The Commitments of Traders (COT) Report: How to Read It and Its Limits

The Commitments of Traders (COT) report is a weekly CFTC publication that breaks down the open positions in US futures markets by type of trader, such as commercial hedgers, swap dealers, and money managers. It is released every Friday at 3:30 p.m. Eastern time and shows positions as of the previous Tuesday.

In short: The COT report tells you how the open interest in a futures market was split among broad categories of large traders on a given Tuesday, and how that changed from the week before. There are three main versions: the Legacy report (commercial vs non-commercial), the Disaggregated report for physical commodities (producers, swap dealers, managed money, other), and the Traders in Financial Futures report (dealers, asset managers, leveraged funds, other). It is useful context about who holds what. It is not a trading signal, it is a few days old when published, and the CFTC itself warns that its trader classifications involve judgment.

Where the data comes from

Futures brokers and clearing firms must report the positions of any trader above a reporting level set by CFTC regulation. If a trader is above the level in any one contract month, the firm reports that trader’s positions in all months. The CFTC aggregates this confidential large-trader data and publishes the totals by category.

According to the CFTC’s explanatory notes:

Reportable positions “usually represent 70 to 90 percent of the total open interest” in a market.
The rest are nonreportable positions, derived by subtraction. For these, “the number of traders involved and the commercial/non-commercial classification of each trader are unknown.”
Reports are published only for markets where 20 or more traders hold positions at or above the reporting levels.

The reporting rules themselves are covered in position limits and large trader reporting.

A short history

The CFTC traces the report’s antecedents back to 1924. Monthly publication began with data as of June 30, 1962. It moved to every two weeks in 1992 and to weekly in 2000. The Disaggregated report started on September 4, 2009, and the Traders in Financial Futures report was announced on July 22, 2010.

The three main versions

Legacy report

The original format splits reportable traders into two groups:

Commercial: traders who have filed CFTC Form 40 declaring that they use futures to hedge a business risk. Historically this included both producers and swap dealers.
Non-commercial: everyone else who is reportable, from hedge funds to large individual speculators.

A trader can be commercial in one commodity and non-commercial in another, but not both in the same commodity. The broader roles behind these labels are described in who trades futures.

Disaggregated report (physical commodities)

This report splits the old categories more finely:

Category	CFTC definition (summarised)
Producer/Merchant/Processor/User	Predominantly produces, processes, packs or handles the physical commodity and uses futures to hedge those activities
Swap Dealer	Deals primarily in swaps on the commodity and uses futures to hedge those swaps; its clients may be speculators or commercial firms
Managed Money	Registered commodity trading advisors (CTAs), commodity pool operators (CPOs), or unregistered funds identified by the CFTC, including hedge funds
Other Reportables	Every reportable trader not in the first three

Traders in Financial Futures (TFF)

For financial contracts (equity indexes, interest rates, currencies), the categories are:

Category	Who
Dealer/Intermediary	The “sell side”: large banks and dealers in securities, swaps and derivatives
Asset Manager/Institutional	Pension funds, endowments, insurers, mutual funds, and managers with mostly institutional clients
Leveraged Funds	Hedge funds and money managers, including CTAs and CPOs
Other Reportables	Corporate treasuries, central banks, smaller banks, mortgage originators, credit unions, and others

There is also a Supplemental report for selected agricultural markets that adds an “Index Traders” category.

What a line in the report contains

For each category, the report shows:

Long and short positions
Spreading: the amount by which a trader’s long and short futures positions offset across different months (inter-market spreads are not counted)
Changes from the prior week
Each category’s percent of open interest
Number of traders in each category (suppressed if fewer than four)

The long format adds concentration ratios for the largest four and eight traders. Reports are published as futures-only and as futures-and-options combined, where options are converted to futures-equivalents using delta.

Every position in the report is part of open interest, the number of contracts outstanding. Each open contract has one long and one short, so total longs always equal total shorts across all categories. See the open interest glossary entry.

Worked example: reading a Disaggregated line

The figures below are hypothetical, laid out the way a Disaggregated futures-only report presents a market. Suppose total open interest in a crude oil contract is 1,500,000 contracts.

Category	Long	Short	Spreading
Producer/Merchant/Processor/User	300,000	520,000	n/a
Swap Dealers	220,000	300,000	160,000
Managed Money	310,000	110,000	190,000
Other Reportables	180,000	20,000	90,000
Nonreportable	50,000	110,000	n/a

Check the totals. Spreading positions are both long and short, so they count once on each side. Spreading total: 160,000 + 190,000 + 90,000 = 440,000.

Total long: 300,000 + 220,000 + 310,000 + 180,000 + 50,000 + 440,000 = 1,500,000
Total short: 520,000 + 300,000 + 110,000 + 20,000 + 110,000 + 440,000 = 1,500,000

Longs and shorts balance and equal open interest, as they must in a real report.

Net positions (long minus short, ignoring spreading):

Producers: 300,000 - 520,000 = -220,000 (net short, as you would expect from producers hedging output)
Managed Money: 310,000 - 110,000 = +200,000 (net long)
Managed money’s long as a share of open interest: 310,000 / 1,500,000 = 20.7%

If next week managed money’s long falls to 280,000 and its short rises to 130,000, the net drops to +150,000, a change of -50,000 contracts. On a 1,000-barrel contract, that is 50 million barrels of net long exposure that funds in this category no longer hold.

The balancing check is worth doing whenever you build a table from COT data: if longs and shorts do not add up to the same open interest, a number has been copied wrong.

How people use it

Context on positioning: whether speculative categories are unusually long or short compared with their own history.
Hedging activity: how much producers and merchants are selling forward, which can reflect their view of prices or simply crop and production cycles.
Research: academics use COT data to study the role of speculators, index investors, and hedgers.
Tracking trend followers: the managed money and leveraged funds categories include many CTAs, whose strategies are described in managed futures and trend following.

What the report does not do is tell you what will happen next. Large net positions can persist for a long time, and the same reading can precede a rise or a fall.

The limits, in the CFTC’s own words

The CFTC’s explanatory notes are unusually candid about the data:

Classification takes judgment. Staff place each trader “in the most appropriate category based on their predominant activity,” and “in some cases judgment must be exercised.”
Traders are classified, not trades. “Staff will generally know, for example, that a trader is a ‘producer/merchant/processor/user’ but we cannot know with certainty that all of that trader’s activity is hedging.”
Categories overlap. Some swap dealers have physical commodity business; some producers trade swaps.
History was backfilled. Disaggregated data before September 2009 was reconstructed using recent classifications, which “diminishes the data’s accuracy as it goes further back in time.”
Swap dealers are not the same as index traders. The swap dealer category includes dealers with no index business, and some index investors trade futures directly and appear as managed money or other reportables.

Two practical limits matter too. The data are three days old at release (Tuesday positions, Friday publication), and publication can be delayed, for example during a lapse in federal government funding. And the report covers US-regulated exchanges only; Canadian dollar futures on CME are included, but contracts on the Montreal Exchange are not part of the CFTC’s report.

The short version

The COT report is the CFTC’s weekly snapshot of who holds the open interest in US futures markets, published Friday afternoon with Tuesday’s data. The Legacy report splits traders into commercial and non-commercial; the Disaggregated and TFF reports split them into four more specific groups. Reading it means comparing long, short, and spreading positions by category and tracking weekly changes. It is a useful description of positioning, but it is delayed, its categories rest on staff judgment, and it does not reveal intentions or predict prices.