Analysing Futures: CoT Report, Term Structure and IV

Unlike stocks, futures have a fixed expiry date. Contracts with different maturities trade on the same underlying at the same time and their prices can differ. There is also a special feature: the US regulator CFTC publishes weekly data on how different trader groups are positioned in the futures markets it covers.

Analysing futures therefore calls for further figures besides the price trend. The CoT report shows the positioning of large market participants. The term structure makes price differences between expiry dates visible. The IV rank shows whether the volatility currently priced in is high or low compared with its history.

Together these figures help to put the market environment into context and to compare developments across futures markets, from crude oil and gold to stock indices and currencies. This guide explains the key relationships and shows how Foliograph brings this information together in one dashboard.

Why futures need their own figures

Because futures expire, a longer-term price analysis has to switch regularly from the expiring contract, the front month, to a later one. Chaining these contracts creates a Continuous Future, which provides a continuous price history.

Futures markets also differ considerably. Crude oil, gold, wheat, currencies and bonds have different contract sizes, trading hours and seasonal characteristics. To compare these markets with each other, figures that allow a consistent assessment independent of the absolute price level are useful.

Four areas are at the centre:

Positioning: the CoT report shows how different trader groups are positioned and how their positioning changes compared with its history.
Term structure: the prices of different expiry months show whether a market is in contango or backwardation.
Volatility: IV rank and IV percentile place the range of movement priced into the futures options within its history.
Trend: the EMA21 shows the trend on a daily and weekly basis and how long it has lasted.

CoT report: how market participants are positioned

The US regulator CFTC publishes the Commitments of Traders report (CoT) every Friday. It shows how different trader groups were positioned in the futures markets it covers as of the previous Tuesday.

The so-called Legacy report distinguishes three trader groups:

Commercials: companies that use futures, for example, to hedge their business, such as oil producers or grain traders.
Non-commercials (large specs): other large market participants, among them investment funds and speculative traders.
Non-reportables (small traders): smaller positions that do not have to be reported individually and that the CFTC groups together arithmetically.

Because every long contract is matched by a short position, the net positions of all groups offset each other. Changes therefore show how positioning shifts between market participants.

The CoT report is published weekly with a three-day lag. It therefore offers insight into positioning but no real-time data. It covers futures on the relevant US exchanges, including currency futures on the euro or the Swiss franc. For the Euro Bund on Eurex, on the other hand, there is no CFTC report.

Comparing CoT positioning with its history

A net position of, say, -150,000 contracts is hard to assess without comparison. In many commodity markets commercials are permanently net short because they hedge their production.

The CoT index makes this positioning comparable. On a scale from 0 to 100 it shows where the current net position lies within its historical range.

A value of 90, for example, means that positioning is near its highest level in the period under review. This does not necessarily mean that the traders are net long: they can still be net short, only less so than usual in that period. Values near 0 accordingly mark positioning near the historical low.

Depending on the chosen period, for example 26 or 156 weeks, these values can differ. The CoT index therefore shows unusual positioning but on its own says nothing about the future price direction.

In addition, Open Interest shows the number of open contracts. The open interest range also places this value on a scale from 0 to 100 within the last three years. High values show that comparatively many contracts are open but on their own allow no conclusions about the future price direction or the actual liquidity.

Term structure: contango and backwardation

The term structure shows the prices of a future for different expiry months. If prices rise with longer maturity, this is called contango. If the longer-dated contracts are lower instead, the market is in backwardation. The shape of the curve is influenced by storage and financing costs, supply and demand and seasonal factors, among others.

Seasonal differences can play an important role, especially for commodities. Natural gas prices for winter and summer months, for example, can differ considerably. It is therefore worth looking not only at the next two contracts but at the whole futures curve.

The shape of the curve also affects how futures positions held over a longer period develop. With an otherwise unchanged curve, contango produces a negative roll effect (Roll Yield) for long positions, while backwardation favours a positive roll effect. This effect does not come from the contract switch itself but from how the futures prices move along the curve. It can have a considerable impact on the long-term return.

Implied volatility of futures options

Implied volatility shows which future price swings are priced into the options. IV rank and the IV Percentile help to assess whether the current volatility is high or low compared with the past 52 weeks.

For futures it is particularly important which contract is looked at. Because different expiry months have their own option chains, their volatility values can differ. For a comparable history a contract with a fixed minimum time to expiry is therefore often chosen. Unusual data outliers can also affect the calculation.

IV rank and IV percentile allow different markets to be compared on a uniform scale. An IV rank of 70 for cocoa and 15 for gold means, for example, that the implied volatility of cocoa is closer to its own annual high than that of gold. Whether the options are actually expensive or cheap cannot be derived from this alone.

Trend using the continuous contract

The EMA21 is used to assess the trend. It shows whether a future trades above or below its moving average of the last 21 periods. The number of consecutive days or weeks above or below this average (streak) shows how long this state has lasted. The calculation uses a continuous futures contract that tracks the price across several expiry months.

Comparing different futures markets shows whether similar trends develop within individual market groups. If, for example, metals mostly trade above their EMA21 while agricultural commodities are below it, the two areas are visibly developing differently.

Looking at it together with the CoT index and the term structure is particularly informative. A commodity can, for example, have traded above its EMA21 for weeks while the positioning of the commercials is near its historical low and the futures curve shows backwardation. Each figure offers a different perspective and helps to put the market environment into broader context.

Implementation in Foliograph

The Foliograph futures dashboard brings price trend, positioning, term structure and implied volatility of 34 futures onto one page. They come from eight areas, among them energy, metals, agricultural commodities, currencies, bonds and stock indices. For every market it shows the daily change, the position relative to the EMA21 on a daily and weekly basis, the CoT index, the term structure with a mini curve, the open interest range plus IV rank and IV percentile. All markets can thus be compared at a glance using the same figures, without gathering the data from different websites. The charts for positioning, term structure and price open directly from the table.

Foliograph calculates the CoT index from the net position of the commercials in the CFTC Legacy report over 26 weeks. Hovering over the cell shows a chart over three years with the open interest, the CoT index over 6 and 36 months and the net positions of commercials, large specs and small traders. It shows whether positioning near 0 or 100 has only just arisen or has existed for some time.

The term structure opens as a bar chart of all expiries up to three years ahead, with price, open interest, days to expiry and the gap to the next contract. IV rank and IV percentile place the current implied volatility within its cleaned one-year history. The chart icon of a row opens the daily and weekly chart of the continuous contract.

Prices come from your own Trader Workstation (guide: Enable the TWS API), the CoT report directly from the CFTC. The futures refresh runs hourly, futures curves and IV are queried once a day per market and the CoT report is published weekly. A collapsible bar shows per exchange whether live, frozen or delayed data arrives and where data is missing.

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Frequently asked questions

When is the CoT report published?

The CFTC usually publishes the CoT report on Friday with the positions as of Tuesday of the same week. US public holidays can delay the release. Foliograph checks regularly whether new data is available and picks it up automatically.

Why does Foliograph use the commercials for the CoT index?

Commercials are market participants that often use futures to hedge their business, such as commodity producers. Foliograph compares their current net position with its history and so makes changes visible. The positions of large specs and small traders can also be viewed in the CoT chart.

Why does the Euro Bund show no CoT data?

The CFTC records reportable futures positions on the relevant US exchanges. The Euro Bund trades on the European exchange Eurex and is therefore not part of the CoT report. Price data, term structure and implied volatility remain available in Foliograph. CoT index and open interest range stay empty because Foliograph calculates both from the CFTC data.

Why does the IV rank differ from the value in TWS?

Foliograph uses the historical implied volatility of the first futures contract with at least ten days to expiry. The calculation takes the daily highs and lows over one year and filters out conspicuous data outliers. Other platforms may use different contracts, periods or calculation methods. That is why the values shown can differ.

Which market data subscriptions do I need?

For live prices and option volatilities you need the corresponding market data subscriptions at Interactive Brokers, for example for CME, CBOT, NYMEX, COMEX, ICE US or Eurex. Without matching subscriptions, depending on the exchange, only delayed data or none at all is available. Foliograph shows the data status directly in the futures dashboard. The CoT data is available free of charge.

What does backwardation mean for commodities?

Backwardation exists when near-term futures contracts trade higher than longer-dated ones. This can occur, for example, when near-term supply is tight. For seasonal commodities such as natural gas or grains, only individual sections of the futures curve may be in backwardation.

What does a CoT index of 90 mean when the commercials are net short?

A CoT index of 90 means that the net position of the commercials is near its highest level in the period under review. They can therefore still be net short, only less so than usual in that period. The CoT index shows the historical context, the net positions themselves can be seen in the CoT chart.

Terms on this page

Contango and Backwardation (Upward and inverted futures curve)
Continuous Future (Continuous contract, ES1!, ES=F)
CoT Index (Commercial index, COT index)
CoT Report (Commitments of Traders, CFTC report)
Commercials and Non-Commercials (Trader groups in the CoT report, large speculators, small traders)
EMA21 (Exponential moving average over 21 periods)
Front Month and Month Codes (Front contract, F G H J K M N Q U V X Z)
Futures Term Structure (Futures curve, forward curve)
Implied Volatility (IV)
IV Percentile (IVP)
IV Rank (IVR)
Open Interest (OI, open contracts)
Open Interest Range (Open interest over three years)
Roll Yield (Roll return, roll effect)

All terms in the glossary

Analysing Futures: CoT Report, Term Structure and Implied Volatility