How CFTC Short Positions Relate to Futures Open Interest

Summary

The document clarifies that a reported short-interest figure for VIX futures can refer to the short positions held by a particular trader category, rather than to all outstanding futures contracts. The cited Bloomberg series represents CFTC Commitments of Traders data for non-commercial participants, often described as speculators, whose positions are classified as not serving a commercial hedging purpose.

Every futures short has a corresponding long, but those long positions may be held by non-commercial traders, commercial traders, or participants whose positions fall below reporting thresholds. Thus, a category-specific short count is not generally the same measure as total open interest. The explanation is about interpreting a particular CFTC position series; it does not provide a trading signal or discuss how such positioning predicts future prices.

Key ideas

• Open interest counts outstanding futures contracts, with a long and short side for each contract.
• CFTC short-position data can isolate positions held by non-commercial traders.
• Non-commercial traders are often called speculators because their positions are not classified as commercial hedges.
• The offsetting longs may belong to several trader categories, so one group’s shorts do not equal total open interest.

Tags

# Futures short interests vs open interests


# Futures short interests vs open interests












I came across this article talking about "short interests" in VIX futures.

My question is what does "short interest" even mean here? My understanding is that the futures are not "issued" (opposite of how stocks work). An open interests of 10K contracts mean there are total of 10K contracts being bought and 10K contracts being sold. So "short interests" should just be equal to "open interests"?

https://seekingalpha.com/article/4037938-volatility-insights-can-learn-big-short-interest-vix-futures

## Answer by Chris Taylor (score 4, accepted)

https://quant.stackexchange.com/a/49513

The Bloomberg ticker "CVXCTNCS Index" is the CFTC commitments of traders report for short positions of non-commercial traders, i.e. traders categorized by the CFTC as not having a commercial interest in trading VIX futures (e.g. to hedge an exposure created by a product that they are selling to clients). These traders are sometimes referred to as "speculators".

There is an offsetting long position for every short held by non-commercial traders. Some of those longs will be held by other non-commercial traders, some will be held by commercial traders, and some will be categorized as "non-reportable".

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.