Commitment of Traders Data Analysis- Part 2

[Zack Zarr 5]

Commitment of Traders Data Analysis- Traders in Financial Futures (TFF) Report

 

A snapshot of the techniques I implement for analyzing the COT reports was demonstrated in my previous post. This current post is a continuation of the same technique expanded to the new reporting format, the Traders in Financial Futures (TFF).

 

Again, I use a similar excel template developed through the years to make sense of the changes in positions of the big institutional traders every week. I consider these reports the only source of data available to forex traders beside the price action. The main difference between the legacy (traditional) and TFF (new) format is the addition of subcategories in the reports. This was done with the aim of further transparency to the public regarding the position reporting. Many argue that the new changes did not add much if not further complicated things. I actually find both reports useful and sometimes complimentary to each other when doing my analysis.

 

There are two type reports with the new format, one belongs to the currencies and the other is related to the commodities such as gold and oil. Figure below shows an example of my data analysis template for the EUR futures based on the TFF format.

 

 

These new formats identify the role of each institution in terms of acting in the sell side or buy side of the market. I have covered the sell vs buy side topic in a prior post. In these tables, I am looking mostly at the buy side, which includes the investment entities speculating on the futures of the instrument being currency or commodity. For the currencies, these include two groups of asset managers and leveraged funds. By comparing the sizing of the positions for each group, we can see who is the bigger player on each currency and has the control. In some cases, both groups have comparable sizes and equally contribute to the direction of the market.

 

I have the open interest also included in these tables just to gage the interest in the market towards each instrument. Open interest increasing near some level means there is new contracts are being opened during that week.

 

For the case of EUR, as you can see the asset managers are clearly the bigger player between the two during the past years. In fact, the shading of the long and short positions of the asset managers clearly shows they have never been this interested in EUR over the past 10 years.

 

The commodities including gold and oil are reported for slightly different subcategories. This is shown in figure below.

 

 

For gold and oil, the sell side consists of producers and swap dealers. On the other hand, the buy size includes the money managers as well as other reportable. I am mostly interested in the buy side traders. In the case of gold these days, you can see that the money managers have the larger sizing.

 

When I started using the TFF data in my analysis, the analysis became even more time consuming. So I decided to implement some graphical representation of these datasets in my routine analysis. It was the right decision and I will expand on this topic in the next post. Nevertheless, the raw data in these tables is still what I look at every week regardless of how much time I have to spend. After all, trading is or must be considered a full-time job in my opinion.

 

If you need further information or want to clarify something, please do not hesitate to drop me a message at [email protected]

 

Zack