CFTC Publishes Two New Data Sets on Daily Net Position Changes

The U.S. Commodity Futures Trading Commission (CFTC) today announced the release of two new data sets that add further transparency to commodity futures markets. The new reports, entitled “Large Trader Net Position Changes” and “Trading Account Net Position Changes,” build on the CFTC transparency program initiatives. The data and explanatory notes, as well as average values for both measures, can be found on our website. The CFTC is providing this data to the public on a one-time basis.

“A core mission of the CFTC is to promote transparency,” CFTC Chairman Gary Gensler said. “The new data will provide the public, for the first time, with a view of the amount of trading that results in daily net position changes. The balance of trading is due to day trading or trading in calendar spreads. The data shows that, in many cases, less that 20 percent of average daily trading volume results in traders changing their net long or net short all-futures-combined positions. The data should provide the public, academia and traders with further insight into the nature of market liquidity. I thank the CFTC staff for their hard work.”

The new “Large Trader Net Position Changes” data relies on the Commission’s Large-Trader Reporting System. The data identifies, for a given week, the average-daily net position change at the reportable trader level. The data covers 35 physical and financial futures markets from January 2009 through May 2011. The report also provides amounts for net position changes using the same large-trader classifications as the Commission’s Disaggregated Commitments of Traders reports.

The “Trading Account Net Position Changes” data relies on transaction data provided to the Commission by the exchanges. This data identifies, for a given week, the average-daily net position change at the trading-account level. The data covers 28 physical and financial futures markets from April 2010 through May 2011.

We invite public comment on the usefulness of these reports and ways to improve them. If additional resources become available, the CFTC may be able to report the data on a routine basis.