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.
| 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 |
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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 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.
| 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
Article By InvestMacro – 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) 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).
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