Concise Overview of the Commitment of Traders (COT) Report
Let's make a start by establishing a little background on the COT report and then identifying the key components of it.
The Commitments of Traders (COT) report is prepared by the Commodity Futures Trading Commission (CFTC). The CFTC's Large Trader Reporting Program, which is of interest to us here, collects market data and positional information from U.S. exchanges, clearing members, futures commission merchants, foreign brokers, as well as individual traders. These reports are filed daily with the CFTC and aggregate data of reported positions are published by the CFTC in its weekly COT report.
This report is compiled every Tuesday and published every Friday at 3:30 P.M. EST. To quote ...