Traders in Financial Futures (TFF) — Simplified

The Traders in Financial Futures (TFF) COT Report is a weekly CFTC publication that breaks reportable traders in financial markets into four categories: Dealer/Intermediary (large institutional market-makers), Asset Manager/Institutional (pension funds, mutual funds, insurance), Leveraged Funds (hedge funds, CTAs), and Other Reportables (institutional positions not classified elsewhere). It is the financial-futures analogue of the Disaggregated report used for commodities.

The CFTC releases the TFF COT report every Friday at 3:30 PM Eastern Time, reflecting positions as of the previous Tuesday's close. When a US federal holiday falls on the Wednesday, Thursday or Friday of that week, the release moves to the next business day, usually the following Monday — a Monday holiday such as Labor Day does not delay it.

Leveraged Funds are hedge funds, commodity trading advisors (CTAs), and other speculative money managers that take directional positions on financial markets. This category is widely used as a proxy for speculative sentiment in currencies and treasuries — e.g. a large net long position in EUR/USD futures by Leveraged Funds signals bullish conviction on the euro.

Asset Manager/Institutional traders are pension funds, endowments, insurance companies, and mutual funds that typically hold longer-term positions for asset allocation or portfolio hedging. Unlike Leveraged Funds, they are less sensitive to short-term market moves and their positioning reflects strategic allocation decisions.

The TFF report covers financial futures markets including currencies (EUR, GBP, JPY, AUD, CAD, CHF, NZD), U.S. Treasuries (2Y, 5Y, 10Y, 30Y bonds and notes), equity indices (S&P 500, Nasdaq 100, Dow Jones, Russell 2000, VIX), and other financial contracts. Physical commodity futures (grains, metals, energies) use the Disaggregated format instead.

When you switch the Group Reports filter from Individual to Bi-Weekly, Monthly, Quarterly, Half-Year or Yearly, the underlying weekly CFTC reports are combined as follows. Snapshot columns (Long, Short, Spreading, Open Interest) are averaged across the period — a monthly row shows the average position across the 4-5 weeks that fall inside that month. Flow columns (Change Long, Change Short, Change OI) are summed, because they represent weekly deltas and the period total is the cumulative flow. NET % CHANGE uses an endpoint formula: it compares the net position in the last week of the period to the net position in the first week, expressed as a percentage. The small ×N chip on the DATE cell shows exactly how many weekly reports were aggregated into that row.