The majority of the information can be found on the CFTC website, read the description of the various participants and their specific roles, and then ask your questions if you have any. As a general idea, the COT reports the net positions of the market participants and that can help you predict the medium-term trend direction.
I've really only studied the Gold disaggregated full report, so I'm unsure if what I've learned of the COT report is transferable to other commodity reports. I suspect all the reports are similar, but I don't know for sure. So caveat emptor. .
Most of the time the COT report information is a little bit stale on delivery. It's reported on Friday but contains the activity of market participants from Tuesday to Tuesday (starting two tuesday's ago up to the most recent tuesday). The disaggregated report categorizes the market participants into four different buckets: Producers, Swap Dealers, Managed Money, Other Reportables, and Non-Reportables.
Although the COT information does tend to be a little stale, I've found that it can still sometimes provide a nice little glimpse into the order book. About 6 weeks ago the gold report showed that the Swap Dealers had a huge short position when compared to what I considered normal (historically). Over the next few weeks gold declined and the reports during this time period were showing that the Swap Dealers were buying back shorts the whole way. But they weren't crossing the spread to do it. They just sat on the bid and bought back their shorts. Rally's didn't really go very far because more liquidity was being provided only as the market went lower. And the Managed Money guys seemed happy to keep smashing bids on the way down. The order flow seemed to have become somewhat mechanical because of the shear size of the positions that were held at the time. The COT information sort of advertised the fact that some huge positions were going to get un-wound one way or another.
Some of the other COT background information I've found: The producers are hedging their inherent longs, the Swap Dealers use the futures market to hedge their swaps books and are more likely to be passive. (Swap Dealers may not always be passive though, they are vulnerable to risks outside of their hedge trade.) The managed money guys seem to always be more motivated and are willing to cross the spread. I'm even less clear about the Other Reportables and Non-Reportables. They might be more of a mixed bag in terms of their order flow.
Here is today's report:
Kind of a stale report, but it looks like the managed money guys were covering shorts, which is consistent with the price action on HTF charts.
That's about all I think I know about the COT reports. Hope this helps, or at least starts a discussion. .
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Here is the COT report in graph form from Quandle. There's Dealers, Asset Managers, Leveraged Funds and Other Reportables. Are Dealers the Market Makers, Leveraged Funds are Hedge funds maybe? Would Asset Managers be like Goldman Sachs and the such? Since Mutual Funds are typically near fully invested at all times they probably aren't part of any group?
Looking like Asset Managers are liquidating and Dealers are accumulating, what does this actually mean, if anything?
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