The COT Index, explained

The problem it solves

The CFTC’s Legacy Futures Only COT report publishes aggregate long and short positions for non-commercial traders. Their net position is calculated by subtracting shorts from longs. A raw contract count is useful within a market, but difficult to compare across markets because contract sizes and typical open interest differ. A net position of 150,000 contracts may be large in one market and routine in another.

The formula

The COT Index rescales the latest net position against its own range over a fixed lookback window. On COT Screener, the window includes the current week:

Consider a hypothetical example with round numbers. Say the window’s lowest and highest readings were net short 50,000 and net long 150,000. This week non-commercial traders are net long 110,000. The formula gives 100 × (110,000 − (−50,000)) / (150,000 − (−50,000)) = 100 × 160,000 / 200,000 = 80. That is COT Screener’s upper-range threshold. In a window with the same low but a high of 300,000, the same 110,000 contracts would score much lower. The result is always relative to the two endpoints in the chosen window.

If the window high and low are equal, there is no range to rescale. In that case COT Screener returns the neutral value of 50. Values shown in the interface are rounded to whole numbers, so a displayed score describes an approximate location unless the unrounded value is known.

The lookback windows

The lookback window determines how much history enters the comparison. COT Screener’s market pages show three views: 26 weeks (about six months), 52 weeks (one year) and 156 weeks (about three years). A shorter window reacts more quickly to recent changes; a longer window provides broader historical context. If a series is younger than the selected window, the calculation uses all available history. If the same net position scores 70 over six months and 45 over three years, it is high relative to recent months but near the middle of its three-year range.

COT Screener uses a roughly three-year range for its headline market score. This is a methodology choice: it provides more historical context than the shorter windows, but it is not inherently more predictive. That is the score shown on the positioning board, and the number an alert compares against.

The upper- and lower-range bands

On the positioning board, COT Screener labels displayed readings of 80 and above as upper-range extremes and displayed readings of 20 and below as lower-range extremes. The app may shorten these to “long extreme” and “short extreme”; the labels refer to location within the net-position range. They are COT Screener conventions rather than CFTC classifications. Each band covers one fifth of the min–max span, not one fifth of the observations.

Limits of the method

The formula is a simple min–max rescale and inherits the limitations of that method:

• One unusual week can shape the whole window. A single high or low can widen the range and materially affect later readings until it leaves the lookback or a new endpoint replaces it.
• It says where in the range, not how often. An index of 75 means the position sits three quarters of the way from the window’s low to its high. It is not a percentile of historical observations.
• Absolute size remains separate. A market can read 90 with relatively low open interest. Use the raw net position and its share of open interest to assess scale. concentration answers a different question: how much open interest is held by the largest reportable traders.
• Price is outside the formula. Future returns, remaining demand and reversal timing require separate evidence.

See the latest readings

With a free account, you can open the positioning board. COT Screener calculates its headline score for every market with this formula and the latest available weekly CFTC data. The COT report is not real-time: it usually reflects Tuesday positions and is released on Friday. Public readings include Gold, WTI Crude Oil and Euro FX. Each market page lets you switch among the three lookback windows and plots the selected index beneath the positioning chart.

Official data sources

For the headline board and alerts, COT Screener applies the index formula to non-commercial net positions from the CFTC’s Legacy Futures Only dataset. Report-specific views apply the same formula to the primary positioning category shown for that report. See the CFTC’s explanatory notes for the official definitions and its release schedule for publication timing.

Common questions