Would like to start a thread about the COT. http://www.cftc.gov/marketreports/commitmentsoftraders/index.htm
Awesome. What do you think of the new report format?? Pretty nice I think. I wonder if GS is still aggregated under commercials, or if they're under the swap dealer title now?
Today was the first time I had actually seen the new format. I am going to make it a point to go take notes at the weekly report. Although I was under the impression that the report came out every friday after the close? This one is dated the 6th?
You're right, the COT report comes out every Friday at 2:30 pm, CST. The data reported is from earlier in the week. That's why it's important to not lean on the COT too much in short-term trading, as it's days old. Not bad for ferreting out those intermediate-term trend changes. If you're going to trade the COT exclusively, you'll need to take a different approach, i.e. wider stops on smaller positions type stuff, and let your trades sit on the market long enough to have a few weeks of reports released, as it's your weekly tool. I personally do not trade based solely off of the COT, although I do use as part of my decision making . I will say this, when it comes to interpreting the data...it's going to be tough to do it straight from the COT. You're going to need to decompose the data in the context of years in order to get the most valuable info from the COT. You can download historical data at cftc.gov under the, (are you ready for this)...."HISTORICAL REPORTS" link. Get a 5 year (or more) chunk of data into a database and look at ALL angles. You'll eventually find what works.
Can someone give me insight into the role/meaning of "swap dealers", a new subcategory broken out of commercial? I read the CFTC explanation, but I'm not familiar enough with how commercial operators to know what it actually *means*.
This new catergory includes the commodity indices like the CRB, GSCI etc. It also includes some OTC dealers, but it looks like the biggest part of this catergory is long-only commodity index funds and indices that use swaps to conduct (at least a portion) of their business. Long only pension funds and commodity index funds that do not use swaps will not be classified under the Swap Dealer cat. The Commodity Index Trader supplement from cftc.gov has the notional $$ amounts of index investment at the end of every quarter invested by the so called "swap dealing index funds". I think that it was last year when GS owned more wheat swaps/futures than there was wheat on the planet.
I thought it was 07 when GS had all the wheat derivs? Doesn't really matter anyway. Yeah the COT data is obv. very subjective, good idea on the entry of it all into a database.