Discussion in Traders Hideout

May 23rd, 2016, 08:15 AM

Hi,

I'm seraching at CFTC for Commitments of Traders for Spread of Treasury Bonds for example FVM16-FVU16 5 YR US TREASURY NOTE JUN 16/SEP 16 CBOT SPREAD CBOT_GBX?

Do you know if there is such a thing as Commitment of Traders report, BUT only for one contract, or even a spread, NOT the whole market?

May 23rd, 2016, 09:04 AM

The COT contains the spread positions, but only if in the same instrument.
Your case would fall in that category.

Quoting

(from CME website)For the futures-only report, spreading measures the extent to which each non-commercial trader holds equal long and short futures positions. For the options-and-futures-combined report, spreading measures the extent to which each non-commercial trader holds equal combined-long and combined-short positions. For example, if a non-commercial trader in Eurodollar futures holds 2,000 long contracts and 1,500 short contracts, 500 contracts will appear in the "Long" category and 1,500 contracts will appear in the "Spreading" category. These figures do not include intermarket spreading, such as spreading Eurodollar futures against Treasury Note futures. Also see the "Old and Other Futures" section, below.