The Cboe Futures Exchange was the first exchange in the world to list bitcoin futures. One of the great things about a new market is the data that comes along with it, at least for quant geeks like me. The CFTC collects information about trader’s positions in a wide variety of markets. This report is titled the Commitment of Traders Report (COT Report). 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.
I’ve been keeping up with the bitcoin COT Report data since Cboe XBT Bitcoin Futures qualified by topping the 20 trader threshold. As of this past week there were actually 51 reporting entities reporting positions that make their way into the COT Report. There are plenty of data points provided each week. I like to focus on three. First, how many reporting traders there are, which as previously mentioned stands at 51, the highest level since the first report in mid-December last year.
The other parts of the COT Report I pay attention to are the number of Non-Commercial Traders (think non-hedgers) that are long and short XBT Bitcoin Futures as well as the positions of Leveraged Traders (think hedge funds).
First, the Non-Commercial breakdown this week showed a slight drop in both long positions (3,389 or down 241) and short positions (5,222 or down 16). Also, note that every week there have been more short than long positions reporting in XBT Bitcoin Futures. This is not necessarily a statement on the outlook for bitcoin. Keep in mind shorting spot bitcoin can be difficult and maybe even impossible for many market participants. The futures market is an easier forum to put on a short position.
The Leveraged Money breakdown shows positions moving in a different direction. Leveraged long positions rose by 454 contracts to 1,561 and leveraged short positions rose by 334 contracts to 3,741. The leveraged data is also included in the non-commercial data. Do note that the report dated 1/23/2018 showed leveraged market participants were actually net long XBT Bitcoin Futures. That flipped to short pretty quickly, probably as bitcoin prices came under pressure and these long positions were mostly stopped out or replaced by shorts.
So far bitcoin activity is still expanding and the COT report data is coming in each week. As we see more numbers from the CFTC about Cboe Bitcoin Futures positions we will definitely be reporting back in this space.
You can see the COT Report at www.cftc.gov and of course learn more about Cboe Bitcoin Futures at www.cboe.com/bitcoin