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"FUTURES ONLY" WEEKLY SUMMARY OF THE CFTC REPORT

Is a change in the net commercial position in corn from 1,000 contracts short to 5,000 contracts long a significant change? Would you still consider it significant if you knew the net commercial position in corn has ranged over the last five years from 112,000 contracts short to 113,000 contracts long?

The SPECIAL FEATURE of this web site for subscribers are the separate 12 week summaries for Commercial, Small Spec, Large Spec, and Open Interest with one year, three year, and five year ranges of the data. The summaries highlight markets when the current COT data is near the one year, three year, and five year range of the data. The summaries are available at the following links in the heading of each page. Sample 

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Click here to see the FREE actual CFTC report, and the free Individual Commodity Exchange releases . 

Background: The CFTC (a US Government Agency)  releases each Friday the report of the "Commitments of Traders".  The report gives details, as of the previous Tuesday, of the quantity of outstanding futures contracts held by small speculators (you and I), large speculators (generally the commodity funds) and the commercials (dealers in the cash markets). Data on Futures and Options are also released separately on Friday evenings beginning in 2002.

The Large Specs are generally the large commodity funds that are generally trend followers. Knowing their positions is considered helpful to traders in identifying trending markets. 

The Commercials are dealers in the cash markets and are considered the "smart money" by many traders. Knowing their position is helpful in finding markets where the trend might have gone too far and large positions by the commercials are considered as indicators of over priced or under value markets. Changes in the net commercial position can be an important trend indicator WHEN CONSIDERED RELATIVE TO THE HISTORY OF THE RANGE OF THE NET COMMERCIAL POSITION. 

For example, a change in the net commercial position in CORN from a net position of 1,000 contracts long  last week to 5,000 contracts long this week might be considered significant based on the fivefold increase. But if read in the context of the five year range of the net commercial position being from net short 112,000 to net long 113,000, the increase of 4,000 contracts in net commercial longs is an insignificant change.  

A feature of this web site is the " 12 week summary of the net commercial positions"  including the 1year, 3 year, and 5 year range of the data.  (A " 12 week summary with options" is also published each week.) 

The weekly commentary in this web site generally recommends the strategy of being "on watch" for trades when the market trades above/below the two week high/low in the direction of the net commercial position when that net commercial position is near it's five year record net long or short. Once in a position, stops are recommended at the opposite two week high/low.

Option traders might consider buying at the money put or call options, or at the money vertical spreads, on the market breakout of the two week high/low and stopping out of the option position if the market trades at the opposite two week high low. See the detailed strategy explanation in the "other reports" linked above. 

The strategy of using the two week high low for trade entry and stop following the net commercial position, and only monitoring the trade for the six week period since the net commercial position was last near it's five year record (three weeks for currencies) has been selected based on finding a simple strategy that establishes trade parameters only once a week and holds trades only during what is likely the "first move" in the possible trend change. This type of strategy that has "one look per week" is not suggested to be an optimal trading strategy and is not appropriate in the more volatile markets. 

When there are markets near their one year and three year net commercial record positions (identified in the 12 week summary table by "I" or "III"),  I suggest you consider trading those markets in the direction of the net commercials using indicators or trading strategies that monitor markets on a daily basis. 

 

 

Beginning in 2002, the CFTC will release the "with options" data on Friday evenings at the same time as the "futures only" reports. The weekly commentary on the "Net Options" summary will be combined into the "futures only" commentary.

Commitments of Traders calendar of 2004 CFTC release dates.  Weekly Commitments of Traders Reports are released by the CFTC every Friday after the close of business, effective for the prior Tuesdays. The release dates may be adjusted to accommodate holidays. Usually, the www.commitmentsoftraders.com Internet Edition of the Commitments of Traders Report is updated with the new CFTC information by 4 PM Central time after the release of the "futures only data." 

The CFTC has posted a background report of the COT Report. See Backgrounder-The Commitments of Traders Report The Report contains general background information and detailed explanatory notes for the short form, the long form, and the options-and-futures-combined reports.

Beginning in January 2002, the CFTC releases the futures data combined with the net deltas of option positions on each Friday evening. The weekly report shows the information as of the close for the previous Tuesday.

The tables in this Web site are summaries of selected data obtained from the report issued by an agency of the US Government, the Commodity Futures Trading Commission (CFTC). The entire report can be obtained from http://www.cftc.gov/ .

The "v" or "v-" following the net position in the 12 week summary tables indicates if the net position is within 95% of the high of the five year range, or within 5% of the low of the five year range. "I" or "I-" indicate within 95% or 5 % of the one year range. "III" or "III-" indicate within 95% or 5% of the three year range.

Footnotes on data presented:

  • All data has been drawn from the CFTC website and begins with January 1986. Accuracy of the data is not guarenteed by the CFTC or by the publisher in any way.
  • Lumber changed with the May 96 contract to 80,000  board feet from 160,000. Open interest data for prior to May 96 is doubled and reflected in the current information.
  • S&P open interest data prior to 10/31/97 has been restated by doubling such amounts to reflect the change in the multiplier from $500 per point to $250.
  • Lean 
  • Hog data is combined with the Live Hog data from prior to the contract change in 1997.
  • The Feeder Cattle contract change from 44,000 pounds to 50,000 pounds with the Jan 1993 contract did not result in a change in CFTC reporting.
  • The change in the Grain contracts 12/31/97 from stated in number of thousands of bushels to contracts of 5,000 bu is reflected in past data by dividing the published numbers by 5.

C 1999, 2000, 2001, 2002,2003,2004 George Slezak
For more information call George at 1-888-311-3400

All aspects of any trade recommendations contained in this report are subject to modification at any time. 

FUTURES TRADING INVOLVES SIGNIFICANT RISK OF LOSS AND IS NOT SUITABLE FOR EVERYONE AND THE RISK OF LOSS SHOULD BE CONSIDERED CAREFULLY BEFORE MAKING ANY TRADES. A STOP LOSS MAY NOT LIMIT YOUR LOSS TO THE AMOUNT INTENDED.  YOU SHOULD BE FOREWARNED THAT SYSTEMS WHICH TRIGGER FREQUENT TRADING SIGNALS AS PART OF A DAY TRADING STRATEGY CAN RESULT IN SUBSTANTIAL COMMISSIONS AND FEES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ANY STATEMENT OF FACTS HEREIN CONTAINED ARE DERIVED FROM SOURCES BELIEVED TO BE RELIABLE, BUT ARE NOT GUARANTEED AS TO ACCURACY, NOR DO THEY PURPORT TO BE COMPLETE.

ANY REFERENCE TO PERFORMANCE IS INTENDED TO BE UNDERSTOOD AS STRICTLY THEORETICAL. 

REGULATORY DISCLOSURES REGARDING HYPOTHETICAL RESULTS

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS EXISTS IN FUTURES TRADING.

All traders should read the  CFTC CONSUMER ALERTS and the "COMMISSION ADVISORY" on trading systems.