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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?

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  • $\begingroup$ I don't know a complete list of the CTFC ID's used in COT reports (does any one?). However it does seem that 13874A refers to ES, while 13874+ includes all S&P 500 type contracts on the CME (consolidated S&P500). From the fact that CFTC ID 097741 is described as .CONTRACTS OF JPY 12,500,000 it seems to be the 6J contract cftc.gov/MarketReports/CommitmentsofTraders/AbouttheCOTReports/… Sorry I don't have a more authoritative answer. Maybe you should ask Quandl or the CFTC. $\endgroup$ – noob2 Oct 17 '20 at 12:05
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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. CFTC COT

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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  • $\begingroup$ thank you for your answer. So do the numbers in the report correspond to only 6J contracts? What about J7 and MJY? I can't seem to find the COT reports related to them. $\endgroup$ – Kok Wooi Hew Nov 20 '20 at 13:21
  • $\begingroup$ COT report is for institutional buying/selling activity. I doubt, when the regular contract is available, any institution would be looking at trading these mini/micro futures contracts. $\endgroup$ – Sledge81 Nov 21 '20 at 11:50

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