Who publishes the COT report?

The Commitments of Traders (COT) report is published by the US Commodity Futures Trading Commission (CFTC), the federal regulator of American futures markets. Not by CME Group, not by the Chicago Board of Trade, and not by any other exchange. The exchanges are where the contracts trade; the CFTC is the one that counts who holds them.

The mix-up is understandable. Exchange names are everywhere in the report — which is why searches for a “CBOT report” or “CME COT” end up at the same CFTC data.

Where the numbers come from

Every business day, the firms that carry traders' accounts — clearing members, futures commission merchants and foreign brokers — report to the CFTC the positions of every trader who has reached a reporting level in a market. The CFTC sets that level contract by contract. Once a trader crosses it, the firm reports the trader's entire position in that commodity, across all expiry months.

Each week the CFTC adds these positions up by trader category and publishes the totals. The law does not allow it to publish individual positions, which is why the report shows groups and never names. Reportable traders usually account for 70 to 90 percent of the open interest in a market; the rest appears as non-reportable. A market only shows up at all once at least 20 traders are above the reporting level.

Where CME and CBOT fit in

CME Group runs four exchanges whose contracts fill a large part of the report: the Chicago Mercantile Exchange (CME), the Chicago Board of Trade (CBOT), the New York Mercantile Exchange (NYMEX) and COMEX. CBOT was an independent exchange until it merged with CME in 2007; NYMEX, with COMEX, followed in 2008. The names live on as the venues where the contracts are listed.

That is also how the CFTC labels its markets: every contract carries the name of its exchange. Gold appears as GOLD - COMMODITY EXCHANGE INC. — that is COMEX. The E-mini S&P 500 is listed under the Chicago Mercantile Exchange; wheat, corn, soybeans and the Treasury note futures under the Chicago Board of Trade. For the original version of the report the CFTC even keeps a separate page per exchange. A “CBOT COT report” therefore means the CFTC's figures for the contracts listed on CBOT.

The report is not limited to CME Group. It also covers contracts on ICE Futures U.S. (the US Dollar Index, for example), ICE's energy markets, Cboe and a number of smaller venues — several hundred markets in all. Exchanges and data vendors republish these figures in their own charts and tools; the source underneath is the same. One thing that is genuinely different: ICE Futures Europe publishes its own commitments report under European rules, covering Brent and gasoil among others. That is a separate report, not the CFTC's.

Three versions of the same data

The CFTC publishes the positions in several cuts. They describe the same traders, sorted differently.

1. Legacy — the original format, with downloadable history back to 1986. It splits each market into just two groups, commercials (traders the CFTC classifies as hedgers) and non-commercials, plus the non-reportable remainder. Long history, but coarse: a swap dealer and a farmer hedging a crop share one bucket.
2. Disaggregated — introduced in 2009 for physical commodities: energy, metals and agriculture. It separates producers, merchants, processors and users, swap dealers, managed money (commodity trading advisors, commodity pool operators and similar funds) and other reportables.
3. Traders in Financial Futures (TFF) — introduced in 2010 for financial futures: stock indices, currencies, interest rates and the VIX. Its groups are dealers on the sell side and, on the buy side, asset managers, leveraged funds and other reportables.

The two newer versions were filled in back to June 2006 by sorting the old positions into the trader categories assigned when the reports were introduced — the further back, the rougher that reconstruction. A fourth cut, the supplemental report, breaks out commodity index traders in a set of agricultural markets.

Each version also comes twice: futures only, and futures and options combined, where option positions are converted into futures equivalents using each option's delta. The two differ wherever options trading is heavy.

Which one WAVG uses

WAVG reads the CFTC's futures-only files directly: the TFF report for stock indices, currencies and bonds, and the Disaggregated report for commodities. That is why the market pages speak of leveraged funds in the S&P 500 and of managed money in gold — the groups are the CFTC's own, and their names follow the version a market belongs to. How to read them week by week is covered in How to read COT data.