NOTE ON ABBREVIATIONS:
"COT" refers to the Futures Only
Commitments Report
"OPT" refers to Futures + Options
"CIT" refers to the COT-Supplemental
report that contains "Commodity Index Trader" data.
Frequently Asked Questions
How large are large trader's
positions?
The reporting threshold for large traders (speculators or
hedgers) varies by market. In T-bonds, large traders must
report positions exceeding 1,500 contracts. At par (100-00),
this position would be valued at $150 million. Obviously,
these are large traders in every sense of the word. A complete
list of reporting levels is available at:
http://www.cftc.gov/dea/dearlevel2.htm
Do you
include the E-mini contracts in your COT analysis?
Yes, we do give
weight to various mini contracts in formulating our forecasts,
but there are differences: Each standard S&P 500 futures contract is sized at $250
time the index. If the S&P is trading at 900.00, this means that each contract is valued at $225,000. The large trader reporting level for the
full-size S&P 500 futures contract is 1,000 contracts, meaning
that the minimum holding of a large commercial hedger is $225
million. Compare this to a mini contract holder, where the
contract multiplier is $50 and the reporting level is 300
contracts. Here, holdings of just $13.5 million
qualifies as a "large commercial hedger," but these would be
included in the "small trader" category if they were trading
the full-sized contract. Obviously, at just 6% of the position
size, the mini commercial is a different animal than the commercial who is trading full-sized
contracts. Because of the short history of E-mini commitments data, it is too early to
make firm evaluations of the usefulness of this analysis.
Meanwhile, the full-sized S&P 500 contract, which enjoys the
longest history, continues to provide extremely timely trading
advice.
