COT Bonds Futures Charts: Eurodollars, 2-Year, 5-Year, Ultra 10-Year Notes, 30-Day Fed Funds

March 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 March 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:

30-Day Federal Funds

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.1 71.7 1.9
– Percent of Open Interest Shorts: 17.6 59.6 2.6
– Net Position: -120,238 126,824 -6,586
– Gross Longs: 63,712 751,386 20,219
– Gross Shorts: 183,950 624,562 26,805
– 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): 14.3 85.6 59.1
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.1 2.0 1.0

 


2-Year Treasury Note:

2-Year Treasury Note

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.1 76.0 5.9
– Percent of Open Interest Shorts: 29.5 62.9 5.6
– Net Position: -316,515 309,918 6,597
– Gross Longs: 381,076 1,799,172 138,912
– Gross Shorts: 697,591 1,489,254 132,315
– Long to Short Ratio: 0.5 to 1 1.2 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 21.0 77.0 38.3
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -22.1 31.4 -30.0

 


5-Year Treasury Note:

5-Year Treasury Note

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.0 72.4 7.9
– Percent of Open Interest Shorts: 14.9 71.2 11.2
– Net Position: 71,859 41,620 -113,479
– Gross Longs: 581,434 2,478,234 269,227
– Gross Shorts: 509,575 2,436,614 382,706
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 97.6 13.4 31.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 19.4 -8.1 -35.7

 


10-Year Treasury Note:

10-Year Treasury Note

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.4 72.3 8.1
– Percent of Open Interest Shorts: 17.3 66.9 13.5
– Net Position: 4,104 204,053 -208,157
– Gross Longs: 661,262 2,750,856 306,792
– Gross Shorts: 657,158 2,546,803 514,949
– Long to Short Ratio: 1.0 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 83.7 37.4 17.4
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.0 12.2 -19.8

 


Ultra 10-Year Notes:

Ultra 10-Year Notes

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 26.2 64.0 9.0
– Percent of Open Interest Shorts: 6.0 74.5 18.6
– Net Position: 255,181 -133,158 -122,023
– Gross Longs: 331,359 809,744 113,453
– Gross Shorts: 76,178 942,902 235,476
– Long to Short Ratio: 4.3 to 1 0.9 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 100.0 0.0 6.1
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 34.6 -35.1 -8.0

 


US Treasury Bonds:

US Treasury Bonds

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.7 77.1 12.7
– Percent of Open Interest Shorts: 19.6 61.4 16.4
– Net Position: -143,237 188,582 -45,345
– Gross Longs: 92,408 927,941 152,576
– Gross Shorts: 235,645 739,359 197,921
– 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): 38.2 80.2 19.5
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 23.3 -16.0 -16.1

 


Ultra US Treasury Bonds:

Ultra US Treasury Bonds

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 81.1 12.3
– Percent of Open Interest Shorts: 27.7 58.9 12.4
– Net Position: -258,663 260,207 -1,544
– Gross Longs: 65,590 950,409 144,267
– Gross Shorts: 324,253 690,202 145,811
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 64.2 52.3 13.4
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.4 13.9 10.8

 


3-Month Eurodollars:

3-Month Eurodollars

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.8 47.8 5.2
– Percent of Open Interest Shorts: 16.2 51.5 8.2
– Net Position: 703,331 -391,915 -311,416
– Gross Longs: 2,417,592 5,063,373 553,161
– Gross Shorts: 1,714,261 5,455,288 864,577
– 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): 72.1 27.0 62.9
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.3 -1.9 -18.4

 


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).