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

CommercialsLarge Speculators
FactorSymbolLong/ShortSignalZ-scoreChangeLong/ShortSignalZ-scoreChangeLast Update
Platinum Futures COTCOT.PLATINUM Long+-2.4-
Gold Futures COTCOT.GOLD2021-01-23
Silver Futures COTCOT.SILVER2021-01-23
Palladium Futures COTCOT.PALLADIUM2021-01-23
Copper Futures COTCOT.COPPER2021-01-23
Crude Oil Futures COTCOT.CRUDEOIL2021-01-23
RBOB Gasoline Futures COTCOT.RBOB2021-01-23
Heating Oil Futures COTCOT.HEATINGOIL2021-01-23
Natural Gas Futures COTCOT.NATURALGAS2021-01-23
Lumber Futures COTCOT.LUMBER2021-01-23
Cotton Futures COTCOT.COTTON2021-01-23
Cocoa Futures COTCOT.COCOA2021-01-23
Coffee Futures COTCOT.COFFEE2021-01-23
Sugar Futures COTCOT.SUGAR2021-01-23
Orange Juice Futures COTCOT.OJ2021-01-23
Corn Futures COTCOT.CORN2021-01-23
Wheat Futures COTCOT.WHEAT2021-01-23
Soybeans Futures COTCOT.SOYBEANS2021-01-23
Fed Funds 30 Days Futures COTCOT.FEDFUNDS2021-01-23
Eurodollar 3 Month Futures COTCOT.EURODOLLAR2021-01-23
US 2-Year T-notes  Futures COTCOT.US2Y2021-01-23
US 5-Year T-notes Futures COTCOT.US5Y2021-01-23
US 10-Year T-notes Futures COTCOT.US10Y2021-01-23
US Ultra 10-Year T-notes Futures COTCOT.USU10Y
US 30-Year T-notes Futures COTCOT.US30Y
US Ultra 30-Year T-notes Futures COTCOT.USU30Y
DXY US Dollar Futures COTCOT.DXY
GBP Pound Sterling Futures COTCOT.GBP
CHF Swiss Franc Futures COTCOT.CHF
JPY Japanese Yen Futures COTCOT.JPY
CAD Canadian Dollar Futures COTCOT.CAD
AUD Australian Dollar Futures COTCOT.AUD
NZD New Zealand Dollar Futures COTCOT.NZD
MXN Mexican Peso Futures COTCOT.MXN
RUB Russian Rubble Futures COTCOT.RUB
BRL Brazilian Real Futures COTCOT.BRL
S&P 500 Index Futures COTCOT.SP500
Nasdaq Index Futures COTCOT.NASDAQ
Russell 2000 Futures COTCOT.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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