COT 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 Z-score Change Long/Short Signal Z-score Change Last Update
Platinum Futures COT COT.PLATINUM 0 63.2692 23452 0 40.9615 -28839 2023-01-17
Gold Futures COT COT.GOLD 0 39.8077 176793 0 62.5 -198945 2023-01-17
Silver Futures COT COT.SILVER 0 70.1923 33850 0 30.1923 -47966 2023-01-17
Palladium Futures COT COT.PALLADIUM 0 10.9615 -2749 0 90.1923 2899 2023-01-17
Copper Futures COT COT.COPPER 0 58.6539 17682 0 42.1154 -23622 2023-01-17
Crude Oil Futures COT COT.CRUDEOIL 0 7.5 269062 0 92.5 -290115 2023-01-17
RBOB Gasoline Futures COT COT.RBOB 0 60.1923 56613 0 31.7308 -64159 2023-01-17
Heating Oil Futures COT COT.HEATINGOIL 0 5.96154 100 0 94.8077 -196 2023-01-17
Natural Gas Futures COT COT.NATURALGAS 0 2.88462 -180669 0 96.3462 147621 2023-01-17
Lumber Futures COT COT.LUMBER 0 9.42308 -799 0 90.1923 575 2023-01-17
Cotton Futures COT COT.COTTON 0 17.1154 2775 0 82.8846 -4737 2023-01-17
Cocoa Futures COT COT.COCOA 0 42.5 13469 0 58.2692 -16893 2023-01-17
Coffee Futures COT COT.COFFEE 0 21.7308 -37467 0 85.1923 34147 2023-01-17
Sugar Futures COT COT.SUGAR 0 70.5769 192122 0 29.8077 -238066 2023-01-17
Orange Juice Futures COT COT.OJ 0 99.8077 6007 0 2.88462 -6605 2023-01-17
Corn Futures COT COT.CORN 0 64.8077 245001 0 40.9615 -187343 2023-01-17
Wheat Futures COT COT.WHEAT 0 16.7308 -8814 0 90.9615 11356 2023-01-17
Soybeans Futures COT COT.SOYBEANS 0 99.8077 173250 0 10.5769 -131653 2023-01-17
Fed Funds 30 Days Futures COT COT.FEDFUNDS 0 30.1923 -86235 0 72.5 105590 2023-01-17
Eurodollar 3 Month Futures COT COT.EURODOLLAR 0 0.57692 -917716 0 99.0385 1126420 2023-01-17
US 2-Year T-notes  Futures COT COT.US2Y 0 4.42308 -462983 0 92.1154 451600 2023-01-17
US 5-Year T-notes Futures COT COT.US5Y 0 7.11538 -696062 0 84.4231 707290 2023-01-17
US 10-Year T-notes Futures COT COT.US10Y 0 5.96154 -495890 0 85.5769 570390 2023-01-17
US Ultra 10-Year T-notes Futures COT COT.USU10Y 0 4.03846 -126321 0 87.5 224713 2023-01-17
US 30-Year T-notes Futures COT COT.US30Y 0 7.5 -189568 0 85.5769 169440 2023-01-17
US Ultra 30-Year T-notes Futures COT COT.USU30Y 0 16.7308 -385428 0 78.6538 342142 2023-01-17
DXY US Dollar Futures COT COT.DXY 0 31.3461 13337 0 68.2692 -15570 2023-01-17
EUR Euro Futures COT COT.EURO 0 80.5769 154999 0 20.5769 -206627 2023-01-17
GBP Pound Sterling Futures COT COT.GBP 0 44.0385 -26783 0 54.8077 33820 2023-01-17
CHF Swiss Franc Futures COT COT.CHF 0 46.3461 -7819 0 41.3461 11218 2023-01-17
JPY Japanese Yen Futures COT COT.JPY 0 67.1154 -20864 0 30.9615 14929 2023-01-17
CAD Canadian Dollar Futures COT COT.CAD 0 17.8846 -27055 0 80.9615 26641 2023-01-17
AUD Australian Dollar Futures COT COT.AUD 0 48.2692 -35705 0 30.5769 27760 2023-01-17
NZD New Zealand Dollar Futures COT COT.NZD 0 84.0385 6058 0 19.4231 -6686 2023-01-17
MXN Mexican Peso Futures COT COT.MXN 0 9.03846 -48231 0 91.3462 41890 2023-01-17
RUB Russian Rubble Futures COT COT.RUB l- 59.2308 7543 S+ 46.9231 -7150 2022-03-15
BRL Brazilian Real Futures COT COT.BRL 0 87.8846 22209 0 12.8846 -23748 2023-01-17
S&P 500 Index Futures COT COT.SP500 0 1.34615 -39920 0 95.9615 41862 2023-01-17
DJIA COT COT.DJIA 0 27.8846 -5282 0 76.7308 6147 2023-01-17
Nasdaq Index Futures COT COT.NASDAQ 0 7.5 -3773 0 92.8846 5992 2023-01-17
Russell 2000 Futures COT COT.RUSSELL2000 0 14.8077 -62887 0 84.8077 59874 2023-01-17
VIX Futures COT COT.VIX 0 76.3462 -52355 0 20.9615 55595 2023-01-17

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).