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How to read the COT report for S&P 500 futures
The Commitments of Traders (COT) report is a free weekly snapshot from the U.S. Commodity Futures Trading Commission (CFTC) of who holds which futures positions. For S&P 500 futures, it's the closest thing the public gets to seeing how hedge funds and big asset managers are leaning.
When it comes out
The CFTC generally publishes the COT reports every Friday at 3:30 pm Eastern, using positions as of the Tuesday of that week. So Friday's report is already three days old, and federal holidays can delay it by a day or two. It shows positioning, not real-time flows.
The report to use: Traders in Financial Futures
For stock index futures, use the Traders in Financial Futures (TFF) version of the COT report. It splits large traders into four groups, plus the small traders left over:
- Dealer/Intermediary: the big banks and dealers that sit on the other side of client trades, usually with hedged books.
- Asset Manager/Institutional: pension funds, mutual funds, insurance companies and similar long-term money.
- Leveraged Funds: hedge funds and other money managers that trade with leverage.
- Other Reportables: large traders that don't fit the groups above.
- Nonreportable positions: traders below the CFTC's reporting thresholds, mostly smaller accounts.
Each group's net position is its long contracts minus its short contracts.
Why the raw numbers mislead
Hedge funds (leveraged funds) are almost always net short S&P 500 futures, often by hundreds of thousands of contracts. That doesn't mean they're betting on a crash. Much of it is hedging and relative-value trading: a fund that owns stocks can short futures against them. Asset managers, meanwhile, are usually net long, because futures are a cheap way to hold market exposure.
So the useful question isn't "are hedge funds short?" They nearly always are. It's "are they more or less short than usual?"
Read it against history
The simplest fix is to rank each week's net position against the past year. If leveraged funds are net short 371,245 contracts and that's less short than in 61% of the past 52 weeks, they're leaning less bearish than usual, even though the headline number says "short." If asset managers are net long 901,377 contracts but that's lower than in 89% of recent weeks, they're carrying unusually little exposure.
Ranking each group against its own history turns three very different-looking numbers into scores you can compare.
How Tickerhollow uses it
We take the E-mini S&P 500 positions from the TFF report every Friday and rank three groups against their own last 52 weeks, from −100 (most bearish) to +100 (most bullish):
- Hedge funds (leveraged funds) and asset managers average into the big money score.
- Small traders (nonreportable positions) join the AAII survey on the everyday traders side.
Big money minus everyday traders is the Hollow Gap. See how it's moved over the past year.
FAQ
When is the COT report released?
Generally every Friday at 3:30 pm Eastern, with positions as of that Tuesday. Holidays can delay it.
Why are hedge funds always net short S&P 500 futures?
Mostly hedging and relative-value trades. What matters is how short they are compared with their own recent history.
What are nonreportable positions?
Positions held by traders below the CFTC's reporting thresholds, mostly smaller accounts. They are what's left of open interest after the reportable positions are counted.
A gauge, not a forecast. Nothing here is financial advice. Source: CFTC Commitments of Traders reports.