The Commitment of Traders (COT) report is a weekly publication by CFTC ('Commodity Futures Trading Commission' ), each Friday at 3pm.
COT data shows the aggregate holdings of different participants in the U.S. futures market, divided into groups. Some of the most famous groups are the 'Commercials', 'Non-Commercials', and 'Asset Managers'.
The description of each group is available in the COT Chart page and in this article.
Why COT data helps Retail Traders
COT data shows how the different categories (groups) of traders are positioned in futures and options. More than one category can be seen as 'Smart Money'.
In other words, COT gives us the possibility to follow the traders with the most advanced knowledge of that market.