Yes. If I buy futures and short stocks, my positions show up as longs for COT, and my shorts as short interest on the exchange.
Do not mean to rain on the parade makloda but this really doesnt mean shit, for all we know this is commercial hedging.
How long are index arbitrage positions typically left open for? I would have thought only a short period of time in which case they wouldn't be open positions so wouldn't count as open interest. Commercial hedging is another matter.
It's probably useful for advisory services that claim to have COT "mastered" and can then sell their subscriptions to the dumb public. Floyd Upperman & Larry Williams come to mind. I'm sure there are others.
True, COT needs to be viewed with a very open mind, in some markets like silver, ETF's (classified as Commercials) are carrying about 15%, skewing data as they are long only at all times. But having seen the nonsense on here on elitetrader.com , l am quite sure using Small Spec as an indicator would probably be the closest we can come to a holy grail. But also remember use of COT Large Spec is equally misleading as it tracks activity of market participants ( mainly CTA & Hedgehogs) who are by far and large trend followers of sorts. However its one of the few non-price based quantifiable measures of market activity publicly available for decision making that we have. I would suggest absolute care when using COT as it has an element of bottom and top picking. Its certainly a tool, but less useful in areas were there is a large,liquid & international cash market ( fixed income, FX & other financials ).....COT is best left for breakfast ( Orange juice,corn,coffee,pork bellies etc)
You can't look at it like that. Index arb is one of many correlated strategies, so positions initiated as index arb can/do end up in many different buckets. But it's completely possible that a stock vs futs position lasts for a couple months. And short interest / COT stuff is snapshot, so it would only matter what positions existed at the time they're measured.
Fantastic post. You're absolutely correct that arbitragable financial futures give few hints of position bias in the COT. It's freakin' IMPOSSIBLE to figure out what's a hedge against the underlying or vs. an options position or part of an intermarket spread (i.e. a dealer will be long ZB but short ZN). Traditional commodities are a better tell. Even there, one must be careful to be flexible when interpreting data. As you mention much of the large spec OI is trend following funds and those guy's with more and more frequency have the ability to run over commercials. The "smart money" isn't always smart......