About the Commitments Of Traders Open Interest

How is the Shatterfield COT data for Open Interest represented?

The open interest that Shatterfield uses for its Open Interest field is the open interest for any particular group that is based on individual contracts and does not include the spread contracts. Shatterfield does not include spreading contracts for several reasons:

• A spread does not contain any bias as to the market direction, so it does not realistically affect any trend in the trade.
• There is no information as to how any group of spreads are placed, only that they are placed. Therefore, no real value can be extracted from them for trend direction.
• Including the spread contracts in the value would dilute the open interest so that information about any groups real perspective on the market would be clouded.

Be aware that Shatterfield COT Open Interest is not going to match the open interest of the data that you download from your data provider for a futures contract. Shatterfield records "Position Open Interest" and not "Contract Open Interest". Position Open Interest treats a long position and a short position as individual open interest values. So, one long position and one short position represent a value of two for the open interest value.

Contract Open Interest views that for each long position there is an opposite short position as well, so it represents the number of contracts in existence. To find the "Contract Open Interest" with Shatterfield COT Data, add the open interest for all three groups of a future (Commercial Open Interest, Non-Commercial Open Interest, and Small Trader Open Interest) and then divide by two.

If you compare the Contract Open Interest calculated with Shatterfield COT data, there are two other reasons that Shatterfield COT Open Interest may not match up with your data provider; 1, Your data provider may only be showing the open interest for a specific contract expiration. COT Data is not separated by a contracts expiration month so all contract expirations for a particular future are included; And 2, Your data provider may include spreads in its open interest values.