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

September 24, 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 September 21st 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 came in at a net position of -782,274 contracts in the data reported through Tuesday. This was a weekly fall of -178,118 contracts from the previous week which had a total of -604,156 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 36.9 percent. The commercials are Bullish with a score of 56.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 percent.

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.0	60.7	5.0
– Percent of Open Interest Shorts:	20.4	53.2	6.0
– Net Position:	-782,274	907,783	-125,509
– Gross Longs:	1,694,812	7,368,621	603,851
– Gross Shorts:	2,477,086	6,460,838	729,360
– 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):	36.9	56.5	86.4
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.6	1.3	8.1

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -86,054 contracts in the data reported through Tuesday. This was a weekly reduction of -7,726 contracts from the previous week which had a total of -78,328 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 29.0 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.3	76.2	2.2
– Percent of Open Interest Shorts:	13.0	67.6	3.0
– Net Position:	-86,054	95,805	-9,751
– Gross Longs:	59,411	852,761	24,091
– Gross Shorts:	145,465	756,956	33,842
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	29.0	71.5	44.3
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.5	0.4	1.5

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week came in at a net position of -30,401 contracts in the data reported through Tuesday. This was a weekly decrease of -5,768 contracts from the previous week which had a total of -24,633 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 85.6 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 38.2 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.8	70.6	7.8
– Percent of Open Interest Shorts:	21.4	69.9	6.9
– Net Position:	-30,401	12,631	17,770
– Gross Longs:	381,770	1,359,060	151,059
– Gross Shorts:	412,171	1,346,429	133,289
– 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):	85.6	19.9	38.2
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.4	11.3	3.8

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week came in at a net position of -147,423 contracts in the data reported through Tuesday. This was a weekly lowering of -123,057 contracts from the previous week which had a total of -24,366 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 with a score of 74.6 percent. The commercials are Bearish with a score of 35.1 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:	12.4	76.1	8.1
– Percent of Open Interest Shorts:	16.5	68.1	12.0
– Net Position:	-147,423	285,859	-138,436
– Gross Longs:	442,132	2,713,555	289,472
– Gross Shorts:	589,555	2,427,696	427,908
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	74.6	35.1	12.7
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-10.6	9.4	-1.9

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week came in at a net position of 61,221 contracts in the data reported through Tuesday. This was a weekly decrease of -68,202 contracts from the previous week which had a total of 129,423 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 87.7 percent. The commercials are Bearish with a score of 35.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.5 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.8	69.5	8.6
– Percent of Open Interest Shorts:	18.3	65.2	14.4
– Net Position:	61,221	168,160	-229,381
– Gross Longs:	780,822	2,732,956	337,429
– Gross Shorts:	719,601	2,564,796	566,810
– Long to Short Ratio:	1.1 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	87.7	35.4	13.5
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.2	6.5	-4.5

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week came in at a net position of 86,231 contracts in the data reported through Tuesday. This was a weekly fall of -6,727 contracts from the previous week which had a total of 92,958 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 50.5 percent. The commercials are Bullish with a score of 62.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.5 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.4	75.7	8.6
– Percent of Open Interest Shorts:	9.4	71.1	19.1
– Net Position:	86,231	65,343	-151,574
– Gross Longs:	222,142	1,090,610	124,044
– Gross Shorts:	135,911	1,025,267	275,618
– Long to Short Ratio:	1.6 to 1	1.1 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	50.5	62.6	15.5
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.8	5.4	-0.6

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -88,271 contracts in the data reported through Tuesday. This was a weekly lowering of -27,671 contracts from the previous week which had a total of -60,600 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 61.7 percent. The commercials are Bearish with a score of 44.5 percent and the small traders (not shown in chart) are Bullish with a score of 62.0 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.4	72.7	15.7
– Percent of Open Interest Shorts:	17.7	66.3	14.8
– Net Position:	-88,271	76,453	11,818
– Gross Longs:	125,136	878,006	190,281
– Gross Shorts:	213,407	801,553	178,463
– 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):	61.7	44.5	62.0
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.6	-3.1	1.8

Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -294,765 contracts in the data reported through Tuesday. This was a weekly advance of 7,023 contracts from the previous week which had a total of -301,788 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 65.0 percent. The commercials are Bullish with a score of 50.4 percent and the small traders (not shown in chart) are Bearish with a score of 41.1 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.1	80.2	12.9
– Percent of Open Interest Shorts:	29.8	57.9	11.4
– Net Position:	-294,765	276,897	17,868
– Gross Longs:	75,957	997,118	160,043
– Gross Shorts:	370,722	720,221	142,175
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	65.0	50.4	41.1
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.1	16.5	9.5

Article By InvestMacro.com – Receive 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).

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

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