The Supplemental COT Report is a weekly Commodity Futures Trading Commission (CFTC) report family that isolates Commodity Index Trader positioning within selected agricultural markets. The current Supplemental report covers 13 selected agricultural commodity contracts and is published only in a Futures-and-Options-Combined format. It breaks reportable open interest into Non-Commercial, Commercial, and Index Trader classifications, with nonreportable positions shown separately. In the traditional report table, spreading is reported separately for Non-Commercial traders, while Commercial and Index Trader positions are shown as long and short.
The report normally describes positions as of the preceding Tuesday and is generally released Friday at 3:30 p.m. Eastern Time; holidays or other disruptions can alter that schedule. Because the Supplemental report is combined, option open interest and traders' option positions are converted to futures-equivalent positions using delta factors and then combined with futures positions. The resulting figures therefore should not be interpreted as raw option contract counts.
Why Index Trader is not a direct measure of index trading
The report's defining feature is the Index Trader classification, but that category is not a transaction-by-transaction identification of commodity-index activity. For Supplemental-report purposes, the CFTC applies a trader classification rather than labeling each individual position by motive. If index-related trading predominates for a trader under the Supplemental methodology, the trader's positions are classified as index related even when some positions reflect other activity.
This creates an important measurement boundary. Published Index Trader positions can overstate actual index trading when a classified trader also conducts non-index activity, and they can understate it when index exposure is internally netted against other positions before reaching the futures market. Index activity can also be absent from the category when it is not a substantial part of a trader's overall activity. The series is therefore a trader-classification aggregate, not a clean decomposition of every position by economic purpose or a direct measure of investment flows.
Relationship to other COT reports
The CFTC began publishing the COT-Supplemental in January 2007. The initial report covered 12 selected agricultural commodities, whereas the current report covers 13, so historical research should not assume that today's coverage applied from inception. This is especially relevant when constructing long time series or comparing category totals across different periods.
Index Trader also should not be treated as equivalent to the Swap Dealer category in the Disaggregated COT Report. The CFTC has noted that the Disaggregated Swap Dealer category can include swap dealers with no commodity-index business, while the Supplemental Index Trader category can include pension or other investment funds that obtain index exposure directly rather than through a swap dealer. The Supplemental report is therefore most useful when the research question concerns the CFTC's classified index-trader positioning in its covered agricultural markets, not when a position-by-position estimate of commodity-index investment, a futures-only view, or the Disaggregated report's participant taxonomy is required.