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

September 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 September 14th 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 resulted in a net position of -604,156 contracts in the data reported through Tuesday. This was a weekly reduction of -17,717 contracts from the previous week which had a total of -586,439 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 40.6 percent. The commercials are Bullish with a score of 53.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.2	59.7	5.5
– Percent of Open Interest Shorts:	19.3	53.5	6.6
– Net Position:	-604,156	741,169	-137,013
– Gross Longs:	1,704,062	7,143,202	652,368
– Gross Shorts:	2,308,218	6,402,033	789,381
– 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):	40.6	53.4	84.9
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.1	-2.7	5.1

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week resulted in a net position of -78,328 contracts in the data reported through Tuesday. This was a weekly boost of 9,611 contracts from the previous week which had a total of -87,939 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 30.0 percent. The commercials are Bullish with a score of 70.1 percent and the small traders (not shown in chart) are Bullish with a score of 52.2 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.1	75.6	2.3
– Percent of Open Interest Shorts:	12.5	67.6	2.9
– Net Position:	-78,328	84,423	-6,095
– Gross Longs:	53,854	801,957	24,724
– Gross Shorts:	132,182	717,534	30,819
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	30.0	70.1	52.2
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.2	-1.2	-17.5

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week resulted in a net position of -24,633 contracts in the data reported through Tuesday. This was a weekly advance of 40,624 contracts from the previous week which had a total of -65,257 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 86.9 percent. The commercials are Bearish-Extreme with a score of 19.0 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.7	70.3	7.7
– Percent of Open Interest Shorts:	20.9	69.8	6.8
– Net Position:	-24,633	8,404	16,229
– Gross Longs:	379,123	1,355,400	147,556
– Gross Shorts:	403,756	1,346,996	131,327
– 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):	86.9	19.0	37.3
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.7	7.9	-1.1

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week resulted in a net position of -24,366 contracts in the data reported through Tuesday. This was a weekly advance of 39,146 contracts from the previous week which had a total of -63,512 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 87.5 percent. The commercials are Bearish with a score of 23.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.4 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.6	75.3	8.5
– Percent of Open Interest Shorts:	13.3	70.9	12.2
– Net Position:	-24,366	156,367	-132,001
– Gross Longs:	447,697	2,673,515	300,332
– Gross Shorts:	472,063	2,517,148	432,333
– 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):	87.5	23.6	15.4
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.3	-4.3	-4.9

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week resulted in a net position of 129,423 contracts in the data reported through Tuesday. This was a weekly lift of 128,643 contracts from the previous week which had a total of 780 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 95.3 percent. The commercials are Bearish with a score of 26.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.7 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	21.0	67.4	9.1
– Percent of Open Interest Shorts:	17.7	65.1	14.7
– Net Position:	129,423	91,595	-221,018
– Gross Longs:	827,686	2,658,129	358,460
– Gross Shorts:	698,263	2,566,534	579,478
– 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):	95.3	26.8	15.7
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.5	-1.7	-6.6

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week resulted in a net position of 92,958 contracts in the data reported through Tuesday. This was a weekly rise of 1,383 contracts from the previous week which had a total of 91,575 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 52.3 percent. The commercials are Bullish with a score of 64.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.5 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.0	75.9	8.8
– Percent of Open Interest Shorts:	8.6	70.9	20.2
– Net Position:	92,958	73,514	-166,472
– Gross Longs:	218,434	1,105,815	127,864
– Gross Shorts:	125,476	1,032,301	294,336
– Long to Short Ratio:	1.7 to 1	1.1 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	52.3	64.9	5.5
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.5	4.8	-12.6

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week resulted in a net position of -60,600 contracts in the data reported through Tuesday. This was a weekly lift of 22,971 contracts from the previous week which had a total of -83,571 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 71.6 percent. The commercials are Bearish with a score of 34.9 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.8	70.6	16.0
– Percent of Open Interest Shorts:	16.7	66.8	14.8
– Net Position:	-60,600	46,509	14,091
– Gross Longs:	146,257	874,144	197,631
– Gross Shorts:	206,857	827,635	183,540
– Long to Short Ratio:	0.7 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	71.6	34.9	63.8
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	12.4	-12.0	2.5

Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -301,788 contracts in the data reported through Tuesday. This was a weekly reduction of -13,189 contracts from the previous week which had a total of -288,599 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 62.1 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 46.2 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.0	79.1	13.4
– Percent of Open Interest Shorts:	30.2	56.9	11.4
– Net Position:	-301,788	276,818	24,970
– Gross Longs:	75,040	986,011	166,577
– Gross Shorts:	376,828	709,193	141,607
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.2 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	62.1	50.4	46.2
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-27.2	22.1	15.5

Article By CountingPips.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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