Russell 2000 E-mini COT Report
Positions in CME E-mini Russell 2000 futures ($50 × index) as of Tuesday Oct 13, 2026, released by the CFTC on Friday Oct 16, 2026. Next report: positions as of Oct 20, 2026, scheduled for release on Friday Oct 23, 2026 at 3:30 p.m. ET.
CFTC Commitments of Traders report as of Oct 13, 2026
What changed this week
In the week to Tuesday Oct 13, 2026, large speculators (non-commercial traders) in Russell 2000 E-mini futures cut their net short by 26,842 contracts to 61,003. The 26,842-contract move was larger than 96% of weekly changes in the past 3 years. Their 3-year COT index stands at 28, on a scale where 0 is the lowest net position of the past 3 years (-95,231 on Aug 12, 2025) and 100 the highest (+26,337 on Oct 15, 2024). In the Traders in Financial Futures report, leveraged funds were net short 91,647 contracts, a weekly change of +13,670. Commercial hedgers were net long 48,378, a weekly change of -31,906. Open interest rose by 19,632 to 444,784 contracts.
Positions by trader group
Contracts · Oct 13, 2026| Trader group | Report | Long | Short | Net | Net, w/w | Net % OI | 3-yr COT index |
|---|---|---|---|---|---|---|---|
| Large speculators (non-commercial) | Legacy | 112,145 | 173,148 | -61,003 | +26,842 | -13.7% | 28 |
| Commercials (hedgers) | Legacy | 287,096 | 238,718 | +48,378 | -31,906 | +10.9% | 68 |
| Small traders (non-reportable) | Legacy | 32,934 | 20,309 | +12,625 | +5,064 | +2.8% | 56 |
| Leveraged funds | TFF | 101,532 | 193,179 | -91,647 | +13,670 | -20.6% | 19 |
| Asset managers & institutional | TFF | 143,186 | 113,658 | +29,528 | -15,967 | +6.6% | 26 |
| Dealers & intermediaries | TFF | 107,968 | 50,465 | +57,503 | -3,890 | +12.9% | 84 |
| Other reportables | TFF | 3,015 | 11,024 | -8,009 | +1,123 | -1.8% | 49 |
- Large speculators (non-commercial): Reportable traders that do not qualify as commercial hedgers for this commodity.
- Commercials (hedgers): Reportable traders whose futures positions in this commodity are hedges as defined in CFTC Regulation 1.3.
- Small traders (non-reportable): Open interest left after subtracting all reportable positions; positions below the CFTC reporting levels.
- Leveraged funds: Typically hedge funds and money managers, including registered CTAs and CPOs.
- Asset managers & institutional: Pension funds, endowments, insurers, mutual funds and managers whose clients are mainly institutional.
- Dealers & intermediaries: The sell side: large banks and dealers in securities, swaps and other derivatives.
- Other reportables: Reportable traders that fit none of the three categories above, e.g. corporate treasuries and central banks.
Large speculators' net position, last 5 years
Contracts, weeklyCOT index by lookback (large speculators)
| Lookback | COT index | Percentile | Range low | Range high |
|---|---|---|---|---|
| 26 weeks | 33 | 27% | -87,845 Oct 6, 2026 | -6,959 Jul 21, 2026 |
| 52 weeks | 25 | 19% | -87,845 Oct 6, 2026 | +20,563 Jan 20, 2026 |
| 3 years | 28 | 15% | -95,231 Aug 12, 2025 | +26,337 Oct 15, 2024 |
| All history (since 2017) | 31 | 21% | -119,954 Aug 2, 2022 | +72,600 May 29, 2018 |
0 = lowest net position of the lookback, 100 = highest. Percentile = share of weeks in the lookback with a net position at or below this week's.
Positioning extremes
| Window | Highest net | Lowest net |
|---|---|---|
| Past 52 weeks | +20,563 Jan 20, 2026 | -87,845 Oct 6, 2026 |
| Past 3 years | +26,337 Oct 15, 2024 | -95,231 Aug 12, 2025 |
| Past 5 years | +26,337 Oct 15, 2024 | -119,954 Aug 2, 2022 |
| Since Sep 12, 2017 | +72,600 May 29, 2018 | -119,954 Aug 2, 2022 |
| Window | Highest net | Lowest net |
|---|---|---|
| Past 52 weeks | -10,486 Jan 20, 2026 | -114,554 Sep 29, 2026 |
| Past 3 years | +18,269 Mar 18, 2025 | -117,122 Aug 5, 2025 |
| Past 5 years | +18,269 Mar 18, 2025 | -117,122 Aug 5, 2025 |
| Since Sep 12, 2017 | +94,894 Dec 12, 2017 | -117,122 Aug 5, 2025 |
Weekly history, last 3 years
Download full history (CSV)| Report date | Large specs net | w/w | Leveraged funds net | Commercials net | Open interest | 3-yr index |
|---|---|---|---|---|---|---|
| 2026-10-13 | -61,003 | +26,842 | -91,647 | +48,378 | 444,784 | 28 |
| 2026-10-06 | -87,845 | -10,405 | -105,317 | +80,284 | 425,152 | 6 |
| 2026-09-29 | -77,440 | -1,657 | -114,554 | +70,212 | 428,048 | 15 |
| 2026-09-22 | -75,783 | -3,433 | -107,982 | +68,390 | 415,047 | 16 |
| 2026-09-15 | -72,350 | +10,485 | -97,203 | +68,683 | 496,762 | 19 |
| 2026-09-08 | -82,835 | -11,172 | -110,147 | +77,130 | 431,147 | 10 |
| 2026-09-01 | -71,663 | -20,085 | -109,499 | +68,101 | 424,663 | 19 |
| 2026-08-25 | -51,578 | -9,363 | -97,700 | +42,913 | 413,000 | 36 |
| 2026-08-18 | -42,215 | +89 | -99,786 | +34,907 | 424,956 | 44 |
| 2026-08-11 | -42,304 | -7,577 | -95,158 | +34,430 | 419,222 | 44 |
| 2026-08-04 | -34,727 | -18,458 | -85,145 | +24,309 | 417,259 | 50 |
| 2026-07-28 | -16,269 | -9,310 | -74,620 | +9,421 | 417,083 | 65 |
| 2026-07-21 | -6,959 | +17,721 | -73,468 | -2,718 | 411,524 | 73 |
| 2026-07-14 | -24,680 | +6,329 | -88,112 | +13,081 | 405,743 | 58 |
| 2026-07-07 | -31,009 | -5,441 | -72,262 | +21,414 | 406,632 | 53 |
| 2026-06-30 | -25,568 | +1,270 | -84,358 | +13,870 | 399,628 | 57 |
| 2026-06-23 | -26,838 | -6,589 | -56,428 | +17,172 | 386,817 | 56 |
| 2026-06-16 | -20,249 | +17,717 | -84,570 | +9,610 | 492,996 | 62 |
| 2026-06-09 | -37,966 | -23,042 | -74,454 | +34,081 | 397,144 | 47 |
| 2026-06-02 | -14,924 | +1,005 | -73,340 | +11,921 | 413,739 | 66 |
| 2026-05-26 | -15,929 | +5,119 | -68,212 | +10,085 | 424,698 | 65 |
| 2026-05-19 | -21,048 | -7,933 | -67,429 | +15,510 | 421,242 | 61 |
| 2026-05-12 | -13,115 | -3,966 | -60,631 | +9,987 | 429,290 | 68 |
| 2026-05-05 | -9,149 | +7,939 | -55,354 | +7,111 | 427,367 | 71 |
| 2026-04-28 | -17,088 | -1,191 | -65,275 | +14,843 | 412,001 | 64 |
| 2026-04-21 | -15,897 | -6,563 | -55,818 | +12,181 | 411,435 | 65 |
| 2026-04-14 | -9,334 | +4,641 | -50,736 | +6,690 | 404,501 | 71 |
| 2026-04-07 | -13,975 | +3,887 | -36,746 | +12,210 | 397,438 | 67 |
| 2026-03-31 | -17,862 | +9,428 | -39,430 | +15,612 | 399,456 | 64 |
| 2026-03-24 | -27,290 | +6,218 | -49,320 | +26,313 | 404,533 | 56 |
| 2026-03-17 | -33,508 | -5,870 | -53,978 | +31,973 | 481,226 | 51 |
| 2026-03-10 | -27,638 | -20,816 | -43,360 | +20,353 | 402,664 | 56 |
| 2026-03-03 | -6,822 | -3,891 | -36,591 | +116 | 401,236 | 73 |
| 2026-02-24 | -2,931 | +4,155 | -36,615 | -9,124 | 396,109 | 76 |
| 2026-02-17 | -7,086 | -14,147 | -26,752 | -7,403 | 392,196 | 73 |
| 2026-02-10 | +7,061 | +2,763 | -29,959 | -21,710 | 408,094 | 84 |
| 2026-02-03 | +4,298 | -8,029 | -38,075 | -19,434 | 407,183 | 82 |
| 2026-01-27 | +12,327 | -8,236 | -16,911 | -26,381 | 416,547 | 88 |
| 2026-01-20 | +20,563 | +9,126 | -10,486 | -31,654 | 413,471 | 95 |
| 2026-01-13 | +11,437 | +13,540 | -12,564 | -24,387 | 397,732 | 88 |
| 2026-01-06 | -2,103 | +1,528 | -14,985 | -11,469 | 394,363 | 77 |
| 2025-12-30 | -3,631 | -1,430 | -27,669 | -13,286 | 388,787 | 75 |
| 2025-12-23 | -2,201 | -12,283 | -21,987 | -15,360 | 388,537 | 77 |
| 2025-12-16 | +10,082 | +29,399 | -42,296 | -30,191 | 503,526 | 87 |
| 2025-12-09 | -19,317 | +9,097 | -48,287 | +7,475 | 413,907 | 62 |
| 2025-12-02 | -28,414 | +9,542 | -54,366 | +18,876 | 379,767 | 55 |
| 2025-11-25 | -37,956 | +26,785 | -57,610 | +28,501 | 366,685 | 47 |
| 2025-11-18 | -64,741 | -8,357 | -91,086 | +52,678 | 388,785 | 25 |
| 2025-11-10 | -56,384 | +2,426 | -81,258 | +45,284 | 392,134 | 32 |
| 2025-11-04 | -58,810 | +2,399 | -80,270 | +50,930 | 394,943 | 30 |
| 2025-10-28 | -61,209 | +762 | -70,143 | +48,671 | 384,572 | 28 |
| 2025-10-21 | -61,971 | -10,160 | -63,845 | +54,956 | 383,684 | 27 |
| 2025-10-14 | -51,811 | +7,694 | -70,144 | +44,456 | 381,590 | 36 |
| 2025-10-07 | -59,505 | -7,601 | -65,509 | +49,901 | 387,003 | 29 |
| 2025-09-30 | -51,904 | +81 | -67,624 | +41,741 | 355,192 | 38 |
| 2025-09-23 | -51,985 | +33,849 | -75,850 | +38,695 | 369,261 | 41 |
| 2025-09-16 | -85,834 | -13,585 | -90,215 | +76,807 | 477,326 | 16 |
| 2025-09-09 | -72,249 | -11,911 | -87,081 | +60,284 | 423,895 | 26 |
| 2025-09-02 | -60,338 | +6,502 | -76,948 | +48,115 | 411,921 | 35 |
| 2025-08-26 | -66,840 | +12,554 | -78,059 | +57,672 | 411,590 | 30 |
| 2025-08-19 | -79,394 | +15,837 | -93,762 | +73,234 | 418,180 | 21 |
| 2025-08-12 | -95,231 | -1,484 | -114,496 | +89,727 | 424,985 | 15 |
| 2025-08-05 | -93,747 | -12,851 | -117,122 | +90,440 | 427,309 | 16 |
| 2025-07-29 | -80,896 | -8,704 | -90,644 | +73,765 | 406,989 | 27 |
| 2025-07-22 | -72,192 | +423 | -77,437 | +68,297 | 398,690 | 33 |
| 2025-07-15 | -72,615 | -5,494 | -79,005 | +65,611 | 391,568 | 32 |
| 2025-07-08 | -67,121 | -8,736 | -77,597 | +61,666 | 397,829 | 36 |
| 2025-07-01 | -58,385 | -27,556 | -75,149 | +53,024 | 388,073 | 42 |
| 2025-06-24 | -30,829 | +8,918 | -67,883 | +25,790 | 389,754 | 61 |
| 2025-06-17 | -39,747 | -8,918 | -62,482 | +38,809 | 501,995 | 55 |
| 2025-06-10 | -30,829 | -18,784 | -44,139 | +30,493 | 447,044 | 61 |
| 2025-06-03 | -12,045 | -7,588 | -45,439 | +16,193 | 445,327 | 74 |
| 2025-05-27 | -4,457 | +1,290 | -36,514 | +7,041 | 434,066 | 79 |
| 2025-05-20 | -5,747 | +22,609 | -33,740 | +9,349 | 435,666 | 78 |
| 2025-05-13 | -28,356 | -13,528 | -36,408 | +30,861 | 443,279 | 63 |
| 2025-05-06 | -14,828 | -14,422 | -41,096 | +18,843 | 449,683 | 72 |
| 2025-04-29 | -406 | +6,313 | -26,790 | +3,154 | 459,912 | 82 |
| 2025-04-22 | -6,719 | -7,398 | -26,168 | -4,795 | 464,123 | 77 |
| 2025-04-15 | +679 | +13,424 | -11,059 | -1,341 | 454,242 | 82 |
| 2025-04-08 | -12,745 | +4,426 | -9,325 | +4,057 | 453,401 | 73 |
| 2025-04-01 | -17,171 | -1,826 | -15,146 | +8,856 | 412,519 | 70 |
| 2025-03-25 | -15,345 | -5,137 | -19,270 | +9,457 | 399,445 | 72 |
| 2025-03-18 | -10,208 | -5,032 | +18,269 | +5,642 | 502,107 | 75 |
| 2025-03-11 | -5,176 | -602 | +15,124 | -3,805 | 473,874 | 78 |
| 2025-03-04 | -4,574 | +16,757 | -11,308 | -3,580 | 445,584 | 79 |
| 2025-02-25 | -21,331 | +8,475 | -31,498 | +8,625 | 422,488 | 67 |
| 2025-02-18 | -29,806 | +2,658 | -53,129 | +15,397 | 416,609 | 62 |
| 2025-02-11 | -32,464 | -4,966 | -52,464 | +20,253 | 414,957 | 60 |
| 2025-02-04 | -27,498 | -5,463 | -47,249 | +12,186 | 420,318 | 63 |
| 2025-01-28 | -22,035 | -1,008 | -61,905 | +6,387 | 425,708 | 67 |
| 2025-01-21 | -21,027 | -19,932 | -54,444 | +2,547 | 436,046 | 68 |
| 2025-01-14 | -1,095 | +2,089 | -46,256 | -15,457 | 453,908 | 81 |
| 2025-01-07 | -3,184 | -1,034 | -39,304 | -16,280 | 462,215 | 80 |
| 2024-12-31 | -2,150 | -482 | -40,489 | -18,943 | 470,377 | 81 |
| 2024-12-24 | -1,668 | -1,252 | -42,329 | -21,671 | 462,103 | 81 |
| 2024-12-17 | -416 | +1,741 | -45,640 | -22,280 | 569,474 | 82 |
| 2024-12-10 | -2,157 | +9,417 | -67,866 | -24,300 | 520,767 | 81 |
| 2024-12-03 | -11,574 | -8,962 | -76,547 | -15,176 | 503,146 | 74 |
| 2024-11-26 | -2,612 | -5,757 | -63,710 | -22,585 | 495,231 | 80 |
| 2024-11-19 | +3,145 | -5,249 | -59,469 | -27,356 | 488,795 | 84 |
| 2024-11-12 | +8,394 | -398 | -52,990 | -30,429 | 480,846 | 88 |
| 2024-11-05 | +8,792 | -3,151 | -48,730 | -23,537 | 448,893 | 88 |
| 2024-10-29 | +11,943 | -6,844 | -39,466 | -27,139 | 438,061 | 90 |
| 2024-10-22 | +18,787 | -7,550 | -34,635 | -33,395 | 442,593 | 95 |
| 2024-10-15 | +26,337 | +21,330 | -19,303 | -39,015 | 455,216 | 100 |
| 2024-10-08 | +5,007 | -15,342 | -32,449 | -18,479 | 443,408 | 88 |
| 2024-10-01 | +20,349 | -1,558 | -50,433 | -33,516 | 451,559 | 99 |
| 2024-09-24 | +21,907 | +18,921 | -40,586 | -36,441 | 442,047 | 100 |
| 2024-09-17 | +2,986 | -2,741 | -46,582 | -15,705 | 527,140 | 87 |
| 2024-09-10 | +5,727 | +5,467 | -43,247 | -17,531 | 446,189 | 89 |
| 2024-09-03 | +260 | +15,541 | -45,740 | -12,603 | 433,596 | 85 |
| 2024-08-27 | -15,281 | +11,846 | -49,936 | -326 | 421,524 | 74 |
| 2024-08-20 | -27,127 | -13,871 | -64,677 | +14,057 | 422,443 | 66 |
| 2024-08-13 | -13,256 | -10,661 | -50,814 | +4,580 | 424,544 | 76 |
| 2024-08-06 | -2,595 | +31,390 | -37,009 | -6,502 | 428,191 | 83 |
| 2024-07-30 | -33,985 | +23,098 | -59,306 | +17,847 | 472,586 | 61 |
| 2024-07-23 | -57,083 | -9,746 | -63,718 | +44,418 | 482,645 | 45 |
| 2024-07-16 | -47,337 | +20,289 | -36,043 | +35,373 | 488,061 | 52 |
| 2024-07-09 | -67,626 | +7,809 | -69,861 | +58,789 | 447,956 | 37 |
| 2024-07-02 | -75,435 | -25,414 | -89,017 | +66,952 | 449,927 | 32 |
| 2024-06-25 | -50,021 | +7,827 | -93,834 | +43,649 | 418,596 | 50 |
| 2024-06-18 | -57,848 | -19,553 | -111,493 | +52,556 | 529,318 | 44 |
| 2024-06-11 | -38,295 | -3,940 | -93,984 | +32,428 | 465,996 | 58 |
| 2024-06-04 | -34,355 | -510 | -102,342 | +25,469 | 469,252 | 61 |
| 2024-05-28 | -33,845 | +3,739 | -109,788 | +27,036 | 467,293 | 61 |
| 2024-05-21 | -37,584 | -5,517 | -103,865 | +28,361 | 464,396 | 58 |
| 2024-05-14 | -32,067 | +5,933 | -99,844 | +23,332 | 466,505 | 62 |
| 2024-05-07 | -38,000 | +2,289 | -97,921 | +31,638 | 465,495 | 58 |
| 2024-04-30 | -40,289 | -4,189 | -79,720 | +35,892 | 480,835 | 57 |
| 2024-04-23 | -36,100 | +2,350 | -90,873 | +30,140 | 477,550 | 59 |
| 2024-04-16 | -38,450 | -10,835 | -88,839 | +34,078 | 481,262 | 58 |
| 2024-04-09 | -27,615 | -5,442 | -67,983 | +17,004 | 468,849 | 66 |
| 2024-04-02 | -22,173 | -626 | -59,416 | +11,733 | 472,737 | 69 |
| 2024-03-26 | -21,547 | -8,063 | -51,422 | +11,613 | 479,199 | 70 |
| 2024-03-19 | -13,484 | +5,610 | -49,144 | +5,273 | 471,331 | 76 |
| 2024-03-12 | -19,094 | +3,729 | -25,389 | +14,991 | 564,693 | 72 |
| 2024-03-05 | -22,823 | -4,595 | -25,325 | +12,244 | 517,143 | 69 |
| 2024-02-27 | -18,228 | +5,977 | -21,977 | +7,956 | 515,015 | 72 |
| 2024-02-20 | -24,205 | +246 | -35,774 | +19,727 | 503,407 | 68 |
| 2024-02-13 | -24,451 | -4,458 | -30,289 | +16,168 | 506,742 | 68 |
| 2024-02-06 | -19,993 | -9,489 | -18,061 | +8,524 | 479,790 | 71 |
| 2024-01-30 | -10,504 | -4,315 | -17,133 | -1,488 | 510,247 | 78 |
| 2024-01-23 | -6,189 | -20,434 | -10,013 | -5,447 | 504,119 | 81 |
| 2024-01-16 | +14,245 | -6,767 | -7,327 | -23,482 | 490,097 | 95 |
| 2024-01-09 | +21,012 | +21,933 | -29,609 | -31,976 | 499,063 | 100 |
| 2024-01-02 | -921 | +11,525 | -39,664 | -10,099 | 516,339 | 78 |
| 2023-12-26 | -12,446 | +17,603 | -46,850 | +3,448 | 498,241 | 70 |
| 2023-12-19 | -30,049 | +20,580 | -61,032 | +23,866 | 494,014 | 59 |
| 2023-12-12 | -50,629 | +4,800 | -29,191 | +43,204 | 639,607 | 45 |
| 2023-12-05 | -55,429 | +64 | -16,805 | +50,900 | 557,407 | 42 |
| 2023-11-28 | -55,493 | +1,753 | -2,522 | +52,149 | 550,971 | 41 |
| 2023-11-21 | -57,246 | +8,320 | +5,349 | +53,256 | 537,080 | 38 |
| 2023-11-14 | -65,566 | +7,001 | +2,302 | +68,821 | 552,664 | 33 |
| 2023-11-07 | -72,567 | -33,140 | +2,104 | +72,636 | 546,859 | 28 |
| 2023-10-31 | -39,427 | +4,744 | +9,385 | +40,876 | 553,380 | 48 |
| 2023-10-24 | -44,171 | +1,301 | -7,471 | +44,537 | 518,056 | 45 |
| 2023-10-17 | -45,472 | +21,152 | -16,332 | +50,522 | 485,477 | 45 |
Year-by-year history (large speculators)
| Year | Reports | Average net | Highest | Lowest | Last report | Avg open interest |
|---|---|---|---|---|---|---|
| 2026 | 41 | -26,568 | +20,563 Jan 20 | -87,845 Oct 6 | -61,003 | 417,418 |
| 2025 | 52 | -36,568 | +10,082 Dec 16 | -95,231 Aug 12 | -3,631 | 421,558 |
| 2024 | 53 | -16,217 | +26,337 Oct 15 | -75,435 Jul 2 | -2,150 | 476,275 |
| 2023 | 52 | -58,493 | -12,446 Dec 26 | -75,896 Jun 13 | -12,446 | 506,053 |
| 2022 | 52 | -68,467 | -2,824 Jan 25 | -119,954 Aug 2 | -69,924 | 517,775 |
| 2021 | 52 | -30,684 | +33,038 Jan 5 | -72,931 Aug 24 | -20,299 | 479,554 |
| 2020 | 52 | +17,158 | +58,322 Jan 28 | -35,505 Apr 28 | +9,804 | 529,492 |
| 2019 | 52 | -25,085 | +51,860 Dec 31 | -88,737 Jul 16 | +51,860 | 460,056 |
| 2018 | 53 | +10,037 | +72,600 May 29 | -81,698 Oct 23 | -19,598 | 530,034 |
| 2017 | 16 | +15,374 | +52,938 Dec 26 | -38,771 Sep 19 | +52,938 | 579,360 |
About this data
Source: the U.S. Commodity Futures Trading Commission's Commitments of Traders reports, read from the CFTC's public reporting API. Contract: CME E-mini Russell 2000 futures ($50 × index), CFTC contract market code 239742. Every figure is in contracts and comes from the futures-only reports: the Legacy report (dataset 6dca-aqww) for large speculators, commercials and small traders, and the Traders in Financial Futures report (dataset gpe5-46if) for leveraged funds, asset managers and dealers. History starts on Sep 12, 2017, when the contract returned to this CFTC code; earlier rows under the same code belong to a different contract era.
Net position = long minus short contracts; spreading positions are excluded. Weekly changes for the Legacy groups are the CFTC's own; for the TFF groups they are the difference from the previous report. The COT index and percentiles are AlphaScala calculations over the stored weekly history, which starts on Sep 12, 2017 (475 reports). The data describes what traders held on each Tuesday; it is not a forecast or a recommendation. See the methodology for how AlphaScala sources data.
FAQ
What does the Russell 2000 E-mini COT report show?
The CFTC's weekly Commitments of Traders report breaks down open interest in CME E-mini Russell 2000 futures ($50 × index), CFTC contract code 239742, by type of trader. This page uses two of its reports: the Legacy report, which splits reportable traders into commercial and non-commercial, and the Traders in Financial Futures report, which splits them into dealers, asset managers, leveraged funds and other reportables. Both are the futures-only versions, so options positions are not included. The latest report here holds positions as of Oct 13, 2026.
When is the COT report released?
The CFTC collects positions as of the close of business on Tuesday and generally publishes them on Friday at 3:30 p.m. Eastern time. A federal holiday between the Tuesday and the Friday delays the release, typically to the following Monday (Veterans Day, Thanksgiving and Christmas weeks, for example), and the CFTC lists those dates on its release schedule in advance; a Monday holiday such as Columbus Day does not. Publication stops during a lapse in federal funding, with the missed reports released afterwards. AlphaScala checks for the new report on Friday evening and again on Monday (UTC).
Who counts as a large speculator in the COT report?
In the Legacy report, a reportable trader is classified as commercial in a commodity if it uses futures in that commodity for hedging as defined in CFTC Regulation 1.3. Traders generally get that classification by filing CFTC Form 40, and CFTC staff can reclassify them. Every other reportable trader is non-commercial, the group COT readers call large speculators. A trader can be commercial in one commodity and non-commercial in another, but not both in the same commodity.
What are leveraged funds and asset managers in the COT report?
In the Traders in Financial Futures report, leveraged funds are typically hedge funds and other money managers, including registered commodity trading advisors (CTAs), registered commodity pool operators (CPOs) and unregistered funds the CFTC identifies. Asset managers are institutional investors: pension funds, endowments, insurance companies, mutual funds and managers whose clients are mainly institutional. Dealers are the sell side, mostly large banks and dealers in securities, swaps and other derivatives.
What are non-reportable positions?
The CFTC sets a reporting level for each contract, and clearing members, futures commission merchants and foreign brokers report every trader at or above it. Non-reportable positions are what is left of open interest after subtracting all reportable positions, so the number of those traders and whether they are hedgers is unknown. They are usually read as small traders.
How is the COT index calculated?
COT index = (current net position − lowest net position in the lookback) ÷ (highest − lowest) × 100, using the weekly net position of large speculators (longs minus shorts; spreading positions are left out). 0 is the most net short, or least net long, of the lookback and 100 the most net long. AlphaScala shows 26-week, 52-week and 3-year versions, plus a percentile: the share of weeks in the window with a net position at or below the current one. Both describe positioning relative to its own history; neither is a forecast.