What is Commitment of Traders

Commitments of Traders (COT) report is published by Commodity Futures Trading Commission (CFTC) every week to show the positions of traders. Traders holding positions above certain threshold should register and report their activities to CFTC. Commitments of Traders (COT) report shows actual positions traders hold in the markets.

Categories of Traders

In the Commitments of Traders (COT) report, traders are categorized as “reportable” or “non-reportable”. Reportable traders are traders who hold positions more than threshold CFTC sets. Reportable traders are considered large traders. On the contrary, non-reportable traders are considered small traders such as retail investors.

Reportable traders are further broken down into “commercial” and “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 purpose. These traders are commercially engaging business activities related to that commodity. For example, gold miners are “commercial” traders who use gold futures to hedge their risk of fluctuating gold prices. “Non-commercial” traders are typically investment funds which use futures for speculative purpose.

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CFTC began publishing what is called Disaggregated Commitments of Traders report since 2009. This report categorizes traders in different groups from what is stated above. Because this report format still has short history, it is difficult to conduct meaningful backtesting and analyze long-term trend of traders’ movement. Thus we recommend to stick to the legacy categorization.

“Futures only” and “Futures and Options combined”

CFTC publishes two set of reports: one covers only futures market (“Futures only”), and another covers futures and options market (“Futures and Options combined”).

For the COT Futures-and-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

 

Sample of Commitments of Traders (COT) report is published by CFTC

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