Sentiment in the Forex Market: Indicators and Strategies to Profit from Crowd Behavior and Market Extremes

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c05 JWBK195-Saettele May 31, 2008 11:54 Printer: Yet to come

74 SENTIMENT IN THE FOREX MARKET

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The COT report is released more quickly—moving the publication

to the sixth business day after the “as of” date in 1990 and then to

the third business day after the “as of” date in 1992.

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The report also is more widely available—moving from a

subscription-based mailing list to fee-based electronic access in

1993, and, beginning in 1995, becoming freely available on

www.cftc.gov.

The COT reports provide a breakdown of each Tuesday’s open interest

for markets in which 20 or more traders hold positions equal to or

above the reporting levels established by the CFTC. The reports are

released every Friday at 3:30

P.M . Eastern time.

Reports are available in both a short and long format. The

short report shows open interest separately by reportable and non-

reportable positions.

Current and historical Commitments of Traders data is available on

www.cftc.gov, as is historical COT data going back to 1986 for Futures-

Only reports

READING THE COT REPORT

The short report is sufficient for our purposes since all we need to know is

net speculative positioning, net commercial positioning, and open interest

(see Figure 5.1).

FIGURE 5.1 A short report for Canadian dollar futures shows the critical

information: non-commercial and commercial positioning and open interest

Source: Courtesy of the U.S. Commodity ...