Futures COT Analysis: CME BTC and COMEX GC

Correlation between bitcoin and gold has been one of the favourite industry-related topics lately. Bitcoin’s key narrative as “digital gold” has been relevant as the asset is considered to be in the same scarce resource segment with physical gold. In 2019, bitcoin’s correlation with gold grew from May negative values to positive 0,17 in early July. Towards Q1 2020 the correlation has been weakening with 0,09 by the release of this blog post.

The mounting panic (or potential pandemic) stemming from coronavirus hit S&P500 and Dow Jones hard in mid-February as it became imminent that China is unable to contant the virus within its borders. Alongside stocks, bitcoin also was hit.

In addition to bitcoin, gold also suffered by COVID-19. Last year was a brilliant for gold (GLD) 18,36% annual change, in 2020 alone gold is up 22,9% YTD. However, COVID-19 caused gold to retrace in late February as well.

Besides the price action, fundamentals are obligatory for any smart investor. When evaluating futures, the COT report (Commitments of Traders Report), is one of the most important publications in the futures market. The COT report is published every Friday at 3.30 pm ET by CFTC (Commodity Futures Trading Commission) to provide market participants with a breakdown of open interest positions.

[CME BTC Futures]

Net Positions

The COT data shows that leveraged funds segment, id est hedge funds, are holding a record amount of short positions currently, with -2737 net positions on February 25th. These positions might be outright straight shorts or then part of extended cash & carry strategy.

COT data shows nonreportable positions to be relatively bullish with 1166 net positions. Other reportables were bullish as well with 1703 net positions. Asset managers had -25 and dealers -107, respectively.

Long Positions

While heavily net short, leveraged funds also had 1774 long contracts by 25th of February. Other reportables had 1741 long contracts and nonreportables 1593. Asset managers and dealers had smallish amount of longs with 164 and 71 for the latter.

Short Positions

As mentioned above, leveraged funds, aka hedge funds, were holding a record amount of short positions towards the end of 2019 and in Q1 2020. By February 18th 2020, leveraged funds held 5258 short contracts, the highest amount of shorts in 24 months. The reason for significant short might be cash and carry strategy conducted by the hedge funds.

Cash and carry strategy is a market neutral strategy combining the purchase of a long position in an asset and the sale of a position in a futures contract on that same underlying asset. Cash and carry strategy seeks to exploit pricing inefficiencies for the asset in the cash or spot market and futures markets, in order to make riskless profits. Additionally, the futures contract must be theoretically expensive relative to the underlying asset or the arbitrage will not be profitable.

Other categories had relatively low amount of straight short positions, with under 500 contracts for each.

[COMEX GC (Gold) Futures]

Net Positions

Managed money had a massive amount net long positions in the gold market, with 238 546 net positions on 18th February 2020. Managed money is segment of COMEX traders which represents registered commodity trading advisors (CTA), registered commodity pool operators (CPO), and unregistered funds identified by the CFTC.

Other reportables were another segment with net long positions, 115 103 on 18.2.2020. Other reportables is a category of COMEX traders which represents traders that do not fit into any other category. Usually these are larger traders that trade for their own accounts.

Long Positions

As mentioned above, managed money has been significantly net long through mid-2019 and early 2020. The amount of long positions increased to 278 286 (18.2.2020) a 24-month record. Other reportables held 126 121 long contracts by 25th of February, gradually increasing them along 2019. Swaps held 111 284 long positions by the end of February, nonreportables and producers held under 100K long each.

Producers / Merchants / Processors / Users is a category of COMEX traders which represents companies and institutions that engage in the production, processing, packing or handling of a physical commodity and use the futures markets to manage or hedge risks associated with those activities.

Short Positions

Swap dealers had high amount of short gold contracts with -341 159 on January 28th. The amount of short positions held by swap dealers represents a 36-month record. Producers held -176 211 short contracts by the end of February. The amount of short positions by other segments remained relatively low. The reason for high amount of shorts by swap dealers and producers managing or hedging the risk associated with those swap transactions.


The COT data provided by CFTC is a valuable instrument for understanding the underlying fundamentals of bitcoin and gold markets. Especially the record amount of short bitcoin positions by hedge funds and long gold positions by managed money are definitely trends worth following through 2020.

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Data sources: CFTC. CME. Coin Metrics. COMEX. dcresearch.

Author: Timo Oinonen. Twitter. LinkedIn.

Feedback / questions? Ping me -> timo@dcresearch.io.

Follow dcresearch on Twitter -> twitter.com/dcresearch_io.


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