COT Bonds Futures Charts: 10-Year Treasury Notes, Eurodollar, Fed Funds

February 20, 2021

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Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday February 16 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


30-Day Federal Funds:

Fed Funds Futures Chart

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.8 69.6 1.6
– Percent of Open Interest Shorts: 18.8 62.3 1.9
– Net Position: -80,391 83,820 -3,429
– Gross Longs: 136,008 799,270 18,550
– Gross Shorts: 216,399 715,450 21,979
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 19.9 79.7 64.9
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -17.9 16.8 9.8

 


2-Year Treasury Note:

2-year bond Futures Chart

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.1 67.6 7.1
– Percent of Open Interest Shorts: 28.2 64.0 4.6
– Net Position: -142,489 85,740 56,749
– Gross Longs: 518,150 1,584,929 165,585
– Gross Shorts: 660,639 1,499,189 108,836
– Long to Short Ratio: 0.8 to 1 1.1 to 1 1.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 57.2 33.9 64.8
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.6 -4.8 -8.7

 


5-Year Treasury Note:

5-year bond Futures Chart

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.5 66.6 8.3
– Percent of Open Interest Shorts: 22.7 65.4 9.4
– Net Position: -6,152 43,260 -37,108
– Gross Longs: 793,241 2,345,137 292,707
– Gross Shorts: 799,393 2,301,877 329,815
– Long to Short Ratio: 1.0 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 93.7 13.6 60.2
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 29.8 -20.1 -17.3

 


10-Year Treasury Note:

10-year Futures Chart

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.9 69.3 9.5
– Percent of Open Interest Shorts: 15.0 67.5 14.2
– Net Position: 103,413 64,055 -167,468
– Gross Longs: 645,250 2,498,104 343,023
– Gross Shorts: 541,837 2,434,049 510,491
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 94.6 23.9 31.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.3 4.8 -32.9

 


Ultra 10-Year Notes:

ultra 10-year bonds Futures Chart

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.1 69.5 9.0
– Percent of Open Interest Shorts: 6.6 72.9 18.1
– Net Position: 157,117 -43,013 -114,104
– Gross Longs: 239,996 872,832 113,410
– Gross Shorts: 82,879 915,845 227,514
– Long to Short Ratio: 2.9 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 88.7 25.8 4.6
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.8 -3.1 -17.3

 


US Treasury Bonds:

long us bond Futures Chart

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.4 75.9 12.7
– Percent of Open Interest Shorts: 24.2 58.0 14.8
– Net Position: -191,002 215,916 -24,914
– Gross Longs: 101,705 916,697 153,685
– Gross Shorts: 292,707 700,781 178,599
– Long to Short Ratio: 0.3 to 1 1.3 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 20.1 88.9 35.2
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.0 6.4 -12.8

 


Ultra US Treasury Bonds:

ultra us treasury Futures Chart

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.1 77.7 12.9
– Percent of Open Interest Shorts: 28.5 56.7 13.6
– Net Position: -229,297 237,111 -7,814
– Gross Longs: 91,785 875,369 144,842
– Gross Shorts: 321,082 638,258 152,656
– Long to Short Ratio: 0.3 to 1 1.4 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 73.3 44.0 6.5
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.6 -4.9 6.5

 


3-Month Eurodollars:

eurodollars bonds Futures Chart

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.3 48.9 5.2
– Percent of Open Interest Shorts: 13.4 51.7 7.3
– Net Position: 563,386 -317,754 -245,632
– Gross Longs: 2,087,589 5,566,009 586,384
– Gross Shorts: 1,524,203 5,883,763 832,016
– Long to Short Ratio: 1.4 to 1 0.9 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 70.0 28.0 71.3
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.9 4.8 -18.7

 


Article By CountingPips.comReceive our weekly COT Reports by Email

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators).


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Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).