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

Michel Robe and John S. Roberts

Journal of Commodity Markets, 2024, vol. 34, issue C

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.

Keywords: Commitments of Traders; Open interest composition; Market core; CIT; Other Reportables; Agricultural futures (search for similar items in EconPapers)
JEL-codes: G10 G13 N22 N50 Q14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000084

DOI: 10.1016/j.jcomm.2024.100389

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