CFTC Commitments of Traders report: weekly positioning in futures

What the COT report shows

Futures commission merchants and clearing members report positions of traders above set thresholds. The CFTC aggregates them by market and by trader category and publishes long and short open interest, changes from the previous week and the number of traders. The legacy report splits commercial and non-commercial traders; the disaggregated report, for commodities, distinguishes producers and merchants, swap dealers, managed money and others; the Traders in Financial Futures report splits dealers, asset managers, leveraged funds and others.

The data are as of Tuesday and published on Friday, so they are three days old at release and describe positions, not intentions.

How traders use it

• Extremes in net positioning of a category, such as managed money in crude or leveraged funds in Treasury futures, are watched as signs of crowded trades.
• Week-to-week changes show who added or reduced exposure during a move.
• Combined with price, positioning helps judge whether a trend is supported by new positions or by short covering.
• The report does not show individual traders or intraday activity.

Why futures rarely react at release

By Friday afternoon, the positions reported for Tuesday are known to have changed, and the report contains no new economic information. Price reactions at 3:30 p.m. Eastern are usually negligible. Its value is context for the following week: knowing that a category is heavily positioned in one direction helps interpret the order flow when price moves against it.

Positioning versus order flow

The COT report and order flow tools answer different questions on different time scales. COT says, once a week and with a delay, who holds what. The footprint, delta and the heatmap say, in real time, who is trading aggressively and where liquidity rests. When a crowded position in the COT data meets a sharp adverse move, the footprint can show the unwinding as aggressive volume in the opposite direction; the two sources together tell a more complete story than either alone.

Neither source is a timing signal. Crowded positioning can persist for a long time, and a footprint burst can be unrelated to the positions reported days earlier.

In Senzoukria

Senzoukria does not import the COT report; read it on the CFTC's site. What the app provides on the same contracts is the intraday side: footprint and delta on CME futures, the CVD panel with session, weekly or custom resets, and, on Rithmic with order-by-order depth, the Liquidity Tracker that separates withdrawn from executed liquidity.

Setting the CVD panel's reset to weekly gives a running measure of aggressive buying and selling over the week, which can be compared with the Tuesday-to-Tuesday change in the COT data. The two measure different things, trades versus positions, and should not be expected to match.