CoT News | Friday Mar' 17th 2017

Speculative positioning data in Currency, Commodity and Energy Futures, as released by CFTC March 17th.

This week's Commitments of traders data released by the US Commodity Futures Trading Commision (CFTC) shows speculators are betting on a higher Euro as they take their long position to a new all time high of 148,000 contracts, in a move that also sees US Dollar longs continue to fall from their December 2016 highs. Speculators have been net short the Euro currency since it failed to break the 1.4000 barried in May 2014, however their current net short of 36,000 contracts is the second highest in that time, as we head into its seasonally bullish period from mid March to beginning of May. We will be watching closely in the coming weeks to see if their net position can turn net long as this has previously signalled the beginning of multi year bull markets for the single currency. For a full break down of this week's CoT data, click on the link below.  

For a full break down of the week's Commitments of Trades data covering a total 42 markets.


The Commitments of Traders (COT) reports

CoT reports provide a breakdown of each Tuesday’s open interest for markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC. The Commodity Futures Trading Commission (CFTC) releases a new report every Friday at 3:30pm Eastern Time, and the report reflects the commitments of traders (referred to as open interest) as of the close of market on the prior Tuesday. In the report all traders are classified as either Reportable or Nonreportable. Reportable positions are those that are equal or above the reporting levels for that market established by the CFTC. The reporting levels vary across markets but essentially what this means is that the reportable positions are of significant size.                    

Open Interest

Open interest is the total of all futures and/or option contracts entered into and not yet offset by a transaction, by delivery, by exercise, etc. The aggregate of all long open interest is equal to the aggregate of all short open interest.

Open interest held or controlled by a trader is referred to as that trader's position. 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. For example, a trader holding a long put position of 500 contracts with a delta factor of 0.50 is considered to be holding a short futures-equivalent position of 250 contracts. A trader's long and short futures-equivalent positions are added to the trader's long and short futures positions to give "combined-long" and "combined-short" positions. Open interest, as reported to the Commission and as used in the COT report, does not include open futures contracts against which notices of deliveries have been stopped by a trader or issued by the clearing organization of an exchange.

Reportable Positions

Clearing members, futures commission merchants, and foreign brokers (collectively called reporting firms) file daily reports with the Commission. Those reports show the futures and option positions of traders that hold positions above specific reporting levels set by CFTC regulations. If, at the daily market close, a reporting firm has a trader with a position at or above the Commission’s reporting level in any single futures month or option expiration, it reports that trader’s entire position in all futures and options expiration months in that commodity, regardless of size. The aggregate of all traders’ positions reported to the Commission usually represents 70 to 90 percent of the total open interest in any given market. From time to time, the Commission will raise or lower the reporting levels in specific markets to strike a balance between collecting sufficient information to oversee the markets and minimizing the reporting burden on the futures industry.

Commercial and Non-commercial Traders

When an individual reportable trader is identified to the Commission, the trader is classified either as "commercial" or "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 as defined in CFTC Regulation 1.3, 17 CFR 1.3(z). A trading entity generally gets classified as a "commercial" trader by filing a statement with the Commission, on CFTC Form 40: Statement of Reporting Trader, that it is commercially "...engaged in business activities hedged by the use of the futures or option markets." To ensure that traders are classified with accuracy and consistency, Commission staff may exercise judgment in re-classifying a trader if it has additional information about the trader’s use of the markets. A trader may be classified as a commercial trader in some commodities and as a non-commercial trader in other commodities. A single trading entity cannot be classified as both a commercial and non-commercial trader in the same commodity. Nonetheless, a multi-functional organization that has more than one trading entity may have each trading entity classified separately in a commodity. For example, a financial organization trading in financial futures may have a banking entity whose positions are classified as commercial and have a separate money-management entity whose positions are classified as non-commercial.

Nonreportable Positions

The long and short open interest shown as "Nonreportable Positions" is derived by subtracting total long and short "Reportable Positions" from the total open interest. Accordingly, for "Nonreportable Positions," the number of traders involved and the commercial/non-commercial classification of each trader are unknown.    


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