Greg
37f8eac932
FastAPI application that ingests CFTC Commitments of Traders data into SQLite and exposes it via a REST API with analytics endpoints (screener, percentile rank, concentration). Includes CLI for historical and weekly data ingestion, Docker setup, and a frontend. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
116 lines
4.9 KiB
Markdown
116 lines
4.9 KiB
Markdown
# CFTC Commitments of Traders Report Analysis
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**Report Date:** February 17, 2026 | **Exchange:** Chicago Board of Trade (CBT)
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---
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## Traditional Insights
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### Agricultural Commodities
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| Commodity | Open Interest | Non-Commercial Net | Commercial Net | Weekly Change OI |
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|-----------|--------------|-------------------|----------------|------------------|
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| Wheat-SRW | 544,127 | **-57,572** (bearish) | +60,193 | -46,415 |
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| Wheat-HRW | 329,255 | -5,427 | +10,156 | +13,330 |
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| Corn | 2,203,979 | **-37,540** (bearish) | +56,855 | +45,769 |
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| Soybeans | 1,281,116 | **+189,133** (very bullish) | -153,840 | +73,916 |
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| Soybean Oil | 864,090 | +36,919 | -47,669 | +22,657 |
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| Soybean Meal | 598,663 | +12,664 | -33,774 | -2,217 |
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**Key Observations:**
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- **Soybeans:** Speculators are extremely long (256k long vs 68k short) - the largest bullish positioning in the report. Commercials are heavily hedged short.
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- **Wheat-SRW:** Strong bearish sentiment from speculators (175k short vs 118k long). Open interest dropped 8.5% weekly.
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- **Corn:** Modestly bearish speculator positioning, but massive market (2.2M contracts).
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### Treasury Futures
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| Instrument | Open Interest | Non-Commercial Net | Commercial Net |
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|------------|--------------|-------------------|----------------|
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| 2Y Note | 4,945,848 | **-1,252,133** (extreme short) | +1,143,988 |
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| 5Y Note | 7,901,856 | **-2,109,670** (extreme short) | +1,976,918 |
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| 10Y Note | 7,386,053 | **-936,190** (extreme short) | +869,999 |
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| Ultra 10Y | 2,598,191 | -100,127 | +238,598 |
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| UST Bond | 2,172,484 | +4,672 | -141,824 |
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| Ultra UST Bond | 2,262,466 | **-271,517** (extreme short) | +251,929 |
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**Key Observations:**
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- **Massive short bets on the yield curve:** Non-commercial traders are aggressively short 2Y, 5Y, and Ultra UST Bonds. This signals expectations for higher rates or steepening.
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- **2Y Note:** 39.3% of open interest is speculative shorts - extremely one-sided.
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- **5Y Note:** 33.6% speculative shorts vs only 6.9% longs - historic imbalance.
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---
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## Innovative Insights
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### 1. Crowded Trade Risk Assessment
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**High Squeeze Risk Positions:**
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| Market | Concentration Score | Risk Level |
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|--------|-------------------|------------|
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| 2Y Note Shorts | 39.3% OI | **EXTREME** |
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| 5Y Note Shorts | 33.6% OI | **EXTREME** |
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| Soybean Longs | 20.0% OI | HIGH |
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| Wheat-SRW Shorts | 32.2% OI | HIGH |
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A dovish Fed surprise or weaker economic data could trigger violent short squeezes in Treasury futures.
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### 2. Commercial/Speculator Divergence Signal
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Using the **Commercial-Speculator Spread** as a contrarian indicator:
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```
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Soybeans: Commercials heavily short while specs long → potential top forming
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Corn: Commercials net long, specs slightly short → potential bottom
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2Y Note: Extreme divergence → watch for reversal when specs cover
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```
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### 3. Cross-Market Flow Analysis
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**The "Risk-Off Rotation" Pattern:**
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- Speculators are betting *against* Treasuries (short rates) but *for* Soybeans
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- This is atypical - usually soybean longs and Treasury shorts don't coincide
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- Suggests: Either inflation hedge (commodities up, rates up) OR a fragmented macro view
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### 4. Concentration Risk in Smaller Markets
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| Market | Top 4 Traders (Long) | Top 4 Traders (Short) | Manipulation Risk |
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|--------|---------------------|----------------------|-------------------|
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| 3Y ERIS Swap | 100% | 82.1% | **CRITICAL** |
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| 2Y ERIS Swap | 97.9% | 62.9% | **HIGH** |
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| BBG Commodity | 80.3% | 88.1% | **HIGH** |
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| DJ Real Estate | 44.8% | 64.7% | MODERATE |
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ERIS SOFR Swap markets are dominated by a handful of players - liquidity events could be severe.
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### 5. Open Interest Momentum Signal
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**Weekly OI Changes (Conviction Indicator):**
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- **10Y Note:** +487,290 contracts (+7.1%) - massive new positioning
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- **Soybeans:** +73,916 contracts (+6.1%) - bulls adding aggressively
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- **Wheat-SRW:** -46,415 contracts (-8.5%) - traders exiting, trend exhaustion?
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### 6. Non-Reportable (Retail) Positioning
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| Market | Retail Long % | Retail Short % | Smart Money Alignment |
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|--------|--------------|----------------|----------------------|
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| Corn | 8.5% | 9.3% | Neutral |
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| Soybeans | 4.7% | 7.4% | Retail fading the rally |
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| UST Bond | 12.9% | 6.6% | Retail long, specs neutral |
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| Ultra Bond | 8.8% | 7.9% | Retail long, specs short |
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Retail is betting *against* the speculator short in bonds - a contrarian signal.
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---
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## Summary: Actionable Signals
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1. **High conviction trade watch:** Soybean long crowding + commercial hedging = potential reversal setup
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2. **Squeeze alert:** Treasury 2Y/5Y shorts are historically extreme - any Fed pivot triggers violent unwind
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3. **Wheat capitulation:** Large OI decline + bearish positioning = potential washout bottom
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4. **Illiquidity pockets:** ERIS swap markets are one-sided - avoid size positions
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5. **Divergence opportunity:** Corn commercials positioning bullish vs. weak speculator sentiment
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---
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*Source: CFTC Commitments of Traders Long Report - CBT Combined (February 17, 2026)*
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