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

October 1, 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 28th 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 came in at a net position of -895,030 contracts in the data reported through Tuesday. This was a weekly decrease of -112,756 contracts from the previous week which had a total of -782,274 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 33.1 percent. The commercials are Bullish with a score of 60.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.6 61.5 4.9
– Percent of Open Interest Shorts: 19.8 52.4 6.7
– Net Position: -895,030 1,115,947 -220,917
– Gross Longs: 1,548,154 7,569,799 603,270
– Gross Shorts: 2,443,184 6,453,852 824,187
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 33.1 60.1 74.1
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.3 5.5 -5.1

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -86,981 contracts in the data reported through Tuesday. This was a weekly reduction of -927 contracts from the previous week which had a total of -86,054 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 28.9 percent. The commercials are Bullish with a score of 71.9 percent and the small traders (not shown in chart) are Bearish with a score of 39.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.9 78.1 1.6
– Percent of Open Interest Shorts: 12.3 69.6 2.6
– Net Position: -86,981 99,062 -12,081
– Gross Longs: 57,226 917,366 18,773
– Gross Shorts: 144,207 818,304 30,854
– Long to Short Ratio: 0.4 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 28.9 71.9 39.2
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.5 0.4 0.9

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -62,829 contracts in the data reported through Tuesday. This was a weekly reduction of -32,428 contracts from the previous week which had a total of -30,401 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 78.4 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.9 71.2 7.7
– Percent of Open Interest Shorts: 21.3 67.8 7.7
– Net Position: -62,829 63,290 -461
– Gross Longs: 331,033 1,315,342 141,690
– Gross Shorts: 393,862 1,252,052 142,151
– Long to Short Ratio: 0.8 to 1 1.1 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 78.4 29.6 27.5
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -20.6 20.5 -7.9

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -299,196 contracts in the data reported through Tuesday. This was a weekly lowering of -151,773 contracts from the previous week which had a total of -147,423 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 with a score of 58.7 percent. The commercials are Bullish with a score of 50.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.6 77.3 7.8
– Percent of Open Interest Shorts: 19.7 64.7 12.2
– Net Position: -299,196 461,653 -162,457
– Gross Longs: 423,401 2,831,871 285,115
– Gross Shorts: 722,597 2,370,218 447,572
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 58.7 50.7 2.7
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -31.1 29.7 -15.7

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of 181,207 contracts in the data reported through Tuesday. This was a weekly rise of 119,986 contracts from the previous week which had a total of 61,221 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 32.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.4 67.9 7.8
– Percent of Open Interest Shorts: 17.0 65.2 14.9
– Net Position: 181,207 108,708 -289,915
– Gross Longs: 869,115 2,753,975 315,903
– Gross Shorts: 687,908 2,645,267 605,818
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 100.0 32.1 0.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.5 4.8 -20.8

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of 75,847 contracts in the data reported through Tuesday. This was a weekly decline of -10,384 contracts from the previous week which had a total of 86,231 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 Bearish with a score of 47.8 percent. The commercials are Bullish with a score of 66.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.1 74.5 9.1
– Percent of Open Interest Shorts: 10.8 69.1 19.7
– Net Position: 75,847 78,053 -153,900
– Gross Longs: 232,658 1,080,055 131,272
– Gross Shorts: 156,811 1,002,002 285,172
– Long to Short Ratio: 1.5 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 47.8 66.1 13.9
– COT Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.7 4.2 -0.6

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -106,940 contracts in the data reported through Tuesday. This was a weekly decrease of -18,669 contracts from the previous week which had a total of -88,271 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 55.0 percent. The commercials are Bullish with a score of 51.1 percent and the small traders (not shown in chart) are Bullish with a score of 60.2 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.3 73.5 15.2
– Percent of Open Interest Shorts: 18.0 65.6 14.5
– Net Position: -106,940 97,332 9,608
– Gross Longs: 115,052 907,957 188,318
– Gross Shorts: 221,992 810,625 178,710
– Long to Short Ratio: 0.5 to 1 1.1 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 55.0 51.1 60.2
– COT Index Reading (3 Year Range): Bullish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.6 7.6 2.2

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -299,793 contracts in the data reported through Tuesday. This was a weekly decrease of -5,028 contracts from the previous week which had a total of -294,765 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 62.9 percent. The commercials are Bullish with a score of 59.2 percent and the small traders (not shown in chart) are Bearish with a score of 31.9 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 81.1 12.5
– Percent of Open Interest Shorts: 29.6 57.4 12.1
– Net Position: -299,793 294,678 5,115
– Gross Longs: 68,563 1,009,158 155,998
– Gross Shorts: 368,356 714,480 150,883
– 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): 62.9 59.2 31.9
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -21.4 23.0 4.0

 


Article By InvestMacro.comReceive 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).