Futures markets

CoT Report (Commitments of Traders, CFTC report)

The CoT report is a weekly report of the US regulator CFTC. For the markets covered it shows how many long and short positions different trader groups hold. The data is usually as of Tuesday and appears on Friday.

Calculation and mechanics

Clearing members, futures commission merchants and certain foreign brokers report large futures and options positions to the Commodity Futures Trading Commission (CFTC) every day once set reporting levels are exceeded. The CFTC aggregates this data and usually publishes the CoT report on Friday afternoon US time with data as of the preceding Tuesday.

The report comes in several versions. The Legacy report distinguishes between commercials, non-commercials and non-reportable positions and has the longest history. The Disaggregated report breaks down traders in commodity markets in more detail, while the Traders in Financial Futures report focuses on financial futures.

The reports are available both as a pure futures evaluation (Futures Only) and combined with options (Futures and Options Combined). In the combined version option positions are converted into equivalent futures positions.

Among other things the report contains the long and short positions of the trader groups, changes from the previous week and the total Open Interest. For certain categories spread positions are also shown. The difference between long and short positions gives the net position of a trader group, which serves among other things as the basis for the CoT Index.

Net position = long contracts - short contracts

Distinction

Open interest shows how many futures contracts are open in total. The CoT report goes one step further and shows how these positions are distributed across different trader groups.

Prices and term structures change continuously during trading. The CoT report, by contrast, is a weekly snapshot of positioning and is published with a delay.

Sources

Related terms

All terms in the glossary

All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.