// definition
COT
Commitments of Traders
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Short definition
The CFTC's weekly report detailing open positions on US futures markets by trader category. Published Friday at 3:30 p.m. New York time, on data as of the preceding Tuesday, a three-day lag.
risk atlas
Knowledge map
Intuition
The COT gives a delayed photograph of futures positioning. It does not predict on its own, but it shows where the market is loaded.
Formula
unwind risk = extreme positioning + FX catalyst + volatilityWhy it matters now
On the yen, a highly consensual positioning turns dangerous when the BoJ, the MoF or the Fed changes the rate regime.
Related analyses
- Dollar-yen: the unwind riskUSD/JPY, the BoJ, intervention and carry liquidation.
Related guides
- Reading the carry tradeCarry mechanics, leverage and unwind risk.
- Reading the CFTC COT reportFutures positioning, trader categories and limits.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- signals/history.jsonPoint-in-time history of the signals.
- signals/history.csvThe same history as CSV.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
Signals using it
- Yen Carry MonitorMethodology of the yen carry risk signal.
- Risk DiffRecent change in risk and source freshness.
Primary sources
- Bank of Japan & Ministry of Finance JapanJapanese monetary policy, BoJ statistics and FX interventions.
- Commodity Futures Trading CommissionYen and futures positioning through the COT.
- Federal Reserve & FREDDollar rates, fed funds and liquidity conditions.