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

April 17, 2021

By CountingPips.com COT Home | Data Tables | Data Downloads | Newsletter

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 April 13 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 Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -127,125 contracts in the data reported through Tuesday. This was a weekly lowering of -6,452 contracts from the previous week which had a total of -120,673 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.3 percent. The commercials are Bullish-Extreme with a score of 86.7 percent and the small traders (not shown in chart) are Bullish with a score of 57.6 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.1 69.8 2.3
– Percent of Open Interest Shorts: 20.4 56.8 3.0
– Net Position: -127,125 134,520 -7,395
– Gross Longs: 83,807 723,584 23,358
– Gross Shorts: 210,932 589,064 30,753
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 13.3 86.7 57.6
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.3 2.2 -0.4

 


2-Year Treasury Note Futures:

2-Year Treasury Note Futures

The 2-Year Treasury Note large speculator standing this week came in at a net position of -312,432 contracts in the data reported through Tuesday. This was a weekly increase of 63,388 contracts from the previous week which had a total of -375,820 net contracts.


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This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.8 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 48.4 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.2 76.6 6.3
– Percent of Open Interest Shorts: 29.9 64.0 5.2
– Net Position: -312,432 286,809 25,623
– Gross Longs: 371,174 1,749,602 144,097
– Gross Shorts: 683,606 1,462,793 118,474
– Long to Short Ratio: 0.5 to 1 1.2 to 1 1.2 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 21.8 72.6 48.4
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.4 14.5 -10.8

 


5-Year Treasury Note Futures:

5-Year Treasury Note Futures

The 5-Year Treasury Note large speculator standing this week came in at a net position of -84,247 contracts in the data reported through Tuesday. This was a weekly fall of -76,630 contracts from the previous week which had a total of -7,617 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.3 percent. The commercials are Bearish with a score of 27.1 percent and the small traders (not shown in chart) are Bearish with a score of 30.2 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 78.7 8.2
– Percent of Open Interest Shorts: 13.0 73.0 11.4
– Net Position: -84,247 195,397 -111,150
– Gross Longs: 364,283 2,708,144 282,197
– Gross Shorts: 448,530 2,512,747 393,347
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 81.3 27.1 30.2
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.5 11.9 -9.1

 


10-Year Treasury Note Futures:

10-Year Treasury Note large speculator standing

The 10-Year Treasury Note large speculator standing this week came in at a net position of -2,652 contracts in the data reported through Tuesday. This was a weekly lowering of -87,211 contracts from the previous week which had a total of 84,559 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.9 percent. The commercials are Bearish with a score of 40.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.3 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.7 72.8 7.9
– Percent of Open Interest Shorts: 17.8 66.8 13.8
– Net Position: -2,652 233,204 -230,552
– Gross Longs: 689,720 2,837,439 308,644
– Gross Shorts: 692,372 2,604,235 539,196
– 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): 82.9 40.3 11.3
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.2 -4.3 -13.2

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Notes large speculator standing

The Ultra 10-Year Notes large speculator standing this week came in at a net position of 151,971 contracts in the data reported through Tuesday. This was a weekly decline of -18,664 contracts from the previous week which had a total of 170,635 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.9 percent. The commercials are Bearish with a score of 36.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.3 70.8 8.1
– Percent of Open Interest Shorts: 9.8 72.9 16.5
– Net Position: 151,971 -29,596 -122,375
– Gross Longs: 294,465 1,027,763 117,111
– Gross Shorts: 142,494 1,057,359 239,486
– Long to Short Ratio: 2.1 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 67.9 36.0 10.9
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.0 6.8 5.5

 


US Treasury Bonds Futures:

US Treasury Bonds large speculator standing

The US Treasury Bonds large speculator standing this week came in at a net position of -118,009 contracts in the data reported through Tuesday. This was a weekly advance of 485 contracts from the previous week which had a total of -118,494 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 51.0 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.5 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.7 77.5 13.5
– Percent of Open Interest Shorts: 16.8 63.4 17.5
– Net Position: -118,009 164,665 -46,656
– Gross Longs: 78,935 907,628 158,390
– Gross Shorts: 196,944 742,963 205,046
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 51.0 72.6 18.5
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 26.0 -21.6 -3.5

 


Ultra US Treasury Bonds Futures:

Ultra US Treasury Bonds large speculators

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -267,848 contracts in the data reported through Tuesday. This was a weekly fall of -6,029 contracts from the previous week which had a total of -261,819 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.3 percent. The commercials are Bullish with a score of 60.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.5 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 82.4 11.8
– Percent of Open Interest Shorts: 29.0 57.0 13.6
– Net Position: -267,848 287,986 -20,138
– Gross Longs: 61,551 935,097 133,920
– Gross Shorts: 329,399 647,111 154,058
– 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): 63.3 60.9 2.5
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.2 6.7 -2.4

 


3-Month Eurodollars Futures:

3-Month Eurodollars large speculator standings

The 3-Month Eurodollars large speculator standing this week came in at a net position of 397,584 contracts in the data reported through Tuesday. This was a weekly reduction of -70,861 contracts from the previous week which had a total of 468,445 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.4 percent. The commercials are Bearish with a score of 31.7 percent and the small traders (not shown in chart) are Bullish with a score of 59.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.9 49.6 4.9
– Percent of Open Interest Shorts: 16.5 50.0 7.8
– Net Position: 397,584 -56,761 -340,823
– Gross Longs: 2,325,893 5,798,474 576,408
– Gross Shorts: 1,928,309 5,855,235 917,231
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 67.4 31.7 59.2
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.2 3.5 -5.5

 


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*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).

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