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

March 13, 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 March 09 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:

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.7 73.5 2.1
– Percent of Open Interest Shorts: 19.1 59.6 2.6
– Net Position: -135,338 140,437 -5,099
– Gross Longs: 58,039 742,470 21,275
– Gross Shorts: 193,377 602,033 26,374
– Long to Short Ratio: 0.3 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 12.2 87.5 61.8
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.1 14.5 4.4

 


2-Year Treasury Note:

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.7 75.7 6.5
– Percent of Open Interest Shorts: 32.7 60.4 4.8
– Net Position: -407,364 366,500 40,864
– Gross Longs: 375,846 1,812,750 156,826
– Gross Shorts: 783,210 1,446,250 115,962
– Long to Short Ratio: 0.5 to 1 1.3 to 1 1.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 2.1 87.9 56.4
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -35.6 38.4 -15.1

 


5-Year Treasury Note:

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.8 72.3 7.9
– Percent of Open Interest Shorts: 18.2 68.7 11.1
– Net Position: -14,305 123,653 -109,348
– Gross Longs: 614,922 2,497,297 273,242
– Gross Shorts: 629,227 2,373,644 382,590
– Long to Short Ratio: 1.0 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 88.6 20.7 33.4
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.8 2.5 -42.1

 


10-Year Treasury Note:

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.8 71.7 8.3
– Percent of Open Interest Shorts: 18.0 64.9 13.9
– Net Position: -46,131 250,678 -204,547
– Gross Longs: 616,241 2,638,520 305,914
– Gross Shorts: 662,372 2,387,842 510,461
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 78.2 41.9 18.4
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.1 15.4 -21.1

 


Ultra 10-Year Notes:

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 24.2 65.8 8.5
– Percent of Open Interest Shorts: 6.9 73.5 18.2
– Net Position: 224,382 -98,724 -125,658
– Gross Longs: 313,444 852,123 109,483
– Gross Shorts: 89,062 950,847 235,141
– Long to Short Ratio: 3.5 to 1 0.9 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 100.0 8.7 2.6
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 32.7 -27.6 -17.4

 


US Treasury Bonds:

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 76.5 12.3
– Percent of Open Interest Shorts: 24.4 58.4 15.7
– Net Position: -178,806 218,869 -40,063
– Gross Longs: 116,329 924,857 149,104
– Gross Shorts: 295,135 705,988 189,167
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 26.0 89.9 23.6
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.0 1.5 -17.8

 


Ultra US Treasury Bonds:

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 81.3 11.9
– Percent of Open Interest Shorts: 27.0 58.9 12.8
– Net Position: -250,679 260,600 -9,921
– Gross Longs: 62,968 943,406 138,132
– Gross Shorts: 313,647 682,806 148,053
– Long to Short Ratio: 0.2 to 1 1.4 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 66.3 52.4 6.2
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.6 18.3 -2.9

 


3-Month Eurodollars:

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.4 49.1 5.1
– Percent of Open Interest Shorts: 15.1 52.7 7.9
– Net Position: 740,975 -420,211 -320,764
– Gross Longs: 2,490,606 5,708,260 596,502
– Gross Shorts: 1,749,631 6,128,471 917,266
– 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): 72.7 26.6 61.7
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.8 -0.4 -19.6

 


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).