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

Commercials Large Speculators
Factor Symbol Long/Short Signal Z-score Change Long/Short Signal Z-score Change Last Update
Platinum Futures COT COT.PLATINUM Long+ -2.4 -3.4 2.3 2.3 2021-01-23
Gold Futures COT COT.GOLD 2021-01-23
Silver Futures COT COT.SILVER 2021-01-23
Palladium Futures COT COT.PALLADIUM 2021-01-23
Copper Futures COT COT.COPPER 2021-01-23
Crude Oil Futures COT COT.CRUDEOIL 2021-01-23
RBOB Gasoline Futures COT COT.RBOB 2021-01-23
Heating Oil Futures COT COT.HEATINGOIL 2021-01-23
Natural Gas Futures COT COT.NATURALGAS 2021-01-23
Lumber Futures COT COT.LUMBER 2021-01-23
Cotton Futures COT COT.COTTON 2021-01-23
Cocoa Futures COT COT.COCOA 2021-01-23
Coffee Futures COT COT.COFFEE 2021-01-23
Sugar Futures COT COT.SUGAR 2021-01-23
Orange Juice Futures COT COT.OJ 2021-01-23
Corn Futures COT COT.CORN 2021-01-23
Wheat Futures COT COT.WHEAT 2021-01-23
Soybeans Futures COT COT.SOYBEANS 2021-01-23
Fed Funds 30 Days Futures COT COT.FEDFUNDS 2021-01-23
Eurodollar 3 Month Futures COT COT.EURODOLLAR 2021-01-23
US 2-Year T-notes  Futures COT COT.US2Y 2021-01-23
US 5-Year T-notes Futures COT COT.US5Y 2021-01-23
US 10-Year T-notes Futures COT COT.US10Y 2021-01-23
US Ultra 10-Year T-notes Futures COT COT.USU10Y
US 30-Year T-notes Futures COT COT.US30Y
US Ultra 30-Year T-notes Futures COT COT.USU30Y
DXY US Dollar Futures COT COT.DXY
GBP Pound Sterling Futures COT COT.GBP
CHF Swiss Franc Futures COT COT.CHF
JPY Japanese Yen Futures COT COT.JPY
CAD Canadian Dollar Futures COT COT.CAD
AUD Australian Dollar Futures COT COT.AUD
NZD New Zealand Dollar Futures COT COT.NZD
MXN Mexican Peso Futures COT COT.MXN
RUB Russian Rubble Futures COT COT.RUB
BRL Brazilian Real Futures COT COT.BRL
S&P 500 Index Futures COT COT.SP500
Nasdaq Index Futures COT COT.NASDAQ
Russell 2000 Futures COT COT.RUSSELL2000

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).

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