COT Bonds Futures Charts: 2-Year, 5-Year Treasury Notes, Eurodollars, Fed Funds

March 6, 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 02 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: 7.1 72.2 1.8
– Percent of Open Interest Shorts: 18.3 60.2 2.5
– Net Position: -111,057 118,220 -7,163
– Gross Longs: 69,511 711,875 17,501
– Gross Shorts: 180,568 593,655 24,664
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 15.6 84.4 58.1
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -18.6 18.0 3.7

 


2-Year Treasury Note:

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.0 73.7 6.7
– Percent of Open Interest Shorts: 29.3 64.5 4.7
– Net Position: -257,527 211,452 46,075
– Gross Longs: 410,969 1,682,377 153,211
– Gross Shorts: 668,496 1,470,925 107,136
– Long to Short Ratio: 0.6 to 1 1.1 to 1 1.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 33.3 58.1 59.2
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 5.8 -0.2 -14.2

 


5-Year Treasury Note:

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.0 70.5 7.6
– Percent of Open Interest Shorts: 19.2 68.7 10.1
– Net Position: 26,487 60,979 -87,466
– Gross Longs: 699,766 2,467,626 266,697
– Gross Shorts: 673,279 2,406,647 354,163
– Long to Short Ratio: 1.0 to 1 1.0 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 92.8 15.2 41.5
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 27.5 -18.4 -21.3

 


10-Year Treasury Note:

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.0 72.1 8.8
– Percent of Open Interest Shorts: 17.7 64.3 14.0
– Net Position: -95,611 278,002 -182,391
– Gross Longs: 534,323 2,563,667 314,620
– Gross Shorts: 629,934 2,285,665 497,011
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 72.7 44.6 24.5
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.6 19.6 -16.7

 


Ultra 10-Year Notes:

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.4 68.0 8.3
– Percent of Open Interest Shorts: 8.0 72.3 18.4
– Net Position: 182,235 -53,882 -128,353
– Gross Longs: 284,102 863,870 104,869
– Gross Shorts: 101,867 917,752 233,222
– Long to Short Ratio: 2.8 to 1 0.9 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 97.1 22.5 0.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 19.4 -9.2 -26.7

 


US Treasury Bonds:

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.8 76.5 12.2
– Percent of Open Interest Shorts: 25.3 57.6 15.6
– Net Position: -190,334 232,454 -42,120
– Gross Longs: 120,484 939,647 149,680
– Gross Shorts: 310,818 707,193 191,800
– 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): 20.3 94.2 22.0
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.5 6.0 -21.1

 


Ultra US Treasury Bonds:

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.7 80.9 11.7
– Percent of Open Interest Shorts: 28.1 57.1 13.2
– Net Position: -255,460 272,678 -17,218
– Gross Longs: 65,849 926,471 134,351
– Gross Shorts: 321,309 653,793 151,569
– 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): 64.7 57.3 0.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.6 18.1 -7.8

 


3-Month Eurodollars:

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.8 50.4 4.8
– Percent of Open Interest Shorts: 14.5 53.1 7.4
– Net Position: 606,399 -308,521 -297,878
– Gross Longs: 2,268,350 5,771,615 545,063
– Gross Shorts: 1,661,951 6,080,136 842,941
– Long to Short Ratio: 1.4 to 1 0.9 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 70.6 28.2 64.6
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.8 2.4 -15.3

 


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).