Burginvest

Commitments of Traders (COT)

コミットメンツ・オブ・トレーダーズ(COT)レポート Data & Reporting ✓ Verified Citations Institutional / Regulatory Framework
<Definition> The Commitments of Traders (COT) report is a statistical release in which the U.S. Commodity Futures Trading Commission (CFTC) publishes, every week, a breakdown of open interest in futures and futures-options markets as of each Tuesday. It divides total market open interest into reportable positions, held by traders at or above the reporting levels, and nonreportable positions, which make up the remainder. For reportable positions, it further classifies traders by the nature of their business and shows the breakdown of long and short open interest, among other details, for each classification.[1][2]
日本語
<定義> コミットメンツ・オブ・トレーダーズ(COT)レポートとは、米商品先物取引委員会(CFTC)が、先物・先物オプション市場の毎週火曜日時点の建玉の内訳を、毎週公表する統計である。市場全体の取組高を、報告基準以上の建玉を持つトレーダーの報告対象ポジションと、それ以外の報告対象外ポジションに分けて示す。さらに報告対象ポジションについては、トレーダーを事業の性格に応じて分類し、分類ごとの買い建玉・売り建玉などの内訳を示す。[1][2]

<Mechanism>

How the COT Report Is ProducedFour stages in producing the COT report: (1) formation of open interest, (2) separation into reportable and nonreportable positions, (3) classification of traders into the four DCOT categories, and (4) aggregation of long, short, and spreading positions by category and publication.How the COT Report Is Produced(1) Formation of open interestTotal of outstanding futures and futures options(2) Reporting and separationReportable positionsTraders at or abovereporting levelsNonreportable positionsNumber andclassification unknown(3) Classification of tradersPredominant activity judged from Form 40, etc.Producer/Merchant/Processor/UserSwap DealerManaged MoneyOther Reportables(4) Aggregation and publicationLong, short, and spreading for each categoryTuesday data → generally published Friday of the same week

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