Commitment of Traders report
MacroVar analyzes the COT report using statistics to monitor whether certain financial markets are at extreme levels showing overcrowded behavior and increased chance of reversal. Learn how MacroVar statistical analysis analyzes the commitment of traders report.
Commitment of Traders report
| Large Speculators | Commercials | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Factor | Symbol | Long/Short | Signal | Percentile | Change | Long/Short | Signal | Percentile | Change | Last Update |
| Platinum Futures COT | COT.PLATINUM | l+ | 40.38 | 18717 | S- | 61.92 | -27115 | 2024-12-03 | ||
| Gold Futures COT | COT.GOLD | l+ | 99.62 | 258235 | S- | 2.31 | -284873 | 2024-12-03 | ||
| Silver Futures COT | COT.SILVER | l+ | 77.69 | 39431 | S- | 13.85 | -58996 | 2024-12-03 | ||
| Palladium Futures COT | COT.PALLADIUM | S+ | 45.38 | -5530 | l- | 50 | 4730 | 2024-12-03 | ||
| Copper Futures COT | COT.COPPER | l+ | 48.46 | 10759 | S+ | 53.85 | -15363 | 2024-12-03 | ||
| Crude Oil Futures COT | COT.CRUDEOIL | l+ | 15 | 227849 | S- | 88.85 | -237551 | 2024-12-03 | ||
| RBOB Gasoline Futures COT | COT.RBOB | l- | 73.46 | 63553 | S+ | 40.38 | -64873 | 2024-12-03 | ||
| Heating Oil Futures COT | COT.HEATINGOIL | l- | 38.08 | 839 | S+ | 69.23 | -873 | 2024-12-03 | ||
| Natural Gas Futures COT | COT.NATURALGAS | S- | 43.85 | -153661 | l- | 78.85 | 150071 | 2024-12-03 | ||
| Lumber Futures COT | COT.LUMBER | l+ | 96.54 | 2650 | S- | 5 | -2886 | 2024-12-03 | ||
| Cotton Futures COT | COT.COTTON | S+ | 8.08 | -11973 | l- | 91.15 | 11126 | 2024-12-03 | ||
| Cocoa Futures COT | COT.COCOA | l- | 91.54 | 32407 | S+ | 4.23 | -38786 | 2024-12-03 | ||
| Coffee Futures COT | COT.COFFEE | l- | 86.54 | 48371 | S+ | 13.85 | -54264 | 2021-03-16 | ||
| Sugar Futures COT | COT.SUGAR | l- | 27.69 | 75758 | S+ | 69.62 | -111171 | 2024-11-05 | ||
| Orange Juice Futures COT | COT.OJ | l- | 80.77 | 4158 | S+ | 19.62 | -5479 | 2024-11-05 | ||
| Corn Futures COT | COT.CORN | l+ | 46.54 | 63107 | Flip S | 59.62 | -12607 | 2024-11-05 | ||
| Wheat Futures COT | COT.WHEAT | S- | 30.77 | -9691 | l+ | 71.15 | 14289 | 2024-11-05 | ||
| Soybeans Futures COT | COT.SOYBEANS | S+ | 13.85 | -70239 | l- | 87.31 | 93683 | 2024-11-05 | ||
| Fed Funds 30 Days Futures COT | COT.FEDFUNDS | l- | 63.08 | 23900 | S+ | 36.15 | -17536 | 2024-11-05 | ||
| Eurodollar 3 Month Futures COT | COT.EURODOLLAR | l- | 98.46 | 47762 | S+ | 9.23 | -31134 | 2023-06-13 | ||
| US 2-Year T-notes Futures COT | COT.US2Y | S- | 2.31 | -1494400 | l+ | 97.31 | 1340370 | 2024-11-05 | ||
| US 5-Year T-notes Futures COT | COT.US5Y | S- | 0.38 | -1830290 | l+ | 100 | 1677130 | 2024-11-05 | ||
| US 10-Year T-notes Futures COT | COT.US10Y | S+ | 4.62 | -878654 | l- | 93.08 | 761030 | 2024-11-05 | ||
| US Ultra 10-Year T-notes Futures COT | COT.USU10Y | S- | 40 | -141715 | l+ | 44.62 | 205890 | 2024-11-05 | ||
| US 30-Year T-notes Futures COT | COT.US30Y | S+ | 82.31 | -42064 | S- | 8.46 | -34870 | 2024-11-05 | ||
| US Ultra 30-Year T-notes Futures COT | COT.USU30Y | S+ | 99.62 | -264913 | l- | 2.69 | 263410 | 2024-11-05 | ||
| DXY US Dollar Futures COT | COT.DXY | l- | 18.85 | 100 | S+ | 83.85 | -1 | 2024-11-05 | ||
| EUR Euro Futures COT | COT.EURO | S+ | 13.08 | -18768 | Flip S | 89.23 | -2674 | 2024-11-05 | ||
| GBP Pound Sterling Futures COT | COT.GBP | l- | 85 | 46419 | S+ | 17.69 | -56813 | 2024-11-05 | ||
| CHF Swiss Franc Futures COT | COT.CHF | S+ | 9.62 | -30730 | l- | 81.54 | 40054 | 2024-11-05 | ||
| JPY Japanese Yen Futures COT | COT.JPY | S- | 65.77 | -51041 | l+ | 31.15 | 52840 | 2024-11-05 | ||
| CAD Canadian Dollar Futures COT | COT.CAD | S- | 2.31 | -177030 | l+ | 98.46 | 181570 | 2024-11-05 | ||
| AUD Australian Dollar Futures COT | COT.AUD | l+ | 99.62 | 28053 | S+ | 2.69 | -30139 | 2024-11-05 | ||
| NZD New Zealand Dollar Futures COT | COT.NZD | S- | 30.38 | -8199 | l+ | 67.69 | 9620 | 2024-11-05 | ||
| MXN Mexican Peso Futures COT | COT.MXN | l- | 60.77 | 30980 | S+ | 47.69 | -26777 | 2024-11-05 | ||
| RUB Russian Rubble Futures COT | COT.RUB | l- | 59.23 | 7543 | S+ | 46.92 | -7150 | 2022-03-15 | ||
| BRL Brazilian Real Futures COT | COT.BRL | S- | 41.92 | -12525 | l+ | 60.77 | 13371 | 2024-11-05 | ||
| S&P 500 Index Futures COT | COT.SP500 | l+ | 95.77 | 135686 | S- | 0.77 | -237070 | 2024-11-05 | ||
| DJIA COT | COT.DJIA | l+ | 85.38 | 12894 | S- | 11.15 | -17130 | 2024-11-05 | ||
| Nasdaq Index Futures COT | COT.NASDAQ | l+ | 67.31 | 17576 | S- | 15.77 | -29402 | 2024-11-05 | ||
| Russell 2000 Futures COT | COT.RUSSELL2000 | l- | 81.92 | 9104 | S+ | 12.31 | -24078 | 2024-11-05 | ||
| VIX Futures COT | COT.VIX | S- | 96.54 | -16668 | Flip L | 2.69 | 13016 | 2024-11-05 | ||
What is the Commitment of traders report
If you are interested in trading futures, you may want to learn how to read the Commitment of Traders (COT) report. This is a weekly publication that shows the aggregate holdings of different participants in the U.S. futures market, such as producers, swap dealers, managed money and other traders. The report is compiled and published by the U.S. Commodity Futures Trading Commission (CFTC) every Friday, based on the data from Tuesday's open interest.
The COT report can help you understand the dynamics of the market and identify potential trends and reversals. By analyzing the positions of different types of traders, you can get a sense of how bullish or bearish they are on a certain commodity or financial instrument. For example, if you see that the managed money category (which includes hedge funds and other speculators) is heavily long on gold futures, while the producer category (which includes miners and other hedgers) is heavily short, this may indicate that there is a strong demand for gold and a possible uptrend.
However, the COT report is not a simple indicator that tells you when to buy or sell. It is a complex and nuanced tool that requires careful interpretation and context. You need to consider factors such as the size of the positions, the changes over time, the historical extremes, the market conditions and the price action. You also need to be aware of the limitations and drawbacks of the report, such as the lag between the data collection and publication, the aggregation of positions across different contracts and exchanges, and the possibility of misclassification or manipulation by some traders.
How to Use Commitment of Traders report
MacroVar calculates and monitors the following indicators for each financial market covered in the commitment of traders report:
- % Total Open Interest: the Z-score of the last 5-years of open interest is calculated. Extreme caution should be given when the Z-score values reach values lower than -2 and higher +2 indicating an overcrowded market which has high chance of reversal.
- MacroVar marks every market with the following signals for each conditions: L+ (when long positions in futures increase), L- (when long positions in futures decrease), S+ (when short positions in futures increase), S- (when short positions in futures decrease), Flip L (when overall market position flips from short to long), Flip S (when overall market position flips from long to short).