COT Bonds Charts: 5-Year Treasury Notes, Eurodollar, Fed Funds, 10-Year Treasury Notes,

June 11, 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 June 08 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


3-Month Eurodollars Futures:


The 3-Month Eurodollars large speculator standing this week equaled a net position of -426,278 contracts in the data reported through Tuesday. This was a weekly gain of 19,229 contracts from the previous week which had a total of -445,507 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 with a score of 49.1 percent. The commercials are Bearish with a score of 45.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.6 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.2 51.0 5.0
– Percent of Open Interest Shorts: 24.3 46.9 6.0
– Net Position: -426,278 558,021 -131,743
– Gross Longs: 2,884,621 6,951,798 684,419
– Gross Shorts: 3,310,899 6,393,777 816,162
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 49.1 45.3 85.6
– COT Index Reading (3 Year Range): Bearish Bearish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.2 8.5 29.5

 


30-Day Federal Funds Futures:


The 30-Day Federal Funds large speculator standing this week equaled a net position of -320,917 contracts in the data reported through Tuesday. This was a weekly decline of -23,739 contracts from the previous week which had a total of -297,178 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-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 53.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 2.3 79.7 2.0
– Percent of Open Interest Shorts: 32.8 48.3 2.9
– Net Position: -320,917 330,488 -9,571
– Gross Longs: 23,915 839,012 20,607
– Gross Shorts: 344,832 508,524 30,178
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 0.0 100.0 53.7
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -18.5 18.0 2.4

 


2-Year Treasury Note Futures:


The 2-Year Treasury Note large speculator standing this week equaled a net position of -115,533 contracts in the data reported through Tuesday. This was a weekly decrease of -32,472 contracts from the previous week which had a total of -83,061 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 68.5 percent. The commercials are Bearish with a score of 31.1 percent and the small traders (not shown in chart) are Bullish with a score of 58.3 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 23.1 67.6 7.5
– Percent of Open Interest Shorts: 28.5 64.2 5.4
– Net Position: -115,533 71,107 44,426
– Gross Longs: 493,368 1,442,138 159,370
– Gross Shorts: 608,901 1,371,031 114,944
– Long to Short Ratio: 0.8 to 1 1.1 to 1 1.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 68.5 31.1 58.3
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 24.8 -23.5 7.0

 


5-Year Treasury Note Futures:


The 5-Year Treasury Note large speculator standing this week equaled a net position of -138,178 contracts in the data reported through Tuesday. This was a weekly lowering of -15,476 contracts from the previous week which had a total of -122,702 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 75.7 percent. The commercials are Bearish with a score of 28.0 percent and the small traders (not shown in chart) are Bearish with a score of 39.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.4 76.8 9.1
– Percent of Open Interest Shorts: 16.3 70.8 11.1
– Net Position: -138,178 206,021 -67,843
– Gross Longs: 431,968 2,676,863 318,034
– Gross Shorts: 570,146 2,470,842 385,877
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 75.7 28.0 39.6
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.3 11.0 10.4

 


10-Year Treasury Note Futures:


The 10-Year Treasury Note large speculator standing this week equaled a net position of 173,420 contracts in the data reported through Tuesday. This was a weekly boost of 118,576 contracts from the previous week which had a total of 54,844 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 100.0 percent. The commercials are Bearish with a score of 27.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.2 68.9 7.0
– Percent of Open Interest Shorts: 18.3 66.6 13.2
– Net Position: 173,420 100,142 -273,562
– Gross Longs: 983,294 3,045,660 309,631
– Gross Shorts: 809,874 2,945,518 583,193
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 100.0 27.4 1.6
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.7 -10.5 -2.4

 


Ultra 10-Year Notes Futures:


The Ultra 10-Year Notes large speculator standing this week equaled a net position of 152,035 contracts in the data reported through Tuesday. This was a weekly lowering of -20,586 contracts from the previous week which had a total of 172,621 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 44.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.7 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.5 71.4 7.2
– Percent of Open Interest Shorts: 9.3 71.4 16.3
– Net Position: 152,035 10 -152,045
– Gross Longs: 305,386 1,181,566 118,378
– Gross Shorts: 153,351 1,181,556 270,423
– Long to Short Ratio: 2.0 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 67.9 44.3 2.7
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.5 -1.1 -16.0

 


US Treasury Bonds Futures:


The US Treasury Bonds large speculator standing this week equaled a net position of -70,588 contracts in the data reported through Tuesday. This was a weekly rise of 23,179 contracts from the previous week which had a total of -93,767 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 68.1 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.5 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.7 75.5 13.4
– Percent of Open Interest Shorts: 14.5 65.5 17.6
– Net Position: -70,588 121,146 -50,558
– Gross Longs: 105,563 915,139 162,815
– Gross Shorts: 176,151 793,993 213,373
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 68.1 58.7 12.5
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 16.5 -18.4 9.4

 


Ultra US Treasury Bonds Futures:


The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -233,264 contracts in the data reported through Tuesday. This was a weekly lift of 24,967 contracts from the previous week which had a total of -258,231 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 82.3 percent. The commercials are Bullish with a score of 52.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.6 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.6 80.3 11.2
– Percent of Open Interest Shorts: 27.0 57.8 14.3
– Net Position: -233,264 270,317 -37,053
– Gross Longs: 91,437 966,066 134,668
– Gross Shorts: 324,701 695,749 171,721
– Long to Short Ratio: 0.3 to 1 1.4 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 82.3 52.8 1.6
– COT Index Reading (3 Year Range): Bullish-Extreme Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.5 -1.1 -10.8

 


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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).