Introduction to Commitments of Traders Report (COT) – Part 2

Introduction to Commitments of Traders Report (COT) – Part 2

Reading time: 7 minutes

Following Part 1, in which the Commitment of Traders report (COT) was introduced and the types of reports were explained, Part 2 digs a little deeper and describes both Long and Short Formats and how to read the reports.

Long and Short Format

As a reminder, the Legacy COT report, the most widely viewed and used type of COT report, and the Disaggregated COT report (extends the information provided in the Legacy release) are published and distributed in Long and Short Formats on a weekly basis. However, the supplemental COT report is in Short Format only, while the Traders in Financial Futures COT report is in Long Format.

As shown below from the Commodities Futures Trading Commission (CFTC), found on the main CFTC webpage under ‘Market Data & Economic Analysis’, each COT report is precisely categorised according to the market, as well as ‘Futures Only’ or ‘Futures-and-Options-Combined’, and in Long or Short Format. 

For example, suppose you want to conduct research using the Disaggregated COT report for Agriculture in Short Format for Futures Only. This will produce a lengthy record of different agricultural products, as displayed below. If you’re looking for a specific market or exchange, you can cut down your search time by holding Ctrl and pressing ‘F’, and subsequently typing in the market/exchange of choice. 

For those wanting to access historical data, it is available on the main webpage under ‘Historical Viewable’, as exhibited below.

What is the Short Format COT Report?

As its name implies, the Short-Format COT report provides a condensed account of the selected COT data, and for many traders and investors, this offers sufficient information. 

Below is the Short Format for the Canadian dollar from the Chicago Mercantile Exchange (CME), concentrating on the Futures Only from the Legacy COT report as of 7 May 2024. It should be immediately obvious from the example that the report is segregated between non-commercial, commercial and nonreportable positions (Part 1 explains the meaning behind these categories). You will also see that the report lists net long and short positions that have been reported to the CFTC for the aforementioned categories. Additionally, for non-commercial traders in the Legacy report, there is a column for ‘Spreads’, which we will review shortly. Of interest in the Disaggregated report, the following categories contain ‘Spreading’ data for the following traders: ‘Swap Dealers’, ‘Managed Money’ and ‘Other Reportables’. Further, aside from Nonreportable positions, the Traders in Financial Futures COT report has a ‘Spreading’ column for each category.

The Short Format displays weekly changes of reportable open interest for each category. For instance, below, it shows that non-commercial traders are heavily short the Canadian dollar (102,166) and have increased from the prior week (30 April) by 5,172 contracts. You will also note that reportable open interest for net long positions has decreased slightly by nearly 1,000 contracts to 32,945. Nevertheless, commercial traders are heavily net long the Canadian dollar (148,390) and have increased by 4,031 contracts since the prior week. Short positions also increased by 2,676 contracts to 76,545. We explore this difference in Part 3.

The Short Format also highlights the percentage of open interest for each category of traders and the number of traders in each category. However, this table does not provide much of a historical reference to work with, which is why traders look for alternative methods of displaying the data. We also explore this in Part 3. 

It is important that we understand what the term ‘SPREADS’ means. Regarding the Futures Only report, this refers to the number of equal long and short futures positions held by each non-commercial trader. Similarly, for the Futures-and-Options-Combined report, SPREADS are the number of equal combined futures and options positions each non-commercial trader holds. By way of an example, let’s assume a non-commercial trader holds 2,500 long positions in a specific market and 1,500 short positions in that same market. 1,000 contracts will be listed under Long and 1,500 contracts will appear in the ‘Spreading’ column.

What is the Long Format COT Report?

The Long-Format Report extends the information provided in the Short-Format report. However, as already indicated above, it provides superfluous information for traders and investors. 

Below is the Long Format for the Canadian dollar from the CME, looking at the Futures Only from the Legacy COT report as of 7 May 2024. One of the additions to the Long-Form report is that it reveals the percentage of open interest held by the largest traders: the largest four and the largest eight traders for both long and short positions. Yet, it is key to note that this section does not categorise non-commercial and commercial traders; it combines the two. You will also see that this section is catalogued by ‘Gross’ and ‘Net position’. The Gross Long and Short positions’ values are self-explanatory, with net positions computed after offsetting equal Long and Short positions for each trader.

Moving Forward

With an understanding of how to access the COT reports of both Long and Short-Format groups, Part 3 will explore how traders and investors can use this data. 

COT FAQs:

1. Where can I access the COT reports?

The CFTC webpage categorises all the COT reports under ‘Market Data & Economic Analysis’.

2. What is the difference between Long and Short-format COT reports?

The primary difference between Long and Short-format COT reports is that the Long-format reports extend the information provided in the shorter COT version.

3. Can I access historical COT data?

Yes. On the main CFTC webpage, you can find historical data under the tab ‘Historical Viewable’. However, as we will demonstrate in Part 3, there is no need to do this.