COT extremes this week

A market where a trader group’s net position, as a share of open interest, sits near the top or the bottom of its own 3-year range. Here it is the large speculators’ 3-year percentile rank in the Extremely high band (90 or more) or the Extremely low band (10 or less), from the CFTC Commitments of Traders report.

We take the speculators’ net position (long minus short) as a percentage of open interest over the last 156 weeks and rank the latest value against them: 0 is the lowest of the 3 years, 100 the highest. The COT Index is a close cousin: it places the net position between the lowest and the highest of a window you choose.

The large speculators of each market: Managed Money in the Disaggregated report (commodities) and Leveraged Funds in the Traders in Financial Futures report (currencies, stock indices, interest rates), from the CFTC’s Futures Only data.

The speculators’ net position changed sign in the latest report: from net long to net short, or from net short to net long. It is a fact about what the group holds, not a view on the price. A change measured across a missing report is not counted.

No. The rank says where positioning sits against its own 3-year history; it says nothing about where a price goes. A market can stay in an extreme band for many weeks — the “In this band” column counts them.

At every CFTC Commitments of Traders release, once the analysis of the new report has run; the date at the top names the report you are reading. The release dates are on the CFTC release schedule.