Four Commitments of Traders Report Puzzles, Revisited: Answers from Grains and Oilseeds Futures Markets

49 Pages Posted: 20 Dec 2023

See all articles by Michel A. Robe

Michel A. Robe

University of Richmond - E. Claiborne Robins School of Business

John Spencer Roberts

Commodity Futures Trading Commission (CFTC)

Multiple version iconThere are 2 versions of this paper

Date Written: December 13, 2023

Abstract

The CFTC’s Commitments of Traders reports (DCOT and SCOT) are a key source of information about the open interest in commodity derivatives markets. While informative, these publications leave open four important questions. (1) Do traders that hold large positions every single day make up most of the total open interest? How big is that “market core”? (2) What is the relation between DCOT figures on swap dealer futures positions and CIT futures positions? (3) Are most futures traders long- or short-only, or do they hold “mixed” positions? (4) Who makes up the fast-growing “Other Reportables” category that comprises all noncommercial market participants that are not hedge funds? We tackle those questions with regulatory data on futures positions in the four largest U.S. grain and oilseed markets in 2015-2018.

Keywords: Commitments of Traders, Open interest composition, Market core, CIT, Other Reportables, Agricultural futures

JEL Classification: G10, G13, N22, N50, Q14

Suggested Citation

Robe, Michel A. and Roberts, John Spencer, Four Commitments of Traders Report Puzzles, Revisited: Answers from Grains and Oilseeds Futures Markets (December 13, 2023). Available at SSRN: https://ssrn.com/abstract=4664862 or http://dx.doi.org/10.2139/ssrn.4664862

Michel A. Robe (Contact Author)

University of Richmond - E. Claiborne Robins School of Business ( email )

Richmond, VA 23173
United States

John Spencer Roberts

Commodity Futures Trading Commission (CFTC) ( email )

1155 21st Street NW
Washington, DC 20581
United States

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