the futures-only report and against the total futures-equivalent open interest for the options-and-futures–combined report. Percents less than 0.05 are shown as 0.0, and the percents may not add to exactly 100.0 due to rounding.
Number of Traders – To determine the total number of reportable traders in a market, a trader is counted only once regardless whether the trader appears in more than one category (non-commercial traders may be long or short only and may be spreading; commercial traders may be long and short). To determine the number of traders in each category, however, a trader is counted in each category in which the trader holds a position. Therefore, the sum of the numbers of traders in each category will often exceed the “Total” number of traders in that market.
Old and Other Futures(long form only) – For selected commodities where there is a well-defined marketing season or crop year, the COT data are broken down by “old” and “other” crop years. Table 1 (below) lists those commodities and the first and last futures of the marketing season or crop year. In order not to disclose positions in a single future near its expiration, on the first business day of the month of the last future in an “old” crop year, the data for that last future are combined with the data for the next crop year and are shown as “old” crop futures. For example, in CBOT wheat, where the first month of the crop year is July and the last month of the prior crop year is May, on May 3, 2004, positions in the May 2004 futures month were aggregated with positions in the July 2004 through May 2005 futures months and shown as “old” crop futures—positions in all subsequent wheat futures months were shown as “other.”
For the “old” and “other” figures, spreading is calculated for equal long and short positions within a crop year. If a non-commercial trader holds a long position in an “old” crop-year future and an equal short position in an “other” crop-year future, the long position will be classified as “long-only” in the “old” crop year and the short position will be classified as “short-only” in the “other” crop year. In this example, in the “all” category, which considers each trader’s positions without regard to crop year, that trader’s positions will be classified as “spreading.” For this reason, summing the “old” and “other” figures for long-only, for short-only, or for spreading will not necessarily equal the corresponding figure shown for “all” futures. Any differences result from traders that spread from an “old” crop-year future to an “other” crop-year future.
Concentration Ratios(long form only) – The report shows the percents of open interest held by the largest four and eight reportable traders, without regard to whether they are classified as commercial or non-commercial. The concentration ratios are shown with trader positions computed on a gross long and gross short basis and on a net long or net short basis. The “Net Position” ratios are computed after offsetting each trader’s equal long and short positions. Thus a reportable trader with relatively large, balanced long and short positions in a single market may be among the four and eight largest traders in both the gross long and gross short categories, but will probably not be included among the four and eight largest traders on a net basis.
Major Markets for Which the COT Data Are Shown by Crop Year:
|Market (*)||First Future||Last Future|
|CBOT Soybean Oil||October||September|
|CBOT Soybean Meal||October||September|
|CBOT Rough Rice||September||July|
|CME Lean Hogs||December||October|
|ICE Coffee C||December||September|
|ICE Cotton No.2||October||July|
|ICE Frozen Concentrated Orange Juice||January||November|