In what it called an effort to “increase transparency and promote market integrity,” the CFTC began disaggregating data in its weekly Commitments of Traders (COT) reports on Sept. 4 and announced it would begin releasing additional data on swap dealers and index traders in the futures markets on a quarterly basis.
While the old COT reports broke traders into two categories, commercial and noncommercial, the new reports break the data into four categories: producer/merchant/processor/user, swap dealers, managed money and other reportables (see Chartview). In 2007, the CFTC began supplying additional data, breaking out index traders in its supplemental CIT report, but that only covered 12 agricultural commodities and did not include energies.
The agency will publish additional COT data for 22 contract markets, including major agriculture, energy and metals markets and is working to create a new COT for all of the financial markets. The CFTC will produce the same disaggregated data on all of the remaining commodity markets that they currently publish COT data for. The CFTC will continue to release the traditional COT reports and supplemental CIT reports for a transition period until the end of 2009.
The new index investment reports will update data from the CFTC’s September 2008 report on swap dealers and index traders. The index investment data details the notional values and the equivalent number of futures contracts for all U.S. markets with more than $500 million of reported net notional value in any one quarter. Using quarter-ending dates, the data shows the gross long, gross short, and net notional values with the corresponding equivalent number of futures contracts held across all contract months on the relevant dates.
“The reports will help police the market better and help create a better playing field,” says Floyd Upperman, individual trader and trading advisor. “Any increased insight into who’s doing business on the futures exchanges is going to be good for small speculators. If everybody has access to the data, then it won’t be as easy for people to [manipulate it].”
Upperman says that evolutions in trading, such as the introduction of ETFs and the participation of pension funds in commodities trading, have made changes to the COT report necessary. “You have new kinds of traders that didn’t exist before that [have] really changed the fingerprint of the data and breaking those out from the regular producers and keeping that commercial category in tact will let us continue to track the markets. The old data will still be relevant since we’ll have clean commercial data, but now we’ll be able to track these new players that have emerged in the last 10 years — the index traders and spread dealers,” he says.
Larry Williams, a private trader and expert on using COT data, calls the reports “a godsend to traders as they allow for a deeper analysis of market players.” “We should be able to see so much more, but we probably will have to come up with new measurement tools and new approaches to handle this new data,” he says.