Die Zukunft des COT Reports der CFTC
CFTC Will Fix, Not End, Trader Reports, Citing Record Comments
Aug. 18 (Bloomberg) -- The Commodity Futures Trading Commission will improve, rather than eliminate, weekly reports on traders' holdings in the $3.2 trillion-a-day U.S. futures markets after getting a record number of letters urging continuation. Tvdor Investment Corp., a hedge fund that manages $14.5 billion, is among more than 4,400 traders that responded to the commission's June 21 call for comments on a plan to change or eliminate the Commitments of Traders reports. The largest number of comments the CFTC had ever received on any matter was 465. The comment period ends Aug. 21. The reports gauge demand for assets such as gold and sugar by "commercial'' users such as producers, and "non- commercial,'' or speculative, traders such as hedge funds. Changes in trading practices since the data was first collected in 1924 have blurred those categories, reducing the usefulness of the reports and prompting the CFTC's plan to review them. "As a practical matter, particularly in view of the number of comments we've gotten that indicate clearly people do see the benefit of these reports, we will find a way to fix any data anomalies,'' Don Heitman, the CFTC lawyer who wrote the request for comments, said in an interview today. "The prospects the commission would cease publishing the COT reports are somewhere between extremely remote and infinitesimal. Hundreds of the comments came from users of websites such as Insidercapital.com and Genesisft.com, which posted links to form letters pleading with the CFTC to keep the reports. ''As an individual trader, I rely heavily on the COT report to assist me in making market decisions,'' wrote signatories to a letter posted at Genesisft.com, a purveyor of market data, software and trading strategies. "I am therefore deeply concerned that the CFTC would even consider discontinuing such a popular and insightful service.''
Reliable Gauge
Hundreds urged the CFTC to change the reports, which they said don't accurately reflect hedgers' positions in the markets. "We acknowledge several sources of inaccuracy in the report: the mislabeling of speculators as hedgers, the emergence of indices as a new class of market participants and the rising importance of swaps,'' Tvdor Investment Chief Operating Officer John G. Macfarlane said in a June 26 letter. "We hope you decide to correct the report rather than to discontinue what has been an important source of transparency and stability for the markets.'' Swap dealers blur the line between hedgers and speculators, because their purchases of contracts for items such as copper and sugar as hedges for over-the-counter transactions allow them to be categorized as commercial users. Their holdings make up a "significant proportion'' of so-called long positions, or bets that prices will rise, while traditional hedgers typically hold net short positions, the commission said. "This has raised questions as to whether the COT report can reliably be used to assess futures hedging activity by persons hedging exposure in the underlying physical commodity markets,'' the commission said in its request for comment.
'Non-traditional Commercials'
The commission will probably create a new category in the reports for "non-traditional'' commercials such as swap dealers, Heitman said. "The details of exactly how you go about that, and is that in fact the best way to go and how would you do that more effectively -- that is what we are going to analyze and decide,'' he said. The reports are released Friday at 3:30 p.m. New York time and include data as of the end of trading on Tuesday. All traders whose holdings pass thresholds set by the CFTC in any contract must provide data. The reports cover as much as 90 percent of the holdings in any given market, the CFTC said
CFTC To Begin Publishing Additional Commitments Of Traders Report
(05.12.06) - The Commodity Futures Trading Commission (CFTC or Commission) announced today that it will begin publishing an additional Commitments of Traders (COT) report in January, 2007. The COT reports are weekly reports, published by the CFTC, showing aggregate positions of commercial and noncommercial traders in certain futures and options markets. The Commission currently publishes four COT reports: Futures-Only COT (both long form and short form) and Futures-and-Options-Combined COT (both long form and short form). The four existing COT reports, which cover over 90 markets, will continue to be published, with no changes in form, format or timing.
In addition, on January 5, 2007, the Commission will begin publishing a new weekly COT report, entitled “COT—Supplemental.” The new report will show aggregate futures and options positions of Noncommercial, Commercial and Index Traders in 12 selected agricultural commodities. Positions reported in the new “Index Traders” category will be drawn from both the current Noncommercial and the Commercial categories. Coming from the Noncommercial category will be positions of managed funds, pension funds and other institutional investors that generally seek exposure to commodity prices as an asset class in an unleveraged and passively-managed manner using a standardized commodity index. Coming from the Commercial category will be positions of entities whose trading predominantly reflects hedging of over-the-counter (OTC) transactions involving commodity indices—for example, swap dealers holding long futures positions to hedge short OTC commodity index exposure opposite institutional traders such as pension funds. (Note that the four current COT reports will continue to carry commodity index traders in the same Commercial and Noncommercial categories in which they now appear.) < /P>
CFTC Chairman Reuben Jeffery III said, “The Commission’s decision to begin publishing this additional COT report illustrates the CFTC’s commitment both to maintain an information system that keeps pace with changes in markets and trading practices and to provide the public with accurate and timely data regarding futures and option markets.”
Commissioner Michael Dunn, who chairs the Commission’s Agricultural Advisory Committee (AAC), added, “COT issues were discussed at length at the August 1, 2006, meeting of the AAC and the meeting transcript was incorporated into the public comment file. On behalf of the Commission and its staff, I want to acknowledge the invaluable contribution that the members of the AAC and participants at the meeting made to the Commission’s decision-making process on this critical issue.”
The 12 commodities covered by the new report, and the respective exchanges on which they are traded, are: corn, soybeans, wheat, and soybean oil on the Chicago Board of Trade; wheat on the Kansas City Board of Trade; cotton no. 2, coffee C, sugar no. 11, and cocoa on the New York Board of Trade; and live cattle, lean hogs, and feeder cattle on the Chicago Mercantile Exchange. Contemporaneously with publication of the first new report, the Commission will also publish comparable weekly data for 2006 for the 12 markets covered by the report in order to allow users of the report to view the new data in context.
The new report is a result of a June 21, 2006, Federal Register notice published by the Commission entitled, “Comprehensive Review of the Commitments of Traders Reporting Program.” The primary issue addressed in that notice involved changes in the nature of the positions carried in the COT reports. The notice pointed out that, prior to 1991, both the long and the short side of the commercial open interest listed in the COT reports represented traditional hedgers (producers, processors, manufacturers or merchants handling the commodity or its products or byproducts). Since that time, trading practices have evolved to such an extent that, today, a significant proportion of the long-side open interest in a number of major physical commodity futures contracts is held by so-called non-traditional hedgers (e.g., swap dealers), while the traditional hedgers may be either net long or net short (more often, the latter). The notice asked whether, in light of these changes, the COT report could still reliably be used to assess overall futures activity by persons who are directly involved in the underlying physical commodity markets. Based on the comments received, and the Commission’s own review, the agency determined to begin publishing the new COT report, showing the aggregate positions of index traders in a separate category. In this new COT report, the Commercial category will better represent traders who are directly involved in the underlying physical commodity markets. A Comprehensive Report on the Commission’s review of COT issues, summarizing the relevant questions, the comments received and the Commission’s response, is posted on the Commission’s website. Also available on the website is an executive summary of the full Report.
The new COT—Supplemental report will be published on a two-year, pilot program basis. During the course of the pilot program, the Commission will assess the relevance and usefulness of the new data and study whether it is possible and appropriate to expand the COT—Supplemental report to include data for other physical commodity futures markets.
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Buchempfehlung: http://www.terminmarktbuch.de/cgi-bin/index.pl?ST=15596&CP=0&F=56
Aus dem daily livestock report:
Beginning January 5 we will finally get some more detailed information about the size of the positions held by non-commercial funds. The Commodity Futures Trading Commission announced that it will add a “COT Supplemental” report to its weekly Commitment of Traders report.
The supplemental will identify noncommercial positions held by managed funds, pensions and other institutional investors in 12 selected U.S. commodities. These include Live Cattle, Lean Hogs and Feeder Cattle at the CME but do NOT include Frozen Pork Bellies. They also include the grain contracts (except soybean meal) at the Chicago Board of trade and wheat on the Kansas City Board of Trade. It will likely be a while before the weekly supplemental data will provide a great deal of insight into the effect of the funds but the information will certainly be welcome due to the importance of this “managed” money to the liquidity of these marketplaces.
(Quelle: http://www.dailylivestockreport.com)
Gruss
GMT
Hi,
aus dem COT Corn Report 23rd Jan. 2007 Futures & Options:
Die Index Traders (siehe SIT report (Supplemental Commodity Index) der CFTC (http://www.cftc.gov)) net position in Höhe von 356' long kommt mit 323' net longs überwiegend aus dem Lager der Commercials (zu 91 %) und mit 33' net longs von den non-commercials (zu 9 %). Nach dem alten Report weisen die Commercial ein net short position von 253' auf. Durch die Herausrechnung der Index Traders sind die commercials also 576' net short (mehr als doppelt so viel!). Die net long position der Index Traders macht 16 % des OI aus (die long positions machen 19 %, ohne die non-reportable positions, aus). Wie ich finde schon bedeutend.
Let’s discuss..
Kennt jemand frei zugängliche websites, wo man sich die COT charts unter Berücksichtigung der Index Traders anzeigen lassen kann ?
Shay von http://www.timingcharts.com/ schreibt: „Soon, I've got too many other things going to do it now. It will be added some time soon though!”
Gruss
GMT
@ GMTMaster [#4]
Ich habe dieses Problem in den letzten zwei Ausgaben des CornandOil NL besprochen, weiß nicht ob Du den bekommst.
Die einzige gute Quelle ist der Hightower. Ansonsten kenne ich keinen, hoffe mal dass GenesisFT auch herum bastelt und die neuen Daten mit einfügt.
Gravierend finde ich momentan Weizen, da hier der Unterschied zwischen Commercials extrem ist.
Commercials: netto long 16.271 mit Options
Commercials ex CIT: netto short - 152.988
Wer sich stark auf die CoT Daten verlässt sollte schnell eine Lösung finden.
Gruss Sebastian
@ Sebastian [#5]
"Ich habe dieses Problem in den letzten zwei Ausgaben des CornandOil NL besprochen, weiß nicht ob Du den bekommst."
Ja, bekomme ich. Ich hatte auch schon im Pit Trader Board darüber geschrieben. Hab's jetzt hier nochmal eingestellt, um eine breitere Öffentlichkeit anzusprechen.
"Gravierend finde ich momentan Weizen, da hier der Unterschied zwischen Commercials extrem ist."
Commercials: netto long 16.271 mit Options
Commercials ex CIT: netto short - 152.988"
Die commerical Index longs sind bei Wheat also 169' (153'+16'). Wie ich oben bei Corn darstellte, sogar 323', also fast doppelt so viel. Allerdings ist bei Corn ja auch das OI fast vier mal größer. Deswegen habe ich auch die Grafik eingestellt. Da sieht man es ja, die Index longs sind eben im Wheat relativ stärker (40%) vertreten als im Corn (20%).
Gruss
GMT
@ GMTMaster [#6]
"" im Pit Trader Board""
Was, wie, wo ? Geheimer Zirkel ohne mich ? KARTELL ?
Wo bitte ?
gruss hans
@ he96 [#7]
Das Pit Trader Board ist das Forum für die Teilnehmer an den Seminaren des Pit-Traders und den Abonnenten des Spread-Traders. Daher kennst du das nicht ;-)
Gruß
Henning
@ Sebastian [#5]
@ GMTMaster [#4]
Ihr legt grossen Wert auf den Wert: Netto-Positionen der Commercials minus der Netto-Positionen der Index Trader.
Sind das dann für Euch die "wahren" Commercials? Stehen hinter Index Trackern denn nur Nicht-Commercials? Könnte es nicht Märkte geben, in denen auch Commercials Index-Fonds kaufen?
Macht mich bitte schlau :-)
@ zorrie [#9]
Ich persönlich beachte die CoT Daten kaum. Ich hab die Tabelle im Corn & Oil Newsletter weil ich gleich zu Beginn des Briefs auf die Schwachstellen des CoT Reports hingewiesen habe. Anschließend kamen viele Anfragen von Leuten die wissen wollten wo es die Daten ohne Index Fonds gibt. Leider fand ich keine entsprechende Seite und stelle deswegen die Tabelle ein. Bei meinem eigenen Trading spielen die CoT Daten so gut wie keine Rolle.
Nun zu Deinen Fragen:
"Ihr legt grossen Wert auf den Wert: Netto-Positionen der Commercials minus der Netto-Positionen der Index Trader.
Sind das dann für Euch die "wahren" Commercials?"
Für mich sind das die wahren Daten der Commercials da hier die Index Fonds Trades herausgerechnet wurden.
"Stehen hinter Index Trackern denn nur Nicht-Commercials?"
Ich denke, dass das Non Commercials sind aber andere als die anderen "Non Commercials". Die Index Fonds traden nicht. Sie wollen nur einen Index abbilden. Hier spielen Technik und Fundamentales keine Rolle. Ge- und verkauft wird wenn Geld zufließt oder abgezogen wird.
"Könnte es nicht Märkte geben, in denen auch Commercials Index-Fonds kaufen?"
Gute Frage. Kann natürlich sein dass Commercials Index Fonds kaufen (auch wenn ich nicht unbedingt einen Grund hierfür erkennen kann). Aber diese Frage kann ich Dir leider nicht beantworten.
Den CIT Report kann man wie alle von der CFTC veröffentlichten Zahlen kostenfrei unter
http://www.cftc.gov/cftc/cftccotreports.htm?from=home&page=cotcurrentcontent#CurrentReports
abrufen. Mittlerweile ist auch eine Historie bis zurück zum 03.01.2006 abrufbar. Mit ein wenig Aufwand und Excelgrundkenntnissen kann man sich damit selbst einige schöne Charts und Tabellen "basteln". Ob man CoT Daten nutzt oder nicht ist ein Thema über das man sicherlich ewig diskutieren könnte. Der eine nutzt die Daten, der andere nicht, es gibt letztendlich keinen heiligen Gral.
Einige Broker geben in ihren täglichen Marktkommentaren mittlerweile sehr genaue Informationen heraus, wer was wann ge/ver-kauft hat.
Ich persönlich halte die CoT Daten nach wie vor für eine wichtige Entscheidungshilfe, wenn man versteht diese als Teil des Puzzles und vor allem im langfristigen Kontext zu betrachten.
Der Einfluss der Indexfonds ist derzeit immens und die Liquidität die diese Fonds in die Märkte schieben sollte mM. nach, nicht unterschätzt werden.
könnte dann so aussehen (ich weiß, es gibt schönere Excelcharts)
Grüße
Jens
http://www.timingcharts.com finde Ich auch nicht schlecht, dort kann man auch alles mögliche sich anzeigen lassen.
@ strok [#13]
Schöner Link, danke fürs einstellen - im Gegensatz zu den ganzen Honigsaugern hier.
gruss hans
Grüß Gott,
im folgenden Report werden einige interessante Empfehlungen hinsichtlich der Erfassung von SWAP-Händlern gemacht.
http://www.cftc.gov/newsroom/generalpressreleases/2008/pr5542-08.html
Gruß
Peter