The Futures and Options Combined COT Report is a Commitments of Traders report format that combines futures positions with positions in options on futures after converting the option component to a delta-adjusted futures-equivalent basis. It is not a separate trader-classification family: the applicable COT report family still determines which trader categories appear. Legacy, Disaggregated and Traders in Financial Futures reports are available in both futures-only and futures-and-options-combined forms, while the Supplemental COT Report is a combined-format report for selected agricultural markets.
Why “combined” does not mean adding option contracts
Option positions cannot simply be added contract-for-contract to futures positions because an option generally does not carry the same directional exposure as one futures contract. In the combined methodology, option open interest and trader positions are converted to futures-equivalent amounts using delta factors. Long calls and short puts contribute long futures-equivalent exposure; short calls and long puts contribute short futures-equivalent exposure. Those amounts are then added to the corresponding futures positions to produce combined-long and combined-short figures.
The distinction affects more than the category positions. Combined open interest also incorporates the futures-equivalent option component, so percentages of open interest use a different exposure denominator from a futures-only report. In addition, an option's delta can change over time. The futures-equivalent contribution of an unchanged option holding can therefore move even when the number of option contracts held has not changed. A week-to-week movement in a combined COT series need not represent a one-for-one change in raw contract holdings.
Same classification framework, different exposure measure
The combined format preserves the classification framework of its underlying report family. A Disaggregated combined report uses Producer/Merchant/Processor/User, Swap Dealer, Managed Money and Other Reportables; a Traders in Financial Futures combined report uses Dealer/Intermediary, Asset Manager/Institutional, Leveraged Funds and Other Reportables; and a Legacy combined report retains the Commercial and Non-Commercial classifications. Including options does not create a new universal set of trader categories.
Like the wider COT system, the reports generally describe positions as of Tuesday's close and are published by the CFTC on Friday at 3:30 p.m. Eastern Time. Holidays can change that schedule. The distinction between the report date and the public-release date matters in point-in-time research because Tuesday's positioning was not public information on Tuesday.
The combined format is useful when option exposure is economically meaningful and a futures-only view would omit part of reported derivatives positioning. The two formats should not, however, be treated as interchangeable time series. Their difference reflects a measurement methodology as well as instrument coverage, and switching between them can create an apparent positioning change that comes from dataset construction rather than an equivalent change in trader contract holdings.