Reading the commitment of traders report

Water Cooler Investing
#1

I don’t trade the futures market, but use it at work to ascertain bond market positioning as part of our analysis. I’m wondering how the market as a whole can be “net long” or, as is the case for treasuries right now, 546k contracts short (all investors, CFTC, no ICE or Liffe). Aren’t futures zero-sum? i.e., Someone’s long is someone else’s short? What am I missing here?

#2

They are referring to some subset of participants, like institutional investors, hedge funds, dealers, or others.

#3

Correct that in futures there is always one buyer and one seller for each transaction, but as ohai mentions, certain participants could accumulate a position while the participant on the other side continues to churn their position. For example, a fund could buy 100 contracts and the trader who sold them can then buy back the position from some other trader. Eventually that 100 short contacts are just absorbed into the liquidity of the market. So, there is a “net short” out there, but I keeps passing from participant to participant. OP, that figure could be the net balance churning in the market, given that there is a net long in positions being held. Where do you get those figures?

#4

What on earth are you talking about.

#5

Image result for angry german shepherd gif

#6

I’m assuming the “commitment of traders” report gives the net balance of liquidity in the market. The reason there is a net balance at all is because some positions are being held long term and therefore do not contribute the the liquidity… better? wink

EDIT: ok, after actually looking up and viewing the commitment of trades report, I can see it is exactly what Ohai has described. I don’t see where it gives a net balance for the whole market, which is what I thought you had a figure for. OP, what exactly is that figure you quoted?

#7

Igor… you made my day heart

#8

Image of COT report

Here is an image of a COT report, OP, are you not accounting for the “nonreportable positions”? If you just look at the “totals” it does look like there is a net short or long balance.

#9

This was my suspicion. And the subset reported are probably the most responsive to prices, hence the reporting. Thanks!