Every Friday afternoon the U.S. Commodity Futures Trading Commission (the “CFTC”) publishes its Commitments of Traders Report (“COT Reports”).
As explained at the CFTC’s website, these reports “provide a breakdown of each Tuesday’s open interest for futures and options on futures markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC.” The data in respect of these Friday afternoon reports is provided to the CFTC by regulated market participants (futures commission merchants, clearing members, and foreign brokers and exchanges) on Wednesday morning of each week, with adjustments to the publication and reporting schedules to account for holidays.
Traders in Financial Futures Reports
One such report, the Traders in Financial Futures (“TFF”) report, provides data about financial contracts, including exchange-traded bitcoin futures contracts.
In addition to providing information about the open interest in futures and options on futures for the week, these reports break down reportable open interest positions into four classifications:
- Dealer/Intermediary
- Asset Manager / Institutional
- Leveraged Funds
- Other Reportables
The CFTC assigns a trader to one of these categories based upon information that the trader provides to the CFTC in what is known as a CFTC Form 40, Statement of a Reporting Trader.
CFTC Form 40 and Its Relationship with Bitcoin Futures Contracts
At a high level, the CFTC is authorized to require every market participant to file a Form 40, once that market participant holds an open position in excess of a specified number of futures contracts or options on futures (known as a “reportable position”). Collecting information from traders on a Form 40 is part of the CFTC’s Large Trader Reporting Program and overall market surveillance activities that are intended to detect and deter manipulative trading of derivatives contracts.
As further background, the CFTC obtains the information about a particular market participant’s reportable positions from the futures commission merchant (“FCM”) through which the market participant trades futures contracts. In particular, once the trader exceeds a reportable position level, the trader’s FCM files a report with the CFTC that identifies the trader and its open positions. FCMs file these reports on a daily basis. If a trader holds a reportable position, then the CFTC can ask that trader to file responses to questions on a CFTC Form 40.
In CFTC Staff Advisory No. 18-14, the CFTC’s Divisions of Market Oversight and Clearing and Risk recommended that every U.S. exchange that lists a “virtual currency derivative contract,” such as a bitcoin futures contract, to set the reportable position large trader reporting threshold at 5 bitcoin (or the equivalent for other virtual currencies). So, for example, if the contract unit of a particular exchange-traded contract is 5 bitcoin, then a single futures contract would constitute a reportable position for which a trader can expect to be required to file a CFTC Form 40.
Where to Find the Current TFF Reports
The current TFF report for futures only is available here, while a futures-and-options combined TFF report is available here. Once at the website, you can search for bitcoin and see all of the data for bitcoin futures contracts.
Interested market participants can subscribe to the COT Reports at the CFTC’s website.
Good day. Good data? If so, then the new report will be out in just a few hours. DR2