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Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets

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  • Robe, Michel A.
  • Roberts, John S.

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-only 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 managed money traders? We tackle those questions with regulatory data on futures positions in the four largest U.S. grain and oilseed markets in 2015–2018.

Suggested Citation

  • Robe, Michel A. & Roberts, John S., 2024. "Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets," Journal of Commodity Markets, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000084
    DOI: 10.1016/j.jcomm.2024.100389
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    More about this item

    Keywords

    Commitments of Traders; Open interest composition; Market core; CIT; Other Reportables; Agricultural futures;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
    • N50 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - General, International, or Comparative
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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