Markets Science: COT Report Analysis – September 4, 2020

Commitments Of Traders report by analyzing institutional & retail futures positions on the CME. Posted every Friday on our website!

Market Participant Category Breakdown

Insights

  • CME Open Interest continued the correction it started last week, shedding another 1000 contracts this week
  • Asset Managers long positioning increased noticeably this week, as did Leveraged Funds shorts
  • Non Reportable short positioning declined somewhat
Total CME Open Interest
Positioning Percentage by Category

Net Positioning (Historical Context)

Insights

  • Major market participants are Leveraged Funds, Other Reportable, and Non Reportable
  • Leveraged Fund dove into its most net-short quartile
  • Non-Reportable bounced back above its historical median
  • Other Reportable long positioning increased slightly, still sitting in the 3rd quartile
  • These conditions have exhibited a mildly bullish (Sharpe < 1) edge historically
Net Positioning
Historical Performance by Positioning

Clustering Model

Here, we apply a simple clustering algorithm to identrify possible regimes by positioning among large CME futures market participants.

CME Clustering algorithm

Appendix

Current Net Positioning

Raw Data

Open InterestDealer LongsDealer ShortsDealer SpreadsAsset Manager LongsAsset Manager ShortsAsset Manager SpreadsLeveraged Funds LongsLeveraged Funds ShortsLeveraged Funds SpreadsOther Reportable LongsOther Reportable ShortsOther Reportable SpreadsTotal Reportable LongsTotal Reportable ShortsNon Reportable LongsNon Reportable Shorts
date
2018-04-1017020001220090211082553207111031341599361
2018-04-172029000122001053131342130332013471687682342
2018-04-242380000105001194168246198336815512072829308
2018-05-0119910000001198134827177283014021658589333
2018-05-0824850000001284170720391368016952095790390
2018-05-15250500002901338165726337366017012078804427
2018-05-22268400002901323187250462327018352278849406
2018-05-292714000382501172181255486416317542311960403
2018-06-052556000472901126184527540305017402206816350
2018-06-1226432900010801349163419427440018242201819442
2018-06-19263329005259014781414111159590018292174804459
2018-06-26268729000111015081505137171515318482271839416
2018-07-032514000448401198163942438366617282137786377
2018-07-10262200001190141216521023963681119212252701370
2018-07-1728540002589014691990684933321520702494784360
2018-07-2434313000441646135323131748683922525003074931357
2018-07-3130630000209917221969258259340022482785815278
2018-08-07273200001432314811454293135470019322383800349
2018-08-142983000021582065176667138521022782577705406
2018-08-212981000019113210418386885515022702625711356
2018-08-28284000067170131688174553160529019812510859330
2018-09-0427070009914081187165717576532018872354820353
2018-09-112711000019910163013221981167271419682470743241
2018-09-18274200001401015661382203906541518842404858338
2018-09-252746013501311814121420277213539219572423789323
2018-10-02235404002612541237134219327566016132096741258
2018-10-0928480760012101643165624395606020622483786365
2018-10-16273007605410801606162064302556020262424704306
2018-10-23300107600161016591400466211531023362634665367
2018-10-302608000023801789151182184451020552282553326
2018-11-062913000721080187719650299552022482625665288
2018-11-133530310002500246223531399619028933223637307
2018-11-20372900001660215219125863156721330663349663380
2018-11-27379100002380241620893672616741330573381734410
2018-12-04330100034123024092317641954651427162983585318
2018-12-113970000272560290526991171595451132193628751342
2018-12-184359000138110030913213152178605035594080800279
2018-12-2438570001011400269025771731606731331373576720281
2018-12-313708490180140024522389222105674429133430795278
2019-01-08376400016514002610264868201602030443458720306
2019-01-154473018027337034172923125110608837674082706391
2019-01-2249760110027344033412863706111610842934632683344
2019-01-294047097030360027602572336227347533583717689330
2019-02-053881097032291025322429373245354431863548695333
2019-02-123361097111342051516972090232510462025993112762249
2019-02-1939640972717016552183422592687047615131063680858284
2019-02-26332401240542832715751885105739624025003048824276
2019-03-05322601240332282713471812138823559023682888858338
2019-03-1234800124097195401459225718775134310426383250842230
2019-03-19368101240156177014602528129767285166267834091003272
2019-03-26342801240352410123821052766878826224983096930332
2019-04-0240000158031589351517259841659844020290137561099244
2019-04-094443015802448031968271435063480468326741771176266
2019-04-1643240158016320102272254117653297517316040681164256
2019-04-2343130158024513242025245815250111730292740771386236
2019-04-30381701230254723517892375634589420259936101218207
2019-05-07438801230286029194126927971912160305441391334249
2019-05-144447012301990152289245527431712180309440851353362
2019-05-21465001230223002354249838426812510322942561421394
2019-05-28519001230319002709276337123815770363748341553356
2019-06-0444360003005602321269821121310430304540081391428
2019-06-114434000359002073304425636275124307440751360359
2019-06-185391000354002564291149148216210389150231500368
2019-06-2560210003100253093324636649019670428456041737417
2019-07-02583936001881463032533326162605181230430455061535333
2019-07-09607557002491091532333730136625171130434557311730344
2019-07-1653223900211151025663394120506115791353349131789409
2019-07-2349284000102111532208279959682137072321644641712464
2019-07-30430260002511470184322886533128086277938071523495
2019-08-06469200026022401847226435713158637289241461800546
2019-08-134729050022222402002248020647134690298142101748519
2019-08-2044850500266224518362209134631350206278940571696428
2019-08-274091050023722201739209313309113168236635771725514
2019-09-03449331500324163019792467364211221118290940551584438
2019-09-10412831500244190016922233142480951111270036771428451
2019-09-17417431500262201016882254164521109355272138171453357
2019-09-2441787250042100551651251017148868771255036441628534
2019-10-0133485900703130129820634237457265193828031410545
2019-10-08333559001401380121120487939552656194028471395488
2019-10-153444590021014911186203115437051146202628921418552
2019-10-2230935900163310950171414832151868170924791384614
2019-10-2931553300260860956201610356944549197026991185456
2019-11-0535203200188149101221234513459545743222331381297382
2019-11-1230913200991431091220438763635841181726821274409
2019-11-1931573800672920105919148446633441175526651402492
2019-11-26355438005629811155166926333462638188528951669659
2019-12-03298313100932561189412571730763844149722231486760
2019-12-103232131005628511069176610931039612168825691544663
2019-12-173840134003844401578244612529533112218233581658482
2019-12-2435411370013328311179225610027651425185131791690362
2019-12-3131861370015943711037184010236645130183228611354325
2020-01-0754006642033833102517366123846478620364350781757322
2020-01-14540566460272300026883339230342104333363149911774414
2020-01-2151396646018544502304303530243786443333747351802404
2020-01-2849176646039143801747290725341976574295044831967434
2020-02-0443677150013243401436313696678168103251639871851380
2020-02-11610676500367148022374553244924533146399456742112432
2020-02-1864637815802601770245252581301576181145464160491822414
2020-02-255632711785164189017744511102174138182403952051593427
2020-03-0348376615901631960764345420812340413284844301989407
2020-03-1043686541011536201421300218178325313287839241490444
2020-03-174474336001014650186929071058450493299339791481495
2020-03-24390936001252970113622917696955064240632781503631
2020-03-31394736001732480148926025190045339268833931259554
2020-04-075448360022120402452365227267193431368350931765355
2020-04-1455383800203283022603198244868139422363551411903397
2020-04-215648380021831602394302626175916005367552081973440
2020-04-28611153300324350202433794021233178464410056942011417
2020-05-057784481600316013312426955713302302149571374382071346
2020-05-1299394330002821131492364776271389204729729495942645345
2020-05-191087841342034219310545868155931535257637982105322896346
2020-05-26872236307036393138804783396175525015643680862286636
2020-06-02882436394804232140368457521391806170659622783442597480
2020-06-099565365321443521425420361981802175181624709290032473562
2020-06-16878431495040629415377657101762169144718659181552193629
2020-06-23933031493164229726384762303352120141720702288192308511
2020-06-3076750493036280303079533274225510171580170271874648
2020-07-07816505230626203303262573154213210481610575902060575
2020-07-14832205330444255303573546071230613852642677361896586
2020-07-21923005330485278304122606298221716511695386532277577
2020-07-2813068058026466842059827942174229228472679383125163685552
2020-08-04127030580045158415631277022762131310649189122673514436
2020-08-11130900580020649515664447785373194326775409662126063428484
2020-08-1814454058002965852145760859038427762427113910569139193885535
2020-08-251161505800296124483961485491957234575384181040031971215
2020-09-0110617054007451828242716842287194717754707802101782815439

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