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Understanding cot report properly?


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Understanding cot report properly?

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  #1 (permalink)
fxSOL
Belgrade Serbia
 
 
Posts: 49 since Mar 2020
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New to cot report in general and I am puzzled of the long and short when it comes to currency futures.
For example the newest data on the British Pound Futures looks like this -

BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE Code-096742
FUTURES ONLY POSITIONS AS OF 06/16/20 |
--------------------------------------------------------------| NONREPORTABLE
NON-COMMERCIAL | COMMERCIAL | TOTAL | POSITIONS
--------------------------|-----------------|-----------------|-----------------
LONG | SHORT |SPREADS | LONG | SHORT | LONG | SHORT | LONG | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF GBP 62,500) OPEN INTEREST: 166,808
COMMITMENTS
29,378 45,376 4,585 116,810 87,746 150,773 137,707 16,035 29,101


Now to the million dollar question - is this Long and Short for British Pound? Or is it against the USD?

gbpusd - SHORT or gbpusd LONG?

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  #2 (permalink)
 Tiffsgreta 
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You might try this webinar on (Barchart.com, a very useful sight in general) about understanding the COT. I was just published a couple of days ago and might be one way of answering your question, or maybe even questions you haven't thought of
Hope this helps!
Greta

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  #3 (permalink)
 dyst 
Singapore
 
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Depends on your trading style and time frame. Generally COT report is more suited for positional traders (those trading Daily, Weekly, Monthly charts) and tbh I used to spend a lot of time on that but never found any 'edge' in those.

Problem is overbought can get more overbought, and oversold more oversold before it reverses sharply but is your account able to take it? You also won't know if those institutions are holding naked long or short positions in there, without being hedged in other derivatives (cross pair or options)

Also, most of forex trading are done OTC via the big banks (spot price), and not via futures so I never found the futures data beneficial to trade GBPUSD since futures is actually a small % of the actual gbpusd moving daily. OTC means no centralized exchange, thus each liquidity provider is free to set their own quotes as long there are willing participants which makes forex so complicated. (and why IB, LMAX , Bloomberg etc had different quotes for CHF during SNB Black Swan event)




fxSOL View Post
New to cot report in general and I am puzzled of the long and short when it comes to currency futures.
For example the newest data on the British Pound Futures looks like this -

BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE Code-096742
FUTURES ONLY POSITIONS AS OF 06/16/20 |
--------------------------------------------------------------| NONREPORTABLE
NON-COMMERCIAL | COMMERCIAL | TOTAL | POSITIONS
--------------------------|-----------------|-----------------|-----------------
LONG | SHORT |SPREADS | LONG | SHORT | LONG | SHORT | LONG | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF GBP 62,500) OPEN INTEREST: 166,808
COMMITMENTS
29,378 45,376 4,585 116,810 87,746 150,773 137,707 16,035 29,101


Now to the million dollar question - is this Long and Short for British Pound? Or is it against the USD?

gbpusd - SHORT or gbpusd LONG?


Numbers work... Magic lies in the numbers
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  #4 (permalink)
 Schnook 
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fxSOL View Post
Now to the million dollar question - is this Long and Short for British Pound? Or is it against the USD?

gbpusd - SHORT or gbpusd LONG?

COT data shows longs and shorts for the referenced contract. The referenced GBP contract is a long pound sterling position. So longs are long and shorts are short.

edited to add I also agree with @dyst regarding the limited value of COT data for fx. That's not to say it's useless, just that it's a smaller piece of a larger puzzle. Personally I find COT data much more valuable for the non-financial instruments.

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  #5 (permalink)
 dyst 
Singapore
 
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Agree with you @Schnook WTI Crude oil (CL) at least goes through NYMEX centralized exchange. Much more volume in the futures contract there compared to spot (which goes through LMAX for example) thus the data is representative since it has higher market participation.

Tbh I do find COT useless for trading forex... back in 2014-2016 I used to follow a few gurus who claimed they can tell positioning. They got the small ones right, but the big ones wrong most went MIA and that was when I learnt it has no predictive value... even the guys telling me about COT last year got their predictions for SP500 wrong...

@fxSOL when you look at the latest COT https://www.cftc.gov/dea/futures/deacmesf.htm for GBP you see there is OI (Open Interest) 170,455 which means there are 170,455 open positions there (matching number of buyers and sellers). Quick glance will tell you big institutions hold 88.8% of the longs and 83.4% of the shorts within the OI. This just means the smaller traders are slightly more bearish on GBP than the big guys are on GBP futures.

But then again, most of GBP volume is OTC via spot forex so the futures data is not really representative.




Schnook View Post
COT data shows longs and shorts for the referenced contract. The referenced GBP contract is a long pound sterling position. So longs are long and shorts are short.

edited to add I also agree with @dyst regarding the limited value of COT data for fx. That's not to say it's useless, just that it's a smaller piece of a larger puzzle. Personally I find COT data much more valuable for the non-financial instruments.


Numbers work... Magic lies in the numbers
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  #6 (permalink)
fxSOL
Belgrade Serbia
 
 
Posts: 49 since Mar 2020
Thanks: 30 given, 16 received


dyst View Post
Depends on your trading style and time frame. Generally COT report is more suited for positional traders (those trading Daily, Weekly, Monthly charts) and tbh I used to spend a lot of time on that but never found any 'edge' in those.

Problem is overbought can get more overbought, and oversold more oversold before it reverses sharply but is your account able to take it? You also won't know if those institutions are holding naked long or short positions in there, without being hedged in other derivatives (cross pair or options)

Also, most of forex trading are done OTC via the big banks (spot price), and not via futures so I never found the futures data beneficial to trade GBPUSD since futures is actually a small % of the actual gbpusd moving daily. OTC means no centralized exchange, thus each liquidity provider is free to set their own quotes as long there are willing participants which makes forex so complicated. (and why IB, LMAX , Bloomberg etc had different quotes for CHF during SNB Black Swan event)

Sorry for my late reply - have been occupied during this crazy pandemic times. Have been watching cot data for a while trying to decrypt it. To me its useful, to know who is pulling and where, who is adding who is dumping...kind of important if you are into supply and demand. Problem is that if you look only at the cot report you will be fooled - need to take account of other parameters and it was here that I made a big big mistake.
And everything is connected, even though forex is over the counter. =)

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 KeiserAlex 
Oslo Norway
 
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fxSOL View Post
Sorry for my late reply - have been occupied during this crazy pandemic times. Have been watching cot data for a while trying to decrypt it. To me its useful, to know who is pulling and where, who is adding who is dumping...kind of important if you are into supply and demand. Problem is that if you look only at the cot report you will be fooled - need to take account of other parameters and it was here that I made a big big mistake.
And everything is connected, even though forex is over the counter. =)


Did you end up finding it useful? I'm looking for a way to use COT to measure intraday bias but I'm not sure if it's possible given the 3 day lag.. Still using it today?

Thanks

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