Futures and Options

Commitment of Traders Report

July 12, 2022

Introduction

Purpose

The Commitments of Traders Report presents a weekly breakdown of the positions of hedge funds in futures and options markets. As a general rule, changes in hedge fund positions are positively correlated with changes in commodity market prices. For example, when hedge funds buy futures, prices tend to go up; when hedge funds sell futures, prices tend to go down. The report tracks the positions of hedge funds to better understand market opportunity and risk.

Scope

Report data spans 55 exchange markets in the United States and the European Union.  The open interest data are fund commitments that exceed reporting limits and combine positions in both futures and options. Sources include the exchanges and the CFTC.

Metrics

Hedge fund activity is tracked using the following metrics:

• Long, Short and Net Positions: Weekly position or open interest data is broken down to show hedge fund buyers (long positions), hedge fund sellers (short positions) and the net hedge fund position by market.
• Position Changes: Weekly changes in long, short and net positions.
• Trend:  Changes to net positions by week for the last 12 weeks.
• Rank: The rank of the current net position over the last 10 years.  Scaled from 100 (largest position) to 0 (smallest position).
• Ratio: The ratio of fund long positions divided by short positions.

Benefit

Review market data used in our model portfolios while providing investors with quality content and insight for a better investment experience.

Data Summary

Complete the form below to download the full report and graphical summary.

Report Download

[wpforms id=”9378″ title=”false” description=”false”]

Looking to take the next step to discuss your investment and risk management needs? Schedule a meeting here.