Contents
Note. This content is published for educational and statistical purposes. It does not constitute investment advice under AMF / MiFID II regulations. Past performance does not guarantee future results.
What is the Commitments of Traders report?
The COT is a public CFTC report. It breaks down futures open interest by trader type. It says who holds the contracts (long, short, spreading) — not the “right” price.
The CFTC publishes it to “help the public understand market dynamics”, only where at least 20 traders exceed the reporting threshold. Categories come from the trader’s primary activity on Form 40, the same bucket across all financial markets for that trader.
Legacy — Commercial / Non-commercial, all markets, since 1986. TFF — financial contracts (indices, rates, FX). Disaggregated — ag / energy / metals. Supplemental (CIT) — index traders on some ag markets. For S&P and Nasdaq, use TFF; Legacy is optional on S&P only.
TFF — Traders in Financial Futures
The CFTC’s “financial” grid for equity indices. Data from June 2006; report announced in 2010. Official notes: TFF Explanatory Notes (PDF).
- Dealer / Intermediary — sell-side banks and market makers. They “tend to have matched books or offset their risk across markets and clients”.
- Asset Manager / Institutional — pensions, endowments, insurers, mutual funds, managers whose clients are mostly institutions. Often structurally net long equities.
- Leveraged Funds — hedge funds, CTAs, CPOs, money managers identified by the CFTC. More tactical.
- Other Reportables — reportables that fit none of the three boxes.
- Non-reportable — residual below the threshold: total OI minus reportables. Not “the identified retail trader”.
Legacy — longer history, less detail
Older grid: Commercial / Non-commercial / Non-reportable. CFTC history from January 1986. A commercial is not always a pure hedger; a non-commercial is not always a “speculator” in everyday language. ONELIX offers Legacy only when the series exists (S&P yes, Nasdaq no).
Calendar: Tuesday as-of, Friday release
CFTC: “The COT reports provide a breakdown of each Tuesday’s open interest.” Usual release: Friday 3:30 p.m. Eastern. Three days of lag, plus whenever you open the page. A US holiday can shift the calendar — see the Release Schedule.
ONELIX aligns price to the Friday publication close (or the next session close) to avoid look-ahead: a backtest that “knows” Tuesday’s COT on Tuesday is cheating. The CFTC net stays Tuesday’s. The dashboard tooltip splits the two dates.
The six S&P 500 lines in the CFTC report
Opening the CME file shows several rows whose name contains “S&P 500”. They are not six independent markets to add. Four are the same price index at different sizes; two are other products (total return, dividends).
| CFTC line (CME) | Code | What it is | In ONELIX? |
|---|---|---|---|
| S&P 500 Consolidated | 13874+ |
CFTC aggregate, in standard-contract units (index × $50). The series to read for S&P positioning. | Yes — S&P 500 dashboard |
| E-mini S&P 500 | 13874A |
ES ($50 × index). Most of the volume. Included in Consolidated after conversion. | No (avoids double-counting) |
| Micro E-mini S&P 500 | 13874U |
MES ($5 × index), 10× smaller than ES. Raw contract counts next to ES are meaningless. | No |
| Adjusted Int Rate S&P 500 Totl (AIR TR) | 13874W |
Futures on the total return index (SPTR), not the price S&P. Different product, different OI. | No |
| S&P 500 Annual Dividend Index | 43874A |
Future on the annual dividend point, not the index level. | No |
| S&P 500 Quarterly Dividend Ind | 43874Q |
Same idea, quarterly vintage. Another market again. | No |
What the CFTC says about Consolidated
In About the COT Reports, the CFTC describes CME S&P 500 Consolidated (13874+) as the aggregate of the standard contract (138741, now residual) and the E-mini (13874A). Minis are scaled to the standard contract size before adding. A trader long the big and short the equivalent E-mini shows as spreading on Consolidated, not a large net.
Micro (13874U) is notionally fungible with ES: adding contract counts to E-mini inflates OI by 10× for the same exposure. Consolidated exists to prevent that error.
Never add E-mini + Micro + AIR TR + dividends. AIR TR and dividends are not the price S&P. E-mini and Micro are already (once converted) inside 13874+. ONELIX ingests that line only.
Other lines not to mix in
The same CME file also lists sector E-minis (Energy 138749, Financial 13874C, and so on). Those are other S&P indices, not the S&P 500. ONELIX Nasdaq uses 20974+ (Nasdaq-100 Consolidated) with the same logic.
Long, short, spreading, net, % OI
Open interest: contracts still open (not offset, delivered or exercised). Market-wide, sum of longs = sum of shorts = OI.
Spreading (CFTC FAQ): offsetting long and short positions of the same trader (different expiries, or futures vs options). Legacy example: 350 long and 200 short → 150 long, 0 short, 200 spread. Inter-market spreads are not counted. Spreading must be added on both sides to recover OI.
Net = long − short (excluding spreading). Positive = the category is a net buyer of contracts — not a buy recommendation.
The report already publishes “percents of open interest by category”. ONELIX defaults to net % of OI: a market’s OI changes (E-mini success, Micro launch). Raw contracts remain useful for absolute size, misleading for 2006 vs 2026.
What the ONELIX dashboard shows
S&P 500 (TFF + Legacy, ^GSPC overlay) and Nasdaq 100 (TFF, ^NDX overlay). Visitors: last 6 months. Free account: history (TFF from 2006, S&P Legacy from 1986) and 1 COT alert. Positioning is not behind BASIC/PREMIUM; COT Stats and alerts beyond the first are PREMIUM.
- COT Index 6m / 3y — ONELIX measure: 100 × (net − min) / (max − min) over 26 or 156 weeks. 80 is not a sell signal.
- Crowding — percentile of net % OI (often Leveraged Funds) over 156 weeks. Extreme = unusual for that category, not a reversal.
- 4-week Δ — net flow, not timing.
More: FAQ (Q&A) and glossary (term → plain language + CFTC). Compare uses net % OI, never raw contracts (OI differs).
Internal backtest correlations (e.g. Lev COT Index ~0.18 vs the index) are not a buy or sell signal. Cross-check with the LIX; do not trade the COT alone.
Limits
The COT is already stale when you read it. Form 40 buckets do not reveal the motive of each trade. Consolidated nets out intra-family ES / Micro / big spreads. AIR TR and dividends tell other stories (carry, dividend forecasts): mixing them with the price S&P muddies the reading.
“Extreme” crowding describes a historically unusual position for a category. It is neither timing nor a crash forecast.
Explore the COT in ONELIX
S&P 500 Consolidated (13874+) — 6 months as a visitor, full history with a free account.
Frequently asked questions
Does the COT predict crashes?
No. It documents positioning. An index at 90 or crowding at the 90th percentile is not a guaranteed reversal.
Why not add E-mini, Micro and Consolidated?
Double-counting. Consolidated already converts fungible sizes to a standard equivalent. See the table above.
Which line does ONELIX use?
S&P: 13874+. Nasdaq: 20974+. AIR TR and dividends excluded.