Hedge Fund Monitor
CFTC Traders in Financial Futures
The Commodity Futures Trading Commission (CFTC) publishes the Commitments of Traders reports (COT), including the Traders in Financial Futures report (TFF). The COT reports provide a breakdown of each Tuesday’s open interest for futures and options on futures markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC. The COT reports are based on position data supplied by reporting firms (FCMs, clearing members, foreign brokers, and exchanges).
The TFF breaks down the reportable open interest positions in financial contracts by four trader classifications: Dealers, Asset Managers, Leveraged Funds, and Other Traders. Leveraged Funds are typically hedge funds and various types of money managers, including registered commodity trading advisors (CTAs), registered commodity pool operators (CPOs), and unregistered funds identified by CFTC.
We calculate the notional dollar values of traders’ positions by multiplying the number of contracts held by their respective contract sizes. Contracts denominated in a foreign currency are converted to U.S. dollars using contemporaneous market exchange rates.
We calculate 10-year equivalent positions for Treasury contracts by scaling the number of contracts held by the ratio of the modified duration of the cheapest-to-deliver bond for the contract and the 10-year Treasury futures contract. By pricing convention, short-term interest rate (STIR) contracts have a constant DV01 (dollar value of a one basis point change in the underlying interest rate). We calculate the 10-year equivalent positions for STIR contracts by scaling the number of contracts held by the ratio of the DV01 of the 10-year Treasury futures contract to the constant DV01 of the respective STIR contract.
Some equity indices and digital asset contracts are offered in standard-sized contracts and as smaller sized contracts — sometimes called 'mini' or 'micro' contracts. These contract variants are fungible and differ from the standard-sized contract only in their respective price multipliers. In some cases, the CFTC publishes a consolidated report that combines positions for certain fungible contracts. For example, the 'CME S&P 500 Consolidated' contract on the TFF report is the combined aggregate positions in the standard-sized, e-mini, and micro contracts on the S&P 500 equity index. Changes to the CFTC’s consolidation methodology are listed as Historical Special Announcements.
Where available, we use the consolidated reports as published by the CFTC. When the CFTC’s consolidation methodology changes, we calculate a historical consolidated report applying the latest methodology. When a consolidated report is not published by the CFTC, but the contracts are fungible, we calculate a consolidated report. For example, we consolidate standard-sized Bitcoin contracts with the 'micro' contracts.
Series in This Data Set
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Suggested CitationOffice of Financial Research, "Hedge Fund Monitor," refreshed monthly, https://www.financialresearch.gov/hedge-fund-monitor/ (accessed ).