CFTC Commitments of Traders data

The legacy COT reports divide reportable traders into the two broad categories of “commercial”
and “non-commercial.” 

The “commercial” trader category has always included producers,merchants, processors and users of the physical commodity who manage their business risks by hedging. It has also included swap dealers that may have incurred a risk in the over-the-counter (OTC) market and then offset that risk in the futures markets, regardless of whether their OTC counterparty was a commercial trader or a speculator. Those two categories of what has been reported as “commercial” traders are separately reported in the Disaggregated COT.

The “non-commercial” category of the legacy COT included professional money managers (CTAs,
CPOs, and hedge funds) as well as a wide array of other non-commercial (speculative) traders.
These two categories of what has been reported as “non-commercial” traders are separately
reported as “money managers” and “other reportables” in the Disaggregated COT.

Here is a picture showing the disaggregated data and the legacy name:

Commitments of Traders Historical Data Compressed page
(see below for image on where it is on the page)

1. Excel for Futures (Disaggregated Futures-and-Options Combined Reports)
2. Excel for Financial Futures (e.g., E-mini, Dow, Nasdaq, Russell) (Traders in Financial Futures ; Futures-and-Options Combined Reports)

The data file is can be overwhelming.
Here is the link to Explanation of Disaggregated Data

Listing of fields for historical data includes table comparison of all

For the historical the data columns that we want to examine will be:#8 ; #14;#15;#17;#18;#62;#63;#65:#66

1 Market_and_Exchange_Names

2 As_of_Date_In_Form_YYMMDD

3 As_of_Date_Form_MM/DD/YYYY

4 CFTC_Contract_Market_Code

5 CFTC_Market_Code

6 CFTC_Region_Code

7 CFTC_Commodity_Code

8 Open_Interest_All (Column H)

9 Prod_Merc_Positions_Long_All

10 Prod_Merc_Positions_Short_All

11 Swap_Positions_Long_All

12 Swap__Positions_Short_All

13 Swap__Positions_Spread_All

14 M_Money_Positions_Long_All (column N)

15 M_Money_Positions_Short_All (column O)

16 M_Money_Positions_Spread_All

17 Other_Rept_Positions_Long_All (column Q)

18 Other_Rept_Positions_Short_All (column R)

19 Other_Rept_Positions_Spread_All

20 Tot_Rept_Positions_Long_All

21 Tot_Rept_Positions_Short_All

22 NonRept_Positions_Long_All

23 NonRept_Positions_Short_All

24 Open_Interest_Old

62 Change_in_M_Money_Long_All [COLUMN: BJ]

63 Change_in_M_Money_Short_All [COLUMN: BK]

65 Change_in_Other_Rept_Long_All [COLUMN: BM]

66 Change_in_Other_Rept_Short_All [COLUMN: BN]

Using the data I created a pivot table and filtering by product and selected the columns of interest and created plots.
Only analysis and plots are done, we can begin to analyze and interpret the data.

This charting shows that the short ratio (Professional versus dumb money) is at 2. Remember from an earlier post 3-12: How to use the CFTC COT report I discussed some ways to analysis the data.

If you are interested in obtaining the excel files, I'm sharing it.
Futures file (e.g., energy) This is a large file about 17.1MB
Futures file for financials File is smaller 1.53MB

As of today's writing on 3-14-2015, this is telling us that Crude is likely to go lower. How low can it go? For that I will use technical analysis and pivot point analysis. Crude has a monthly support at 38.86. Crude could get to 38-40 dollar level below the low made in January.

Here are some general guidelines for interpreting the COT data to follow:

• If noncommercials are net long, commercials are net long, and the nonreportable positions are net short by at least a two-to-one margin, look at buying opportunities. In other words, go with the professional speculators and the commercials. They typically know more than the average small speculator as a whole. (If nononcommercials Commercials are long, while nonreportable are short by 2:1 then consider buying)
• If noncommercials are net short, commercials are net short, and the nonreportable positions are net long by at least a two-to-one margin, look at selling opportunities.(If noncommcials & Commericals are short, while nonreportable are longby 2:1 then consider selling)
• If noncommercials are net long, commercials are net short, and the nonreportable positions are neutral, meaning not heavily net long or short, look at selling opportunities. Stick with the in-the-know smart money—the commercials. After all, not all speculative professional hedge funds are always right either