The Commitments of Traders (COT Report) has several key terms you need to understand before you can read the report. The key terms are, Open Interest, Reportable Positions, Commercial and Non-commercial Traders, Non-reportable Positions, Spreading, Changes in Commitments from Previous Reports, Percent of Open Interest, Number of Traders, Old and Other Futures, Concentration Ratios, and Supplemental Report.
Open interest is the total of all futures and/or option contracts entered into and not yet offset by a transaction, by delivery, or by exercise, etc.
As reported to the Commodity Futures Trading Commission and as used in the COT report, Open interest does not include open futures contracts against which notices of deliveries have been stopped by a trader or issued by the clearing organization of an exchange.
The aggregate of all long open interest is equal to the aggregate of all short open interest.Open interest held or controlled by a trader is referred to as that trader’s position.
For the COT Futures & Options Combined report, option open interest and traders’ option positions are computed on a futures-equivalent basis using delta factors supplied by the exchanges.
Open interest, either Long-call or short-put is converted to a long futures-equivalent open interest.
Likewise, short-call and long-put open interest are converted to short futures-equivalent open interest.
For example, a trader holding a long put position of 500 contracts with a delta factor of 0.50 is considered to be holding a short futures-equivalent position of 250 contracts.
A trader’s long and short futures-equivalent positions are added to the trader’s long and short futures positions to give “combined-long” and “combined-short” positions.
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