Difference between revisions of "Commitments of Traders reports"
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Revision as of 12:08, 23 February 2008
Some traders view Commitments of Traders reports as important because they believe there's a high correlation between price and positions revealed in the reports, issued each week from the Commodity Futures Trading Commission. The logic is simple: the commercials are the ones who actually deal in the commodity itself, and must have the inside edge as to the true supply and demand of any particular product. The Commercials, then, would be considered the "smart money" in futures.
The largest players in each market are required to disclose their positions to the CFTC on a daily basis. This report is released weekly on Friday afternoon at 3:30 p.m. Eastern (the reporting requirement varies by commodity). These traders are separated into commercial, hedgers, and large speculators.
These weekly 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. Open interest is broken down by aggregate commercial, non-commercial, and non-reportable holdings.
Reports are available from the CFTC in both a short and long format. The short report shows open interest separately by reportable and nonreportable positions. For reportable positions, additional data is provided for commercial and non-commercial holdings, spreading, changes from the previous report, percents of open interest by category, and numbers of traders.
The long report, in addition to the information in the short report, groups the data by crop year, where appropriate, and shows the concentration of positions held by the largest four and eight traders.
History of COT
Antecedents of the Commitments of Traders (COT) reports can be traced all the way back to 1924. In that year, the U.S. Department of Agriculture’s Grain Futures Administration (predecessor to the USDA Commodity Exchange Authority, in turn the predecessor to the CFTC), published its first comprehensive annual report of hedging and speculation in regulated futures markets.
Beginning as of June 30, 1962, COT data were published each month. At the time, this report for 13 agricultural commodities was proclaimed as "another step forward in the policy of providing the public with current and basic data on futures market operations." Those original reports then were compiled on an end-of-month basis and published on the 11th or 12th calendar day of the following month.
Over the years, the CFTC has improved the Commitments of Traders reports in several ways as part of its continuing effort to better inform the public about futures markets.
• The COT report is published more often, switching to mid-month and month-end in 1990, to every two weeks in 1992, and to weekly in 2000.
• The COT report is released more quickly, moving the publication to the sixth business day after the "as of" date in 1990 and then to the third business day after the "as of" date in 1992.
• The report includes more information, adding data on the numbers of traders in each category, a crop-year breakout, and concentration ratios in the early 1970s; data on option positions in 1995; and a Supplemental report in 2007 showing positions of Index Traders in selected agricultural markets.
• The report also is more widely available, moving from a subscription-based mailing list to fee-based electronic access in 1993, and, beginning in 1995, becoming freely available on CFTC.gov.