The CFTC COT Report: Reading Fund Positioning in Futures and the COT Index

The COT (Commitments of Traders) report is a weekly report from the CFTC, the US futures regulator. It shows how many futures and options contracts each group of traders holds long (bought) and short (sold), across gold, the major currencies, oil, stock indices and more. It doesn’t give you entries, but it tells you something a price chart can’t: who is on which side, and how crowded that side is. This article covers the report types, how to work out a net position, how to compute the COT index, and the limits you need to know before using any of it.

What the COT report covers

• Futures and options traded on US exchanges only. It doesn’t include the interbank Forex market or brokers’ CFD positions.
• Positions are counted in contracts, split by trader group, alongside open interest, the total number of contracts still open in that market.
• It comes in two versions. Futures Only counts futures alone. Futures-and-Options Combined converts options into futures-equivalent contracts using delta and adds them in.
• Traders above reporting thresholds set by the CFTC must report (reportable). Everyone else is non-reportable, the small traders. Their figure is open interest minus everything that was reported.

Every contract has one buyer and one seller. So the longs of all groups add up to the shorts of all groups. If one group is heavily net long, the other groups together must be net short by exactly the same amount. That’s why COT is about “who is on which side”, not “how much money flowed in”.

Schedule, in Thai time

The data are positions as of Tuesday’s close. The CFTC releases them on Friday at 3:30 p.m. New York time (ET). In Thai time (UTC+7):

• While the US is on summer time (second Sunday in March to first Sunday in November), that’s 02:30 on Saturday.
• During US standard time, it’s 03:30 on Saturday.

By then the Forex market has already closed for the week, so most traders in Thailand actually use the data when the market reopens on Monday morning, when it is already 6 days old. In weeks with a US holiday the release usually moves. For more on summer-time shifts, see Forex market hours in Thai time.

Three reports and their trader groups

The CFTC publishes three main reports, and each one groups traders differently.

Legacy, the original format, covers every market with just three groups:

• Commercial: traders using futures to hedge a real business, such as producers and merchants
• Non-commercial: the remaining large traders, mostly speculators such as funds
• Non-reportable: small traders

Disaggregated covers physical commodities such as gold, silver, oil and agriculture, in more detail:

• Producer/Merchant/Processor/User: businesses that produce, trade, process or use the physical commodity
• Swap Dealers: intermediaries that write swaps with clients and hedge them in futures
• Managed Money: managers trading for clients, such as CTAs and hedge funds. The group people watch most
• Other Reportables: reportable traders that don’t fit the groups above

Traders in Financial Futures (TFF) covers financial markets such as currencies, interest rates and stock indices:

• Dealer/Intermediary: large banks and dealers, mostly on the sell side taking client orders
• Asset Manager/Institutional: pension funds, insurers, mutual funds. They tend to hold long term and move slowly
• Leveraged Funds: hedge funds and leveraged money managers such as CTAs. They tend to move faster, with trends
• Other Reportables: reportable traders that don’t fit the groups above

All three reports also have non-reportables.

Working out a net position

A group’s net position = its longs − its shorts. Some groups also have a spreading column, meaning they hold both long and short in the same market in different contract months. Those offset each other, so they are left out of the net.

Example: in one week, Leveraged Funds in a hypothetical currency contract hold 85,000 contracts long and 18,500 short. Net = 85,000 − 18,500 = +66,500 contracts, net long.

Check the direction of the pair every time. Most US currency futures are priced in dollars per unit of the foreign currency.

• Long euro futures = expecting the euro to strengthen against the dollar, the same direction as long EURUSD
• Long yen futures = expecting the yen to strengthen, which is the opposite of long USDJPY. The same goes for the Swiss franc and the Canadian dollar, where the dollar comes first in the MT5 symbol

A raw net figure can’t be compared across markets, because markets differ in size, and open interest changes from week to week. So people compare it with the same market’s own history, which is the job of the COT index. Another option is to divide net by open interest to get a percentage.

The COT index makes figures comparable

The COT index rescales the net position to a 0–100 range relative to the lookback window you choose.

COT index = (this week’s net − lowest net in window) ÷ (highest net in window − lowest net in window) × 100

The window includes the current week. 100 means this week’s net is the highest in that window, 0 the lowest. Many people treat 80 and above, and 20 and below, as extremes, but those cut-offs are a convention, not a proven threshold.

Importantly, 0 doesn’t mean net short, and 100 doesn’t mean heavily net long. It only tells you the position relative to the window.

Worked example: a 26-week COT index

We use the net position of Leveraged Funds in a hypothetical currency contract (made-up figures for illustration, not real market data), weeks 27 to 52, 26 weeks in all, in contracts:

• Weeks 27–33: 49,000 · 47,500 · 53,000 · 58,500 · 57,000 · 61,500 · 64,000
• Weeks 34–40: 63,000 · 66,500 · 62,000 · 55,500 · 48,000 · 51,000 · 43,500
• Weeks 41–47: 36,000 · 29,500 · 32,000 · 24,500 · 18,000 · 12,500 · 15,000
• Weeks 48–52: 8,500 · 3,000 · −2,500 · 1,000 · 6,500

COT index for week 52:

1. Latest net = 6,500
2. Lowest in window = −2,500 (week 50)
3. Highest in window = 66,500 (week 35)
4. COT index = (6,500 − (−2,500)) ÷ (66,500 − (−2,500)) × 100 = 9,000 ÷ 69,000 × 100 = 13.0

Check: a net of −2,500 would give 0 ÷ 69,000 = 0, and a net of 66,500 would give 69,000 ÷ 69,000 = 100. So 13 sits near the bottom of the range, which matches the funds having cut almost all of their longs.

Two more values from the same series (each using the 26-week window ending that week):

• Week 40, window weeks 15–40, low 2,500, high 66,500: (43,500 − 2,500) ÷ 64,000 × 100 = 64.1
• Week 45, window weeks 20–45: the net of 18,000 is exactly the window low, so the index is 0, even though the funds are still net long 18,000 contracts

How to read extremes

The idea is crowding. If speculators hold their biggest long in many months, most of the buyers in that group have already bought. Few new buyers are left, and if bad news arrives the whole group has to sell at once, so price can drop hard because the exit is narrow. A crowded short works the same way in reverse.

Commercial hedgers (Commercial, or Producer/Merchant) tend to trade against price. When price rises, producers sell more forward. When price falls, users buy more forward. So this group’s net often moves opposite to price, because that is what hedging does, not because they forecast better.

Sensible ways to use it:

• Treat the speculators’ COT index as a question, not an answer. For example, “If I go long now, am I joining the most crowded side in six months?”
• Look at the direction of net as well. An index of 90 with net falling for two or three weeks tells a different story from an index of 90 with net still rising every week.
• Compare it with price. If price rises while speculators keep cutting longs, the buying is coming from elsewhere, or people are starting to doubt the move.

An extreme says “this side is crowded”. It doesn’t say “price turns this week”. In a strong trend, net can stay at an extreme for months.

Why it’s slow context, not entry timing

• The lag. Tuesday’s data comes out on Friday and gets used on Monday. Markets can move a long way in that time, and if there is big news on Wednesday, the report shows positions from before it.
• Weekly. One data point a week, with nothing in between. It suits people holding for weeks more than day traders.
• Extremes last. In the example series the index sits at 98–100 for 10 weeks. Going short the first time the index touched 100 would mean fighting several more weeks of funds adding longs.
• Not the whole market. Most currency trading happens outside futures, and gold also trades in spot and ETFs. See the differences in Gold CFD, futures, spot and ETF.
• No reasons given. A Leveraged Funds short could be a plain bet or one leg of something else, such as a carry trade, or a hedge for holdings in another market.

People who use COT well tend to use it to decide what not to do, rather than to find entries. For example, not adding to the most crowded side, then timing entries from the chart with their own method, alongside the bigger picture such as the dollar index DXY, policy interest rates and risk-on, risk-off.

Using it with risk management

COT doesn’t tell you where to put a Stop loss and doesn’t change the position-sizing formula. Every order still needs a Stop loss from chart structure, and fixed risk per trade, for example no more than 1% per order, with lot size worked out from the Stop-loss distance.

What COT can help with is expectations. If you are on the same side as the most crowded group, expect that a rush for the exit could push price through your Stop loss harder than usual. Some traders choose a smaller size, or avoid holding over the weekend in that situation. That’s a personal risk decision, not a fixed rule.

Common mistakes

• Reading the pair backwards. Seeing funds net long yen and then going long USDJPY, which is the opposite direction.
• Treating an index of 100 or 0 as an instant reversal signal. Extremes can last a long time. Wait for price to give you a reason first.
• Thinking an index of 0 means funds are short. The index is a position within the lookback window, like week 45 in the example, where the index is 0 but net is still long 18,000.
• Switching the lookback until it works. Trying 13, 26, 52 and 156 weeks until one “called it” in the past is curve-fitting to history. More in Hindsight bias on charts.
• Using the wrong report or group. For gold, look at Managed Money in Disaggregated. For currencies, look at Leveraged Funds or Asset Managers in TFF. Non-commercial in Legacy is a different split, so don’t mix them.
• Forgetting the lag. Acting on the report without checking how far price has moved since Tuesday.

The official COT data and its history are free to download on the CFTC website, under Commitments of Traders. Before using it, read the CFTC’s own explanation of the trader groups, because those are the definitions actually used to classify traders.