Markets Science: COT Report Analysis – March 07, 2021

Analyzing the Commitments Of Traders report by looking at institutional & retail futures positions on the CME’s Bitcoin contracts. Posted every Friday on our website!

Market Participant Category Breakdown

Insights

• Total open interest for CME Bitcoin plummeted to the lowest levels seen in 2021, shedding over 2500 contracts.
• Levered funds experienced the most dramatic change
  • These traders closed both long and short positions
• Asset Managers are net short — this wasn’t seen through most of the recent bull run
• Other Reportable traders have virtually no short exposure, while owning over 25% of all long contracts outstanding

Net Positioning (Historical Context)

Insights

• Major market participants are Leveraged Funds, Other Reportable, and Non Reportable
• Leveraged Fund positioning is about as net-short as it has ever been
• Non-Reportable traders remain less bullish than their average historically
• Other Reportable positioning remains close to record net-long levels
• These conditions have exhibited a bullish statistical edge historically

Clustering Model

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

Appendix

Raw Data

	Open Interest	Dealer Longs	Dealer Shorts	Dealer Spreads	Asset Manager Longs	Asset Manager Shorts	Asset Manager Spreads	Leveraged Funds Longs	Leveraged Funds Shorts	Leveraged Funds Spreads	Other Reportable Longs	Other Reportable Shorts	Other Reportable Spreads	Total Reportable Longs	Total Reportable Shorts	Non Reportable Longs	Non Reportable Shorts
date
2018-04-10	1702	0	0	0	122	0	0	902	1108	25	53	207	1	1103	1341	599	361
2018-04-17	2029	0	0	0	122	0	0	1053	1313	42	130	332	0	1347	1687	682	342
2018-04-24	2380	0	0	0	105	0	0	1194	1682	46	198	336	8	1551	2072	829	308
2018-05-01	1991	0	0	0	0	0	0	1198	1348	27	177	283	0	1402	1658	589	333
2018-05-08	2485	0	0	0	0	0	0	1284	1707	20	391	368	0	1695	2095	790	390
2018-05-15	2505	0	0	0	0	29	0	1338	1657	26	337	366	0	1701	2078	804	427
2018-05-22	2684	0	0	0	0	29	0	1323	1872	50	462	327	0	1835	2278	849	406
2018-05-29	2714	0	0	0	38	25	0	1172	1812	55	486	416	3	1754	2311	960	403
2018-06-05	2556	0	0	0	47	29	0	1126	1845	27	540	305	0	1740	2206	816	350
2018-06-12	2643	29	0	0	0	108	0	1349	1634	19	427	440	0	1824	2201	819	442
2018-06-19	2633	29	0	0	52	59	0	1478	1414	111	159	590	0	1829	2174	804	459
2018-06-26	2687	29	0	0	0	111	0	1508	1505	137	171	515	3	1848	2271	839	416
2018-07-03	2514	0	0	0	44	84	0	1198	1639	42	438	366	6	1728	2137	786	377
2018-07-10	2622	0	0	0	0	119	0	1412	1652	102	396	368	11	1921	2252	701	370
2018-07-17	2854	0	0	0	25	89	0	1469	1990	68	493	332	15	2070	2494	784	360
2018-07-24	3431	30	0	0	44	164	6	1353	2313	174	868	392	25	2500	3074	931	357
2018-07-31	3063	0	0	0	0	209	9	1722	1969	258	259	340	0	2248	2785	815	278
2018-08-07	2732	0	0	0	0	143	23	1481	1454	293	135	470	0	1932	2383	800	349
2018-08-14	2983	0	0	0	0	215	8	2065	1766	67	138	521	0	2278	2577	705	406
2018-08-21	2981	0	0	0	0	191	13	2104	1838	68	85	515	0	2270	2625	711	356
2018-08-28	2840	0	0	0	67	170	13	1688	1745	53	160	529	0	1981	2510	859	330
2018-09-04	2707	0	0	0	99	140	8	1187	1657	17	576	532	0	1887	2354	820	353
2018-09-11	2711	0	0	0	0	199	10	1630	1322	198	116	727	14	1968	2470	743	241
2018-09-18	2742	0	0	0	0	140	10	1566	1382	203	90	654	15	1884	2404	858	338
2018-09-25	2746	0	1	35	0	131	18	1412	1420	277	213	539	2	1957	2423	789	323
2018-10-02	2354	0	40	0	26	125	4	1237	1342	19	327	566	0	1613	2096	741	258
2018-10-09	2848	0	76	0	0	121	0	1643	1656	24	395	606	0	2062	2483	786	365
2018-10-16	2730	0	76	0	54	108	0	1606	1620	64	302	556	0	2026	2424	704	306
2018-10-23	3001	0	76	0	0	161	0	1659	1400	466	211	531	0	2336	2634	665	367
2018-10-30	2608	0	0	0	0	238	0	1789	1511	82	184	451	0	2055	2282	553	326
2018-11-06	2913	0	0	0	72	108	0	1877	1965	0	299	552	0	2248	2625	665	288
2018-11-13	3530	31	0	0	0	250	0	2462	2353	1	399	619	0	2893	3223	637	307
2018-11-20	3729	0	0	0	0	166	0	2152	1912	586	315	672	13	3066	3349	663	380
2018-11-27	3791	0	0	0	0	238	0	2416	2089	367	261	674	13	3057	3381	734	410
2018-12-04	3301	0	0	0	34	123	0	2409	2317	64	195	465	14	2716	2983	585	318
2018-12-11	3970	0	0	0	27	256	0	2905	2699	117	159	545	11	3219	3628	751	342
2018-12-18	4359	0	0	0	138	110	0	3091	3213	152	178	605	0	3559	4080	800	279
2018-12-24	3857	0	0	0	101	140	0	2690	2577	173	160	673	13	3137	3576	720	281
2018-12-31	3708	49	0	1	80	140	0	2452	2389	222	105	674	4	2913	3430	795	278
2019-01-08	3764	0	0	0	165	140	0	2610	2648	68	201	602	0	3044	3458	720	306
2019-01-15	4473	0	1	80	27	337	0	3417	2923	125	110	608	8	3767	4082	706	391
2019-01-22	4976	0	1	100	27	344	0	3341	2863	706	111	610	8	4293	4632	683	344
2019-01-29	4047	0	97	0	30	360	0	2760	2572	336	227	347	5	3358	3717	689	330
2019-02-05	3881	0	97	0	32	291	0	2532	2429	373	245	354	4	3186	3548	695	333
2019-02-12	3361	0	97	11	134	205	15	1697	2090	232	510	462	0	2599	3112	762	249
2019-02-19	3964	0	97	27	170	165	52	1834	2259	268	704	761	51	3106	3680	858	284
2019-02-26	3324	0	124	0	54	283	27	1575	1885	105	739	624	0	2500	3048	824	276
2019-03-05	3226	0	124	0	33	228	27	1347	1812	138	823	559	0	2368	2888	858	338
2019-03-12	3480	0	124	0	97	195	40	1459	2257	187	751	343	104	2638	3250	842	230
2019-03-19	3681	0	124	0	156	177	0	1460	2528	129	767	285	166	2678	3409	1003	272
2019-03-26	3428	0	124	0	35	241	0	1238	2105	276	687	88	262	2498	3096	930	332
2019-04-02	4000	0	158	0	315	89	35	1517	2598	416	598	440	20	2901	3756	1099	244
2019-04-09	4443	0	158	0	244	80	3	1968	2714	350	634	804	68	3267	4177	1176	266
2019-04-16	4324	0	158	0	163	201	0	2272	2541	176	532	975	17	3160	4068	1164	256
2019-04-23	4313	0	158	0	245	132	4	2025	2458	152	501	1173	0	2927	4077	1386	236
2019-04-30	3817	0	123	0	254	72	35	1789	2375	63	458	942	0	2599	3610	1218	207
2019-05-07	4388	0	123	0	286	0	29	1941	2692	79	719	1216	0	3054	4139	1334	249
2019-05-14	4447	0	123	0	199	0	15	2289	2455	274	317	1218	0	3094	4085	1353	362
2019-05-21	4650	0	123	0	223	0	0	2354	2498	384	268	1251	0	3229	4256	1421	394
2019-05-28	5190	0	123	0	319	0	0	2709	2763	371	238	1577	0	3637	4834	1553	356
2019-06-04	4436	0	0	0	300	56	0	2321	2698	211	213	1043	0	3045	4008	1391	428
2019-06-11	4434	0	0	0	359	0	0	2073	3044	256	362	751	24	3074	4075	1360	359
2019-06-18	5391	0	0	0	354	0	0	2564	2911	491	482	1621	0	3891	5023	1500	368
2019-06-25	6021	0	0	0	310	0	25	3093	3246	366	490	1967	0	4284	5604	1737	417
2019-07-02	5839	36	0	0	188	146	30	3253	3326	162	605	1812	30	4304	5506	1535	333
2019-07-09	6075	57	0	0	249	109	15	3233	3730	136	625	1711	30	4345	5731	1730	344
2019-07-16	5322	39	0	0	211	151	0	2566	3394	120	506	1157	91	3533	4913	1789	409
2019-07-23	4928	40	0	0	102	111	53	2208	2799	59	682	1370	72	3216	4464	1712	464
2019-07-30	4302	60	0	0	251	147	0	1843	2288	6	533	1280	86	2779	3807	1523	495
2019-08-06	4692	0	0	0	260	224	0	1847	2264	35	713	1586	37	2892	4146	1800	546
2019-08-13	4729	0	50	0	222	224	0	2002	2480	20	647	1346	90	2981	4210	1748	519
2019-08-20	4485	0	50	0	266	224	5	1836	2209	13	463	1350	206	2789	4057	1696	428
2019-08-27	4091	0	50	0	237	222	0	1739	2093	13	309	1131	68	2366	3577	1725	514
2019-09-03	4493	31	50	0	324	163	0	1979	2467	36	421	1221	118	2909	4055	1584	438
2019-09-10	4128	31	50	0	244	190	0	1692	2233	142	480	951	111	2700	3677	1428	451
2019-09-17	4174	31	50	0	262	201	0	1688	2254	164	521	1093	55	2721	3817	1453	357
2019-09-24	4178	72	50	0	42	100	55	1651	2510	171	488	687	71	2550	3644	1628	534
2019-10-01	3348	59	0	0	70	31	30	1298	2063	42	374	572	65	1938	2803	1410	545
2019-10-08	3335	59	0	0	140	138	0	1211	2048	79	395	526	56	1940	2847	1395	488
2019-10-15	3444	59	0	0	210	149	1	1186	2031	154	370	511	46	2026	2892	1418	552
2019-10-22	3093	59	0	0	163	31	0	950	1714	148	321	518	68	1709	2479	1384	614
2019-10-29	3155	33	0	0	260	86	0	956	2016	103	569	445	49	1970	2699	1185	456
2019-11-05	3520	32	0	0	188	149	10	1221	2345	134	595	457	43	2223	3138	1297	382
2019-11-12	3091	32	0	0	99	143	10	912	2043	87	636	358	41	1817	2682	1274	409
2019-11-19	3157	38	0	0	67	292	0	1059	1914	84	466	334	41	1755	2665	1402	492
2019-11-26	3554	38	0	0	56	298	1	1155	1669	263	334	626	38	1885	2895	1669	659
2019-12-03	2983	131	0	0	93	256	11	894	1257	17	307	638	44	1497	2223	1486	760
2019-12-10	3232	131	0	0	56	285	1	1069	1766	109	310	396	12	1688	2569	1544	663
2019-12-17	3840	134	0	0	38	444	0	1578	2446	125	295	331	12	2182	3358	1658	482
2019-12-24	3541	137	0	0	133	283	1	1179	2256	100	276	514	25	1851	3179	1690	362
2019-12-31	3186	137	0	0	159	437	1	1037	1840	102	366	451	30	1832	2861	1354	325
2020-01-07	5400	66	42	0	338	331	0	2517	3661	238	464	786	20	3643	5078	1757	322
2020-01-14	5405	66	46	0	272	300	0	2688	3339	230	342	1043	33	3631	4991	1774	414
2020-01-21	5139	66	46	0	185	445	0	2304	3035	302	437	864	43	3337	4735	1802	404
2020-01-28	4917	66	46	0	391	438	0	1747	2907	253	419	765	74	2950	4483	1967	434
2020-02-04	4367	71	50	0	132	434	0	1436	3136	96	678	168	103	2516	3987	1851	380
2020-02-11	6106	76	50	0	367	148	0	2237	4553	244	924	533	146	3994	5674	2112	432
2020-02-18	6463	78	158	0	260	177	0	2452	5258	130	1576	181	145	4641	6049	1822	414
2020-02-25	5632	71	178	5	164	189	0	1774	4511	102	1741	38	182	4039	5205	1593	427
2020-03-03	4837	66	159	0	163	196	0	764	3454	208	1234	0	413	2848	4430	1989	407
2020-03-10	4368	65	41	0	115	362	0	1421	3002	181	783	25	313	2878	3924	1490	444
2020-03-17	4474	336	0	0	101	465	0	1869	2907	10	584	504	93	2993	3979	1481	495
2020-03-24	3909	36	0	0	125	297	0	1136	2291	76	969	550	64	2406	3278	1503	631
2020-03-31	3947	36	0	0	173	248	0	1489	2602	51	900	453	39	2688	3393	1259	554
2020-04-07	5448	36	0	0	221	204	0	2452	3652	272	671	934	31	3683	5093	1765	355
2020-04-14	5538	38	0	0	203	283	0	2260	3198	244	868	1394	22	3635	5141	1903	397
2020-04-21	5648	38	0	0	218	316	0	2394	3026	261	759	1600	5	3675	5208	1973	440
2020-04-28	6111	53	30	0	324	35	0	2024	3379	402	1233	1784	64	4100	5694	2011	417
2020-05-05	7784	48	160	0	316	0	1	3312	4269	557	1330	2302	149	5713	7438	2071	346
2020-05-12	9939	43	300	0	282	113	1	4923	6477	627	1389	2047	29	7294	9594	2645	345
2020-05-19	10878	41	342	0	342	193	10	5458	6815	593	1535	2576	3	7982	10532	2896	346
2020-05-26	8722	36	307	0	363	93	1	3880	4783	396	1755	2501	5	6436	8086	2286	636
2020-06-02	8824	36	394	80	423	214	0	3684	5752	139	1806	1706	59	6227	8344	2597	480
2020-06-09	9565	36	532	14	435	214	25	4203	6198	180	2175	1816	24	7092	9003	2473	562
2020-06-16	8784	31	495	0	406	294	15	3776	5710	176	2169	1447	18	6591	8155	2193	629
2020-06-23	9330	31	493	1	642	297	26	3847	6230	335	2120	1417	20	7022	8819	2308	511
2020-06-30	7675	0	493	0	362	80	30	3079	5332	74	2255	1017	1	5801	7027	1874	648
2020-07-07	8165	0	523	0	626	203	30	3262	5731	54	2132	1048	1	6105	7590	2060	575
2020-07-14	8322	0	533	0	444	255	30	3573	5460	71	2306	1385	2	6426	7736	1896	586
2020-07-21	9230	0	533	0	485	278	30	4122	6062	98	2217	1651	1	6953	8653	2277	577
2020-07-28	13068	0	580	2	646	684	20	5982	7942	174	2292	2847	267	9383	12516	3685	552
2020-08-04	12703	0	580	0	451	584	15	6312	7702	276	2131	3106	4	9189	12267	3514	436
2020-08-11	13090	0	580	0	206	495	156	6444	7785	373	1943	2677	540	9662	12606	3428	484
2020-08-18	14454	0	580	0	296	585	214	5760	8590	384	2776	2427	1139	10569	13919	3885	535
2020-08-25	11615	0	580	0	296	1	24	4839	6148	549	1957	2345	753	8418	10400	3197	1215
2020-09-01	10617	0	540	0	745	182	82	4271	6842	287	1947	1775	470	7802	10178	2815	439
2020-09-08	8198	0	229	0	256	35	108	2758	4661	401	1729	2028	222	5474	7684	2724	514
2020-09-15	9383	0	0	0	717	12	70	2819	5224	388	1653	2766	321	5968	8781	3415	602
2020-09-22	8426	0	0	0	285	12	45	2280	4480	874	1580	2062	356	5420	7829	3006	597
2020-09-29	7324	0	0	0	525	28	49	2004	4730	292	1590	1482	215	4675	6796	2649	528
2020-10-06	7511	0	0	0	703	64	49	2153	4854	159	1604	1747	147	4815	7020	2696	491
2020-10-13	9353	0	0	0	702	0	0	3487	6314	307	1713	2063	183	6392	8867	2961	486
2020-10-20	10896	0	0	0	874	0	0	4558	7741	304	1926	2320	162	7824	10527	3072	369
2020-10-27	12665	0	285	0	770	0	0	5462	9010	275	2579	2578	39	9125	12187	3540	478
2020-11-03	11278	0	661	0	800	0	0	4379	8007	101	2539	2030	54	7873	10853	3405	425
2020-11-10	11311	0	732	0	832	7	33	5097	7881	130	2250	1803	130	8472	10716	2839	595
2020-11-17	11509	0	732	0	845	4	26	5305	8097	207	1933	1663	83	8399	10812	3110	697
2020-11-24	12336	0	643	0	668	0	0	5441	9864	408	2381	300	334	9232	11549	3104	787
2020-12-01	11812	28	643	0	626	0	0	4509	9375	344	2442	460	529	8478	11351	3334	461
2020-12-08	11750	316	643	0	544	11	19	4365	9354	493	2063	177	547	8347	11244	3403	506
2020-12-15	11370	437	618	0	492	26	14	3946	8702	625	2027	84	695	8236	10764	3134	606
2020-12-21	12603	525	618	0	573	30	10	4357	10320	172	2418	120	670	8725	11940	3878	663
2020-12-29	10653	504	628	0	620	32	8	3679	8466	60	2123	245	494	7488	9933	3165	720
2021-01-05	11296	436	663	0	793	32	3	3544	9058	129	2672	261	376	7953	10522	3343	774
2021-01-12	12039	324	754	0	733	0	5	4107	9602	212	2522	373	460	8363	11406	3676	633
2021-01-19	11945	413	709	0	639	123	10	3911	9119	275	2879	674	289	8416	11199	3529	746
2021-01-26	10787	428	605	42	308	225	13	3605	7991	453	2424	364	338	7611	10031	3176	756
2021-02-02	9469	422	446	97	308	357	20	3031	7224	456	2008	161	57	6399	8818	3070	651
2021-02-09	11055	387	564	89	348	265	26	3149	8481	665	2822	64	146	7632	10300	3423	755
2021-02-16	11426	368	564	61	338	339	9	3301	8750	660	3030	132	151	7918	10666	3508	760
2021-02-23	10572	332	464	62	314	551	0	2633	7639	608	3650	259	81	7680	9664	2892	908
2021-03-02	8068	376	137	42	323	643	0	1757	5563	572	2419	168	114	5603	7239	2465	829