FX Volatility Intelligence
FX Positioning — CFTC COT Monitor
Net speculative currency positioning from the CFTC's weekly TFF report, with z-scores against 3-year history.
CFTC Positioning — Traders in Financial Futures (TFF)
Net Leveraged Money (hedge fund + CTA) positions in G10 FX futures. Z-score vs 2Y history. Source: CFTC Traders in Financial Futures (TFF), weekly. Free data.
Positioning × Vol Regime
X = net spec Z-score (positioning extremeness). Y = 20D RVol percentile vs 1Y. Top-right = extreme-long positioning + rich vol (squeeze risk). Bottom-left = extreme-short + cheap vol (capitulation). Middle = balanced.
About the positioning monitor
The monitor tracks net speculative positioning in currency futures from the CFTC's Traders in Financial Futures (TFF) report — the weekly public dataset behind most "COT positioning" commentary. Coverage spans EUR, GBP, JPY, CHF, CAD, AUD and NZD, with each currency's net position expressed as a z-score against its own 3-year history so you can see crowding at a glance.
Positioning is a contrarian-leaning input: extreme longs or shorts mark trades that are crowded, and crowded trades unwind hard when the narrative breaks. A stretched z-score doesn't time the turn, but it tells you which currencies have the most positioning fuel for one.
Frequently asked questions
What is the CFTC COT report?
The Commitments of Traders (COT) report is published weekly by the US Commodity Futures Trading Commission. The Traders in Financial Futures (TFF) variant breaks down currency futures positions by trader type — dealers, asset managers, leveraged funds, and others — making the net speculative position in each currency publicly visible with a few days' lag.
How do traders use COT positioning data?
Mostly as a crowding gauge. When net speculative positioning hits an extreme versus its own history (a high absolute z-score), the trade is crowded and vulnerable to a squeeze. Positioning data lags by several days and doesn't time reversals, so it is typically combined with price action and the macro calendar rather than used alone.
Realized vol computed from daily FX spot history (Twelve Data, with yfinance and FRED fallback). Carry from FRED OECD MEI 3M interbank rates. Positioning from CFTC Traders in Financial Futures (TFF) — free weekly data. Implied vol surface requires user-supplied OTC quotes.
