COT Bonds Futures Charts: 5-Year Treasury Bond Speculator bets fall to 46-Week Low

October 30, 2021

By InvestMacro.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 October 26th 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 5-Year Treasury Bond’s speculator positions that fell to a forty-six week low-point. The 5-year bond speculative position declined by over -86,000 contracts this week and fell for the fifth time in the past six weeks. The spec position has now fallen by a total -317,109 contracts over the past six weeks. The current net bearish standing sits at a total of -341,475 contracts for the 5-year bond speculators which registers as the most bearish level since December 8th of 2020 when net positions totaled -342,024 contracts.


Data Snapshot of Bond Market Traders | Columns Legend
Oct-26-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,675,714 68 -724,993 36 1,046,056 59 -321,063 61
FedFunds 1,293,093 23 -44,591 34 54,410 66 -9,819 44
2-Year 2,029,079 10 -112,318 67 154,788 47 -42,470 1
Long T-Bond 1,173,180 44 -66,994 69 87,013 48 -20,019 37
10-Year 4,000,227 64 -114,845 59 441,515 75 -326,670 2
5-Year 3,586,544 25 -341,475 34 579,881 91 -238,406 5

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -724,993 contracts in the data reported through Tuesday. This was a weekly rise of 56,207 contracts from the previous week which had a total of -781,200 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 36.4 percent. The commercials are Bullish with a score of 58.9 percent and the small traders (not shown in chart) are Bullish with a score of 61.2 percent.


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3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.5 63.7 4.3
– Percent of Open Interest Shorts: 19.2 55.5 6.9
– Net Position: -724,993 1,046,056 -321,063
– Gross Longs: 1,711,694 8,076,945 551,131
– Gross Shorts: 2,436,687 7,030,889 872,194
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 36.4 58.9 61.2
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.4 5.3 -23.8

 


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 -44,591 contracts in the data reported through Tuesday. This was a weekly rise of 9,893 contracts from the previous week which had a total of -54,484 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 34.1 percent. The commercials are Bullish with a score of 66.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 78.6 1.4
– Percent of Open Interest Shorts: 9.1 74.4 2.1
– Net Position: -44,591 54,410 -9,819
– Gross Longs: 72,575 1,016,206 17,945
– Gross Shorts: 117,166 961,796 27,764
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 34.1 66.5 44.1
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.2 -3.6 -8.1

 


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 -112,318 contracts in the data reported through Tuesday. This was a weekly rise of 20,634 contracts from the previous week which had a total of -132,952 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 67.5 percent. The commercials are Bearish with a score of 47.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.3 73.8 6.8
– Percent of Open Interest Shorts: 21.8 66.2 8.9
– Net Position: -112,318 154,788 -42,470
– Gross Longs: 330,130 1,497,320 138,359
– Gross Shorts: 442,448 1,342,532 180,829
– 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): 67.5 47.2 0.5
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -19.4 28.2 -35.2

 


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 -341,475 contracts in the data reported through Tuesday. This was a weekly decrease of -86,264 contracts from the previous week which had a total of -255,211 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 34.4 percent. The commercials are Bullish-Extreme with a score of 90.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.2 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.0 79.3 7.1
– Percent of Open Interest Shorts: 19.5 63.1 13.8
– Net Position: -341,475 579,881 -238,406
– Gross Longs: 359,180 2,844,217 255,899
– Gross Shorts: 700,655 2,264,336 494,305
– Long to Short Ratio: 0.5 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 34.4 90.7 5.2
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -47.6 55.7 -32.7

 


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 -114,845 contracts in the data reported through Tuesday. This was a weekly decrease of -114,301 contracts from the previous week which had a total of -544 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 58.9 percent. The commercials are Bullish with a score of 74.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.7 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.5 73.4 7.2
– Percent of Open Interest Shorts: 19.4 62.4 15.4
– Net Position: -114,845 441,515 -326,670
– Gross Longs: 660,004 2,937,167 287,429
– Gross Shorts: 774,849 2,495,652 614,099
– Long to Short Ratio: 0.9 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 58.9 74.9 1.7
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -33.9 41.9 -24.8

 


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 156,754 contracts in the data reported through Tuesday. This was a weekly boost of 17,195 contracts from the previous week which had a total of 139,559 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 69.1 percent. The commercials are Bearish with a score of 49.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.0 72.6 7.0
– Percent of Open Interest Shorts: 9.8 71.4 18.4
– Net Position: 156,754 19,632 -176,386
– Gross Longs: 306,662 1,116,413 106,942
– Gross Shorts: 149,908 1,096,781 283,328
– Long to Short Ratio: 2.0 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 69.1 49.8 2.6
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 16.8 -15.1 -6.4

 


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 -66,994 contracts in the data reported through Tuesday. This was a weekly decrease of -9,423 contracts from the previous week which had a total of -57,571 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 69.3 percent. The commercials are Bearish with a score of 47.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.7 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.8 75.7 13.9
– Percent of Open Interest Shorts: 14.5 68.2 15.6
– Net Position: -66,994 87,013 -20,019
– Gross Longs: 103,650 887,603 163,344
– Gross Shorts: 170,644 800,590 183,363
– 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): 69.3 47.9 36.7
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.3 12.9 -27.1

 


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 -331,213 contracts in the data reported through Tuesday. This was a weekly reduction of -19,436 contracts from the previous week which had a total of -311,777 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 50.1 percent. The commercials are Bullish with a score of 74.2 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.6 82.7 12.6
– Percent of Open Interest Shorts: 30.8 56.0 12.1
– Net Position: -331,213 325,324 5,889
– Gross Longs: 44,062 1,007,205 153,271
– Gross Shorts: 375,275 681,881 147,382
– 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): 50.1 74.2 32.5
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.0 23.8 -13.7

 


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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).