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The COT report is published by the CFTC on Friday about 15:30 CET. The data shows positions as of Tuesday’s close. Info below has been updated 06/11/2021 after market closure and contains the newest CoT report.
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Week to:
06/11/2021
Price change, %TrendCommercialLarge SpeculatorsSmall TradersOpen InterestNet Positions - Commercials26-weeks Position Extremes CommercialCOT Index
LongChangeShortChangeLongChangeShortChangeLongChangeShortChangeValueChange,%NetChangeChange,%HighLow
Indices
S&P5000.20%1 936 53716 1602 071 95533 966387 442-2 934402 122-20 329385 7806 555235 6826 1442 816 1562%-135 418-17 80615%112 096-135 4180%
NASDAQ1.61%134 844-8 409117 058-2 63160 5187 35869 0181 30937 61945546 905726238 1550%17 786-5 778-25%29 796-34 94881%
RUSSELL2.08%365 5919 971328 5542 60864 997-5 313108 4062 71027 16670620 79446462 6001%37 0377 36325%37 037-48 801100%
DOW E-MINI-1.19%47 664-67146 8921 72533 096-1 18441 916-2 12919 01882610 970-625106 2943%772-2 396-76%19 950-1 55811%
Bonds
30-YR T-BONDS1.25%915 1398 467793 99337 235105 5636 384176 151-16 795162 8158 397213 3732 8081 212 2552%121 146-28 768-19%238 737121 1460%
10-YR T-BONDS0.53%3 045 6603 4182 945 518113 433983 29455 176809 874-63 400309 631-8 824583 193-2634 421 3101%100 142-110 015-52%278 002-11 63939%
Currencies
DOLLAR INDEX0.42%5 373-98411 237-95431 8911 67930 1402 8917 6904733 577-76949 5733%-5 864-301%15 292-9 50115%
EURO FX-0.32%382 766-2 232565 245-3 267232 103-5 257124 890-3 148113 8221 76538 556691743 1590%-182 4791 035-1%-109 634-222 37835%
SWISS FRANC0.40%19 5642 55621 7354 86612 649-1 29111 573-2 04316 9221 95115 82739349 2027%-2 171-2 310-1 662%12 276-21 77058%
BRITISH POUND-0.33%67 888884112 2312 02759 238-4 96631 524-8 55538 028-2 42321 39923171 602-2%-44 343-1 1433%-11 351-50 19015%
JAPANESE YEN-0.07%108 879-1 81154 6116 50027 248-2 21464 562-12 01521 2221 75538 1763 245161 5920%54 268-8 311-13%80 881-73 11783%
CANADIAN DOLLAR-0.66%81 541-1 906158 724-7 20480 989-8 47835 708-4 98750 357-1 13418 455673220 053-4%-77 1835 298-6%-15 090-82 4818%
AUSTRALIAN DOLLAR-0.44%60 29312 87464 5965 16448 150-7 23557 58727731 04782217 3071 020148 64010%-4 3037 710-64%-4 303-22 596100%
NEW ZEALAND $ -1.18%14 42458023 48435721 962-2 72216 456-2 3016 5213512 96715345 803-1%-9 060223-2%-4 673-19 72471%
MEXICAN PESO-0.40%79 3946 22277 9113 93163 814-6 06670 375-3 1519 4891 7154 4111 091159 8110%1 4832 291-284%28 026-7 16125%
Energy
CRUDE OIL2.03%862 588-11 9301 423 5412 431657 35218 717146 853-485116 9397 10666 48511 9472 511 5330%-560 953-14 3613%-524 540-594 63148%
GASOLINE-0.80%219 25918 626285 35819 52298 156-34744 4041 57626 0333 23813 686419427 6804%-66 099-8961%-52 413-100 39771%
HEATING OIL0.07%219 698-3 214264 385-4 62167 767-1 21146 68040651 6091 20328 009993439 9341%-44 6871 407-3%-25 348-48 13415%
NATURAL GAS5.94%540 91930 652467 31818 644317 45223 130419 96038 20759 7512 61730 844-4521 268 1072%73 60112 00819%73 601-62 386100%
Metals
GOLD-0.77%103 496510348 302-2 859288 781-4579 3944 26953 82952318 410-422491 8581%-244 8063 369-1%-193 726-320 92360%
SILVER0.47%54 8182 518124 9311 14983 378-1 02233 572-3 31133 58213013 2753 788184 8411%-70 1131 369-2%-45 161-77 51423%
PLATINUM-1.60%13 97564843 904-3 03937 717-1 34617 5532 53512 1542982 38910466 649-1%-29 9293 687-11%-29 929-45 209100%
PALLADIUM-2.46%2 760386 089786 1272193 6521061 595-107741-3410 7671%-3 329-401%-892-4 30229%
COPPER0.79%78 359644104 462-4 69691 156-1 08276 5212 80625 25719913 7891 651234 2071%-26 1035 340-17%-26 103-86 522100%
Grains
SOYBEANS-4.69%362 91358585 5299 199281 3475 09054 6592 47863 3925 79267 464-737814 4791%-222 616-9 1414%-196 006-264 91661%
SOYBEAN MEAL-3.04%208 2292 370291 5985 04788 7992 34928 377-2 53749 525-63226 5781 577404 0601%-83 369-2 6773%-80 692-145 00996%
SOYBEAN OIL-6.28%248 684-1 393349 886-7 413118 634-9 29934 743-3 95745 72454928 4131 227536 7010%-101 2026 020-6%-98 852-159 54796%
CORN-10.43%845 7309 1521 227 897-13 764519 602-11 73691 17412 212150 0347 642196 2956 6101 728 2030%-382 16722 916-6%-379 371-505 01698%
WHEAT-0.58%150 9905 262163 6809 396109 402-3 92890 785-3 75031 3473 57337 274-739410 7613%-12 690-4 13448%8 423-29 15744%
ROUGH RICE-3.31%4 325-6555 101-1 0591 737-751 8371311 556-167680317 638-11%-776404-34%-776-4 214100%
Softs
COTTON2.38%104 473-696180 5863 55879 7521 53213 673-34117 2231 5667 189-815228 847-1%-76 113-4 2546%-69 480-110 05584%
COFFEE-2.26%130 8662 272204 658-25492 1481 70623 7444 07513 302-2987 914-141293 8652%-73 7922 526-3%-36 408-76 3186%
COCOA-0.21%96 8061 909125 432-2 44760 29364834 9243 15712 0383268 7812 173210 0440%-28 6264 356-13%-22 107-50 95677%
SUGAR-0.96%451 021-10 230781 570-7 964311 5031 88341 3941 000100 3351 67139 8952881 017 887-1%-330 549-2 2661%-228 329-347 05714%
ORANGE JUICE-1.43%5 310-3688 6426563 589-1912 045-1 1983 089-761 301-9312 447-4%-3 332-1 02444%-74-3 71911%
LUMBER-17.52%870-1261 0646529140248-3098993838-282 2680%-194-1916 367%-3-1 23885%
Meats
LIVE CATTLE1.69%119 427-507175 3621 560114 447-46952 959-2 47129 74824635 301181299 937-2%-55 935-2 0674%-40 825-82 69964%
FEEDER CATTLE0.75%14 6816219 644-17715 751-57112 3627735 46533513 891-21142 2252%5 03779819%6 1983 68754%
LEAN HOGS-0.62%88 014671162 6121 913126 7625 88045 3994 81227 67059734 435423300 8161%-74 598-1 2422%-18 171-79 0967%
Other
BITCOIN0.12%235-256132-394 8044355 9851741 9033825477 5663%103-217-68%761-32039%
Source from CFTC. Release Schedule of COT report. Download Excel.
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COT Report Online With Free Charts

What you need to know and how to use the information correctly

 
COT Report Online With Free Charts -06.11.2019-

What is the “COT Report” and what exactly does it tell us? How do we evaluate it and how do we use COT data for our trading preparation? This article will give you the answers to those questions.

What is the Commitments of Traders (COT) report?

The Commitments of Traders (COT) report is an exchange report that is published weekly by the American Commodity Futures Trading Commission (CFTC).

The CFTC was created by the US Congress as an independent authority in 1974.

It has the mandate to regulate the commodity and options markets in the United States. Through this oversight, the CFTC ensures that the futures markets perform two important functions: pricing in the commodities sector and reducing price risk in the futures and options market.

The report presents the US futures as transparent financial instruments and thereby creates fair competitive conditions for all large and small traders on the futures markets.

It is usually published at market close (at 21:30 CET) on a Friday on the CFTC website and presents the positions of the market participants subject to reporting requirements. These positions are reported by brokers to the CFTC for analysis and verification. The data refers to the market situation at market close on Tuesday of the relevant trading week.

 

What information does the report offer?

Firstly, one thing must be clarified: There is no ONE COT report. Instead, there are a number of different formats that have evolved over time since the beginning of reporting. They also highlight special areas of the futures markets, such as the Traders in Financial Futures report (TFF), which covers traders in financial futures contracts such as currencies, US Treasury securities, Eurodollars, stocks, VIX or the Bloomberg Commodity Index.

In this article, I will deal exclusively with the Legacy Report, the report originally broken down by exchange and, specifically, we will regard the “Futures Only” report, not the “Futures and Options Combined” report.

A more detailed list and explanation of the individual reports can be found here (in German): Formate des COT-Reports I – Überblick

After downloading the current report from the website of the CFTC, you will see the following picture. (click on the graphics to zoom)

The long and short positions of the three groups of market participants can be seen (note: a special feature is the “spreads” value of the group of non-commercials, which we are not interested in at the moment). The report also shows the total open interest in this market.

 Fig. 1: CFTC Commitments of Traders Short Report - CBT (Futures Only)

Fig. 1: CFTC Commitments of Traders Short Report – CBT (Futures Only)

 
COT Report Online With Free Charts -06.11.2019- COT Report Online With Free Charts -06.11.2019-

What groups of market participants can we find in the COT report?

There are two major groups of market participants active in the market: commercials and non-commercials. Non-commercials are also known as large speculators. These two groups are the reporting agent traders, known as reportables. The third group, the non-reportables (often referred to as small speculators or small traders) is calculated by subtracting the total number of long or short positions in the reportables from the total open interest.

Commercials aka the hedgers

The term “commercials” refers to market participants who operate on the futures markets primarily for hedging purposes. Another term for commercials is hedgers. They are typically manufacturing or processing companies that wish to hedge against price fluctuations on the futures market in order to avoid dependence on commodity prices. Commercials do not speculate. They want to protect themselves by opening positions against price expectations.

A commercial produces a product and therefore has a larger stock of the product, or needs the product for his business. Commercials could be, for example, large agricultural cooperatives or multinational production companies (Nestle, Procter & Gamble, etc.)

Non-commercials aka the large speculators

The non-commercials are different. These are the market participants who conduct speculative transactions on a large scale. Typically, this would be the institutional traders, hedge funds or large investment banks, all of whose positions exceed the limit of the reporting obligation.

Non-reportables aka the small fish

The figures for non-reportables are calculated by deducting the totals of the reportables from the total value of open interest. Non-reportables are those market participants who are not subject to reporting requirements, in other words, they are “small traders like you and me”. However, they could also be trading companies (small banks, trading houses), which do not exceed the defined limits on traded contracts.

 

How do we use the report for our trading?

The report is analyzed for the net positions

We use the COT report as a source of basic information for our actions. However, in the form in which it is available from the CFTC site, it is not very helpful. Compare it to Figure 1, where the raw data must first be evaluated. Let’s take a look at the net positions of the commercials.

The result comes from the difference between the long and short positions of the report. From the example above, we can see:

Net position = 113,175 – 128,957 = – 15,782

which means 15,782 contracts net short

We then present these net values graphically in order to get an overview of the development, and especially the changes of the positions.

Significance of the net positions in terms of the commercial index

After calculating the net positions, we are already one step further, but have not yet reached our goal. The net position itself does not tell us anything about how the commercials have actually positioned themselves. If we only know that the commercials are 15,782 contracts short this week, that does not help us much.

How should this figure be interpreted? Are the commercials now extremely short or are they actually in their normal short range?

We need an indicator that lets us evaluate this figure. And we get it by relating the current position to the positions over a certain period. So, we calculate an index that allows us to evaluate the current position as a percentage:

We calculate the commercial index (as a fixed period, we are looking at three years here):

Fig. 2: COT Commercial index as a formula

Fig. 2: COT Commercial index as a formula

With the help of this calculation, we now have some informative value of the current net position, which serves as the basis for our trading.

 

Why do we pay so much attention to the commercials?

Commercials produce commodities and supply the world market with them. Or they need the commodities in large quantities for their business. The existence of these people depends on the commodities, and of course on the commodity prices. Because of their direct link to commodities, the commercials will predict future price developments much earlier than other participants in the market – and hedge against them.

Commercials usually trade counter cyclically. Their positions allow an inference to be drawn about the expected market movement. This data does not serve as a timing instrument, however!

In other words: Just because the commercials are now moving extremely short does NOT mean that we’re going to go short tomorrow. But it is an indication of a market situation that tends to change. It is now advisable to analyze this market and watch it closely, because there may be movement here soon, which we can then use to our advantage.

A specific example: Soybeans 12/2018 – 11/2019

You can see the price on the soybeans market and the net positions of the three groups of participants (weekly chart). Look at the net positions of the commercials (red line) and the soya beans price at points A and B and the subsequent price development.

Soybeans — Chart with COT-Graph
 

COT report: the basis for further analysis

The COT report is not a timing instrument. It shows us markets in which the trend remains stable OR where there could be a change in trend. But it does not give us clear information as to *WHEN* an entry into the market should take place.

We can find this information by analyzing the market in which a COT signal has arisen over a different time period. We can now switch to the daily chart and examine the trend with the help of various indicators in order to determine a concrete entry point.

How do we analyze the daily chart? And how do we determine the right time to enter the market?

Find the answers here: