COT Bonds Charts: Speculator’s 10-Year Treasury Notes bullish bets rise for 4th time in 6 weeks

October 15, 2021

By InvestMacro | 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 October 12th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT Bonds data is the 10-Year Treasury Note which has seen its weekly speculator position rise for four out of the past six weeks. The 10-Year had a negative net contract position as recently as August 31st before speculators boosted their positions by almost 200,000 net contracts from September 7th to October 12th. Interestingly, at the current moment, both the speculators and the commercial traders (163,158 net contracts) are bullish on the 10-Year, according to their net contracts. On the other side of the bet are the small traders which are net bearish with a total of -319,200 contracts as well as an extremely bearish strength index score.


Data Snapshot of Bond Market Traders | Columns Legend
Oct-12-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,837,299 71 -863,600 34 1,133,791 60 -270,191 68
FedFunds 1,190,212 16 -69,085 31 79,999 70 -10,914 42
2-Year 1,845,270 3 -40,946 83 60,855 29 -19,909 14
Long T-Bond 1,222,493 54 -66,551 70 86,248 48 -19,697 37
10-Year 4,102,714 72 156,042 97 163,158 42 -319,200 3
5-Year 3,604,864 26 -321,419 52 549,713 66 -228,294 2

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -863,600 contracts in the data reported through Tuesday. This was a weekly decrease of -102,757 contracts from the previous week which had a total of -760,843 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 33.7 percent. The commercials are Bullish with a score of 60.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.


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3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.2 61.8 4.4
– Percent of Open Interest Shorts: 19.9 53.0 6.5
– Net Position: -863,600 1,133,791 -270,191
– Gross Longs: 1,691,897 7,936,364 566,490
– Gross Shorts: 2,555,497 6,802,573 836,681
– 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): 33.7 60.5 67.7
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.5 4.4 -16.1

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -69,085 contracts in the data reported through Tuesday. This was a weekly gain of 9,263 contracts from the previous week which had a total of -78,348 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 31.1 percent. The commercials are Bullish with a score of 69.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.7 77.2 1.8
– Percent of Open Interest Shorts: 11.5 70.5 2.7
– Net Position: -69,085 79,999 -10,914
– Gross Longs: 68,061 918,640 20,954
– Gross Shorts: 137,146 838,641 31,868
– Long to Short Ratio: 0.5 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 31.1 69.6 41.7
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 3.9 -4.1 5.0

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -40,946 contracts in the data reported through Tuesday. This was a weekly boost of 1,581 contracts from the previous week which had a total of -42,527 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 83.3 percent. The commercials are Bearish with a score of 29.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.1 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.8 71.7 7.0
– Percent of Open Interest Shorts: 20.0 68.4 8.1
– Net Position: -40,946 60,855 -19,909
– Gross Longs: 328,329 1,322,378 128,740
– Gross Shorts: 369,275 1,261,523 148,649
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 83.3 29.1 14.1
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.5 9.3 -16.7

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -321,419 contracts in the data reported through Tuesday. This was a weekly decline of -6,595 contracts from the previous week which had a total of -314,824 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 52.0 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 1.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.0 79.2 7.2
– Percent of Open Interest Shorts: 18.9 64.0 13.5
– Net Position: -321,419 549,713 -228,294
– Gross Longs: 360,916 2,855,878 258,857
– Gross Shorts: 682,335 2,306,165 487,151
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 52.0 66.1 1.6
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -33.7 38.9 -31.3

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of 156,042 contracts in the data reported through Tuesday. This was a weekly rise of 14,709 contracts from the previous week which had a total of 141,333 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 96.5 percent. The commercials are Bearish with a score of 41.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.5 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.5 68.1 7.3
– Percent of Open Interest Shorts: 17.7 64.2 15.1
– Net Position: 156,042 163,158 -319,200
– Gross Longs: 883,621 2,795,156 300,686
– Gross Shorts: 727,579 2,631,998 619,886
– Long to Short Ratio: 1.2 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 96.5 41.6 3.5
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 25.6 -10.1 -23.8

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of 94,105 contracts in the data reported through Tuesday. This was a weekly advance of 13,226 contracts from the previous week which had a total of 80,879 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 52.6 percent. The commercials are Bullish with a score of 68.5 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: 17.7 74.4 7.2
– Percent of Open Interest Shorts: 11.4 68.5 19.4
– Net Position: 94,105 86,315 -180,420
– Gross Longs: 262,156 1,099,485 106,966
– Gross Shorts: 168,051 1,013,170 287,386
– Long to Short Ratio: 1.6 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 52.6 68.5 0.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.1 4.7 -5.9

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -66,551 contracts in the data reported through Tuesday. This was a weekly advance of 32,098 contracts from the previous week which had a total of -98,649 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 69.5 percent. The commercials are Bearish with a score of 47.6 percent and the small traders (not shown in chart) are Bearish with a score of 37.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.9 74.3 13.7
– Percent of Open Interest Shorts: 15.3 67.2 15.3
– Net Position: -66,551 86,248 -19,697
– Gross Longs: 120,942 908,174 167,921
– Gross Shorts: 187,493 821,926 187,618
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 69.5 47.6 37.0
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 13.5 -6.5 -13.6

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -313,414 contracts in the data reported through Tuesday. This was a weekly rise of 220 contracts from the previous week which had a total of -313,634 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 57.4 percent. The commercials are Bullish with a score of 70.3 percent and the small traders (not shown in chart) are Bearish with a score of 25.4 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.5 82.1 12.4
– Percent of Open Interest Shorts: 30.3 56.0 12.8
– Net Position: -313,414 317,409 -3,995
– Gross Longs: 54,907 998,802 151,411
– Gross Shorts: 368,321 681,393 155,406
– Long to Short Ratio: 0.1 to 1 1.5 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 57.4 70.3 25.4
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.7 17.5 -3.4

 


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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) as well as their open interest (contracts open in the market at time of reporting).

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