COT Bonds Charts: Fed Funds, 10-Year, 2-Year, 5-Year Treasuries & Eurodollars

July 30, 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 July 27 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:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -740,875 contracts in the data reported through Tuesday. This was a weekly boost of 4,060 contracts from the previous week which had a total of -744,935 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 42.0 percent. The commercials are Bullish with a score of 53.6 percent and the small traders (not shown in chart) are Bullish with a score of 75.4 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.5 59.1 5.0
– Percent of Open Interest Shorts: 21.7 51.1 6.8
– Net Position: -740,875 951,440 -210,565
– Gross Longs: 1,867,231 7,095,708 604,249
– Gross Shorts: 2,608,106 6,144,268 814,814
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 42.0 53.6 75.4
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.5 5.5 -10.7

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -126,555 contracts in the data reported through Tuesday. This was a weekly increase of 59,379 contracts from the previous week which had a total of -185,934 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 24.0 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bearish with a score of 48.8 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 75.7 2.1
– Percent of Open Interest Shorts: 17.1 62.9 3.2
– Net Position: -126,555 138,816 -12,261
– Gross Longs: 58,687 822,091 22,595
– Gross Shorts: 185,242 683,275 34,856
– Long to Short Ratio: 0.3 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 24.0 76.7 48.8
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.2 -16.4 -6.8

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -54,331 contracts in the data reported through Tuesday. This was a weekly increase of 3,752 contracts from the previous week which had a total of -58,083 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 94.4 percent. The commercials are Bearish with a score of 26.3 percent and the small traders (not shown in chart) are Bearish with a score of 39.2 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.9 71.6 7.1
– Percent of Open Interest Shorts: 21.7 69.3 6.7
– Net Position: -54,331 46,056 8,275
– Gross Longs: 373,471 1,414,480 141,166
– Gross Shorts: 427,802 1,368,424 132,891
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 94.4 26.3 39.2
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 16.3 -5.7 -17.4

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -30,025 contracts in the data reported through Tuesday. This was a weekly gain of 39,009 contracts from the previous week which had a total of -69,034 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 87.0 percent. The commercials are Bearish with a score of 24.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.3 75.7 8.4
– Percent of Open Interest Shorts: 15.1 70.8 12.4
– Net Position: -30,025 168,613 -138,588
– Gross Longs: 496,074 2,633,496 293,649
– Gross Shorts: 526,099 2,464,883 432,237
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 87.0 24.7 12.7
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.4 -1.2 -28.0

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of 164,491 contracts in the data reported through Tuesday. This was a weekly boost of 75,565 contracts from the previous week which had a total of 88,926 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 99.0 percent. The commercials are Bearish with a score of 21.3 percent and the small traders (not shown in chart) are Bearish with a score of 21.0 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 22.3 66.6 9.0
– Percent of Open Interest Shorts: 18.2 65.7 14.0
– Net Position: 164,491 36,905 -201,396
– Gross Longs: 906,368 2,710,030 367,441
– Gross Shorts: 741,877 2,673,125 568,837
– 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): 99.0 21.3 21.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.0 -16.7 11.6

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of 105,428 contracts in the data reported through Tuesday. This was a weekly decline of -19,386 contracts from the previous week which had a total of 124,814 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 55.6 percent. The commercials are Bullish with a score of 55.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.7 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.8 76.3 8.5
– Percent of Open Interest Shorts: 7.8 73.7 18.2
– Net Position: 105,428 39,203 -144,631
– Gross Longs: 220,903 1,136,010 126,680
– Gross Shorts: 115,475 1,096,807 271,311
– Long to Short Ratio: 1.9 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 55.6 55.2 10.7
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -23.5 21.2 10.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -82,915 contracts in the data reported through Tuesday. This was a weekly increase of 17,693 contracts from the previous week which had a total of -100,608 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 63.6 percent. The commercials are Bearish with a score of 41.4 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.9 72.0 16.2
– Percent of Open Interest Shorts: 16.9 66.4 14.9
– Net Position: -82,915 66,824 16,091
– Gross Longs: 117,946 853,940 192,630
– Gross Shorts: 200,861 787,116 176,539
– Long to Short Ratio: 0.6 to 1 1.1 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 63.6 41.4 65.4
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.4 -8.7 42.4

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -236,239 contracts in the data reported through Tuesday. This was a weekly decrease of -9,602 contracts from the previous week which had a total of -226,637 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 88.9 percent. The commercials are Bearish with a score of 31.2 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 77.9 12.3
– Percent of Open Interest Shorts: 28.7 59.8 11.3
– Net Position: -236,239 223,412 12,827
– Gross Longs: 117,812 962,619 152,000
– Gross Shorts: 354,051 739,207 139,173
– Long to Short Ratio: 0.3 to 1 1.3 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 88.9 31.2 37.5
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.5 -13.8 17.8

 


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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).