COT Bonds Futures Charts: Eurodollars, Fed Funds, 10-Years, 2-Years, Long Bonds & Ultra Notes

September 3, 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 August 31 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


Data Snapshot of Bond Market Traders | Columns Legend
Sep-21-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,141,88658-782,27437907,78356-125,50986
FedFunds1,118,97611-86,0542995,80572-9,75144
2-Year1,925,8263-30,4018612,6312017,77038
Long T-Bond1,208,30753-88,2716276,4534411,81862
10-Year3,934,3026061,22188168,16035-229,38113
5-Year3,563,94724-147,42375285,85935-138,43613

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -736,792 contracts in the data reported through Tuesday. This was a weekly decline of -34,777 contracts from the previous week which had a total of -702,015 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 42.1 percent. The commercials are Bullish with a score of 52.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.2 59.5 5.2
– Percent of Open Interest Shorts: 22.0 52.5 6.4
– Net Position: -736,792 882,252 -145,460
– Gross Longs: 2,046,261 7,531,576 659,525
– Gross Shorts: 2,783,053 6,649,324 804,985
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 42.1 52.6 83.8
– COT Index Reading (3 Year Range): Bearish Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.1 -1.0 6.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -100,285 contracts in the data reported through Tuesday. This was a weekly decline of -29,846 contracts from the previous week which had a total of -70,439 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 27.2 percent. The commercials are Bullish with a score of 73.7 percent and the small traders (not shown in chart) are Bearish with a score of 36.8 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 76.3 2.3
– Percent of Open Interest Shorts: 14.3 65.6 3.6
– Net Position: -100,285 113,476 -13,191
– Gross Longs: 51,535 812,652 24,868
– Gross Shorts: 151,820 699,176 38,059
– Long to Short Ratio: 0.3 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 27.2 73.7 36.8
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.6 -10.1 -4.7

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -20,570 contracts in the data reported through Tuesday. This was a weekly fall of -11,204 contracts from the previous week which had a total of -9,366 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 87.8 percent. The commercials are Bearish-Extreme with a score of 19.9 percent and the small traders (not shown in chart) are Bearish with a score of 33.2 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.3 70.3 7.3
– Percent of Open Interest Shorts: 20.3 69.6 6.9
– Net Position: -20,570 12,656 7,914
– Gross Longs: 375,763 1,371,541 142,447
– Gross Shorts: 396,333 1,358,885 134,533
– 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): 87.8 19.9 33.2
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.3 -6.6 -1.9

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -28,136 contracts in the data reported through Tuesday. This was a weekly lowering of -123,337 contracts from the previous week which had a total of 95,201 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 87.1 percent. The commercials are Bearish with a score of 24.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.9 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.8 76.9 8.3
– Percent of Open Interest Shorts: 11.6 72.3 12.2
– Net Position: -28,136 161,517 -133,381
– Gross Longs: 374,560 2,671,046 289,367
– Gross Shorts: 402,696 2,509,529 422,748
– 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): 87.1 24.1 14.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.3 -6.2 12.0

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -29,819 contracts in the data reported through Tuesday. This was a weekly reduction of -143,131 contracts from the previous week which had a total of 113,312 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 78.1 percent. The commercials are Bearish with a score of 41.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 16.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.4 69.8 8.6
– Percent of Open Interest Shorts: 19.1 63.6 14.1
– Net Position: -29,819 247,621 -217,802
– Gross Longs: 724,938 2,755,658 340,466
– Gross Shorts: 754,757 2,508,037 558,268
– 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): 78.1 41.9 16.6
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.8 8.0 9.7

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of 101,879 contracts in the data reported through Tuesday. This was a weekly gain of 19,967 contracts from the previous week which had a total of 81,912 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 54.7 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.5 75.8 8.5
– Percent of Open Interest Shorts: 8.5 71.0 20.2
– Net Position: 101,879 69,412 -171,291
– Gross Longs: 225,405 1,101,694 122,925
– Gross Shorts: 123,526 1,032,282 294,216
– Long to Short Ratio: 1.8 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 54.7 63.7 0.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.1 14.3 -19.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -104,210 contracts in the data reported through Tuesday. This was a weekly reduction of -4,878 contracts from the previous week which had a total of -99,332 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 56.0 percent. The commercials are Bullish with a score of 54.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.3 73.7 14.8
– Percent of Open Interest Shorts: 17.8 65.0 15.0
– Net Position: -104,210 106,744 -2,534
– Gross Longs: 114,253 903,006 181,120
– Gross Shorts: 218,463 796,262 183,654
– Long to Short Ratio: 0.5 to 1 1.1 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 56.0 54.1 50.6
– COT Index Reading (3 Year Range): Bullish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.3 5.3 -10.3

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -282,375 contracts in the data reported through Tuesday. This was a weekly decline of -28,405 contracts from the previous week which had a total of -253,970 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 70.0 percent. The commercials are Bullish with a score of 52.8 percent and the small traders (not shown in chart) are Bearish with a score of 28.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.0 77.4 12.0
– Percent of Open Interest Shorts: 29.4 55.1 11.9
– Net Position: -282,375 281,684 691
– Gross Longs: 88,813 978,422 151,645
– Gross Shorts: 371,188 696,738 150,954
– 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): 70.0 52.8 28.8
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -22.7 33.1 -8.4

 


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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).