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Mapping a CFTC COT Code to Japanese Yen Futures

Article Quant Q&A · Author: Kok Wooi Hew
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Summary

The document answers a question about matching a CFTC Commitments of Traders report code to the futures contract it represents. It identifies code 097741 with Japanese yen futures and points to the standard CME 6J contract as the corresponding market instrument.

This is a narrow reference example rather than a method for analyzing positioning or building a trading signal. The answer distinguishes the report’s contract code from related smaller-sized products mentioned in the question, but gives little detail about how the mapping was verified beyond citing CFTC report information and CME contract specifications. Users applying the mapping should check the relevant report format and current exchange listings, since product names and reporting conventions can change.

Key ideas

  • CFTC code 097741 is identified with Japanese yen futures.
  • The answer maps that code to the CME 6J contract.
  • A COT contract code should not be assumed to include every related contract size.
  • The document offers a reference mapping, not a positioning strategy.

Tags

FuturesForexUS markets
Full text
# CFTC COT reports


# CFTC COT reports












Beginner question. As I understand it (vaguely), the COT report contains information on activities (eg. long/short position held) for specific futures contracts. Take, for instance, COT for 13874A, the corresponding futures contracts would be the ES (E-Mini S&P 500) future contract.

Now, what about 097741? Which are the corresponding futures contract? 6J, J7(e-mini JPY/USD), MJY(Micro JPY/USD)? Or all?

## Answer by swordfish81 (score 1)

https://quant.stackexchange.com/a/59322

According to the CFTC COT Report, as below, you can see that the #097741 CFTC code refers to the 12,500,000 contracts of the JPY futures.

The same can be found here on the CME website, https://www.cmegroup.com/trading/fx/g10/japanese-yen_contract_specifications.html

So to answer your question, this relates to 6J

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