KC SPECIALIST · Softs / Positioning
Z3458 – [KC] DCOT Dealer Commercial Split Signal
Commercial dealer positioning in Arabica futures drives the price regime via physical-hedge demand; the DCOT dealer z-score captures this flow.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.738
SEASONAL STATE
IN-SEASON · ACTIVE
CFTC DCOT weekly Friday release drives signal refresh.
Signal state
Dealer Long
427 days in Healthy phase
Updated
Nov 04, 2026
CFTC DCOT weekly release
Sample
20-year window
Weekly cadence; 2006 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The CFTC Disaggregated Commitments of Traders report breaks commercial positions into dealer- intermediary, asset-manager, and other-reportable categories. Dealer positions proxy physical-hedge demand from merchants and roasters; dealer long concentration indicates heavy physical-market hedging flow which empirically precedes Arabica forward 60-day weakness. The signal reads the CFTC DCOT dealer-intermediary net position, z-scores on a rolling window, and tanh-bounds. Daily Spearman IC against Arabica forward 60-day returns is minus 0.142 at p-value 2.8e-24 across 5,066 observations, strongly significant on the 20-year DCOT sample. The polarity is contrarian; dealer long concentration precedes KC weakness and dealer short concentration precedes KC strength. The pattern is non-monotone around Phase 0; readers must use the extremes.
LIVE CHART
KC DCOT Dealer Commercial Split Signal
What the chart is showing right now. The dark line is the CFTC DCOT dealer-intermediary net position in ICE US Coffee C futures, z-scored on a rolling window and tanh-bounded. Positive composite means dealer long concentration (heavy physical-hedge demand); negative composite means dealer short concentration. The bronze line in the middle panel is ICE US Coffee C first-nearby. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
+0.738 / tanh
STATE
Dealer Long
PHASE
+0.95
PHASE +1 EDGE
-2.58 pp
PHASE -1 EDGE
+0.67 pp
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
Dealer Long firing at composite +0.738, 427 trading days running in HEALTHY phase. Phase +1 (Dealer Long) delivers minus 0.13 percent fwd60d / minus 2.58 pp below plus 2.45 percent baseline. Phase -1 (Dealer Short) delivers plus 3.12 percent / plus 0.67 pp above baseline. Daily Spearman IC minus 0.142 at p-value 2.8e-24 strongly significant.
THE POSITIONING MECHANISM
CFTC Disaggregated Commitments of Traders breaks commercial positioning into dealer-intermediary and other reportable categories. Dealer-intermediary positions proxy physical-hedge demand from merchants and roasters. Heavy dealer long concentration means roasters are actively hedging physical long inventory via futures; empirically this precedes Arabica forward weakness as the hedge pressure works through.
HOW TO POSITION
Contrarian positioning overlay for Arabica. Dealer Long firings flag regimes where heavy physical- hedge demand precedes Arabica weakness; Dealer Short firings flag regimes where physical-hedge pressure has unwound and Arabica strength may follow. Pair with ENSO supply signals, USDA PSD, and Cecafe realized-price for full conviction.
WHAT THE CHART SHOWS
The composite sits at +0.738 in the Dealer Long band. CFTC DCOT dealer- intermediary net position has run elevated above the rolling z-score mean through 2026 and Arabica forward 60-day returns historically run below baseline in this regime.
TOP INPUTS FIRING
- Primary composite +0.738 State Dealer Long, 427 days running in HEALTHY phase (extended persistence episode).
- CFTC DCOT dealer-intermediary net position elevated Raw z-score +0.95; CFTC DCOT dealer long concentration has run elevated through 2026 consistent with heavy physical-hedge demand regime.
- Daily IC strongly significant, non-overlap not independent Daily Spearman IC minus 0.142 at p-value 2.8e-24 strongly significant on full distribution. Non-overlap IC minus 0.102 at p-value 0.35 not independently significant on 85 samples.
THE TAKEAWAY
What this means for you today
THE POSITIONING CALL
Composite +0.738, Dealer Long. CFTC DCOT dealer-intermediary net position has run elevated above the rolling z-score mean through 2026. Signal firing in Dealer Long bucket for 427 days (extended persistence); forward 60-day edge in Phase +1 historically runs minus 2.58 pp below baseline.
THE EMPIRICAL CONTEXT
Daily IC minus 0.142 at p-value 2.8e-24 strongly significant on 20-year DCOT sample. Phase +1 (Dealer Long) delivers minus 2.58 pp below baseline; Phase -1 (Dealer Short) delivers plus 0.67 pp. 3.25 pp directional spread between Phase +1 and Phase -1.
THE HONEST CAVEAT
Non-overlap IC at 60-day sampling minus 0.102 at p-value 0.35 not independently significant on 85 samples. Phase pattern is non-monotone around Phase 0 (On Trend delivers plus 5.72 pp); extreme buckets carry the contrarian directional information. 20-year DCOT sample is shorter than the full KC price history. Dealer positions can persist in extreme regimes for extended periods (current Phase +1 episode at 427 days).
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 5,066 post-warmup trading days (2006 onward). Baseline Arabica fwd60d mean plus 2.45 percent. Phase +1 (Dealer Long) delivers -2.58 pp edge; Phase -1 (Dealer Short) delivers +0.67 pp. 3.25 pp directional spread with daily IC minus 0.142 strongly significant.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Dealer Long TODAY | +1 | 42.5% (2152 d) | -0.13% | -2.58pp | 2026 (current), 2022, 2011 | |
| On Trend | 0 | 14.1% (716 d) | +8.18% | +5.72pp | various | |
| Dealer Short | -1 | 43.4% (2198 d) | +3.12% | +0.67pp | 2019, 2015, 2007 |
The historical pattern
Signature episodes in the 20-year sample
What this measures
Z-score of CFTC Disaggregated Commitments of Traders dealer-intermediary net position in ICE US Coffee C futures, tanh-bounded. Positive composite equals dealer long concentration (heavy physical-market hedging); negative composite equals dealer short concentration. Target ICE US Coffee C first-nearby back-adjusted close.
Why it matters
Why dealer commercial positioning matters
CFTC Disaggregated Commitments of Traders dealer-intermediary category is the cleanest regulatory window into physical-hedge demand from coffee merchants and roasters. Heavy dealer long concentration means roasters are actively hedging physical long inventory via futures. Empirically this precedes Arabica forward weakness at 60-day horizons as the physical-hedge pressure works through the market and extends into subsequent weeks.
How to use this signal today
Contrarian positioning overlay for Arabica. Dealer Long firings flag regimes where heavy physical- hedge demand precedes Arabica weakness; Dealer Short firings flag regimes where physical-hedge pressure has unwound and Arabica strength may follow. Pair with ENSO supply signals, USDA PSD, and Cecafe realized-price for full conviction. The positioning signal tells WHAT IS HAPPENING in the dealer book; pair with supply fundamentals for the full read.
Risk overlay
Daily IC strongly significant but non-overlap test (85 independent 60-day samples) minus 0.102 at p-value 0.35 not independently significant. Phase pattern is non-monotone around Phase 0 (On Trend delivers plus 5.72 pp); the middle bucket outperforms both extremes and must not be read as neutral. Dealer positions can persist in extreme regimes for extended periods; current Phase +1 episode at 427 days is a cautionary example.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 05, 2026 11:45 PM ET