CHAPTER 2The Structure of the Positioning Data
Chapter objectives
This chapter provides an overview of how positioning data is broken down and attributed between trader categories, integrating both the Legacy and Disaggregated COT reports together to show how the different categories are related to each other. The relationships, patterns, and dynamics between changes in open interest and changes in the number of traders both within and between trader categories are considerable and an understanding of the structure of the data and how it is reported is a prerequisite in Positioning Analysis. Robust analysis of changes in this data makes it possible to reliably isolate specific types of flow patterns, quantify shifts in sentiment, define behavioural responses, and develop tools for better trading and risk management.
The chapter also shows how COT data can be used to understand and evaluate positioning patterns and profiles between the major commodities. Data on which commodities are the most liquid – in terms of the commodities with the highest (lowest) open interest and the highest (lowest) number of traders in each category – is useful in helping to understand which commodities might be the most or least vulnerable to shifts in investor sentiment, and whether more ...
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