Tuesday, 29 September 2009

Help Save the COT Report

Help save the Commitments of Traders reports in their current form. If you haven't already written to the Commodity Futures Trading Commission, which publishes this invaluable weekly government data on trillions of dollars in derivatives positions in major markets, please do so.
The CFTC is proposing to alter the COT report in a way that would greatly reduce the ability of traders and researchers to study it and use it in trading. Its plan is motivated by good intentions - improving market transparency - but the execution isn't well thought-out. Read more in my post here (and be sure to check out the comments for a good exchange about the data). Also, see below for a letter sent by Dutch researchers asking the CFTC to continue publishing the data in its existing format.

The CFTC's deadline for comments is Thursday, October 1. Write the CFTC at cotchanges@cftc.gov asking it to keep publishing the COT data in its current format alongside the new format. Thanks to all those who've written saying they've sent in their comments.

To: The CFTC

We are a Netherlands-based group producing scientific research in conjuncture with the VU (the leading university in Amsterdam), doing ongoing statistical, mathematical research into correlations between traders' behaviour and market prices and other financial data. The weekly COT report is at the centre of that. When we started our research into the COT data we assumed that it would be published forever into the future.

Changing the values of the report would make our research obsolete. That means that many man-hours and computer hours would be lost. It would take a great effort to newly analyze the value of the new format and its correlation to other financial-related data. Because the greater amount of data in the new format and the fear of again changing values in the new-style report would probably keep us from committing us again to such intensive research. The new format, due to the nature of statistics, would take years to produce meaningful data.

There are many other reasons to think of why we would like the COT report to continue, such as the fact that in Europe, Asia, etc., such data are not available. The strength of the COT report lies in the continuation and accessibility of information about the biggest markets in the world. Of course, we do not oppose new data being published. We would just like to keep the old style, and we hope that it could be published simultaneously.

We feel that maybe we should have told you before about our research, so that you would have known the importance of the report to us and the institution it is around the world.

I hope to have provided some input for the discussion of the future of the report. Please feel free to contact me.

Greetings, Carl Borgen

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