COT Bonds Futures Charts: Treasury Notes, Fed Funds, 10-Year, 2-Year, 5-Year Treasury Notes, Eurodollars

October 22, 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 19th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


Data Snapshot of Bond Market Traders | Columns Legend
Oct-19-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,424,747 63 -781,200 35 1,080,706 60 -299,506 64
FedFunds 1,217,775 18 -54,484 33 65,503 68 -11,019 42
2-Year 1,991,689 8 -132,952 63 172,598 51 -39,646 2
Long T-Bond 1,186,553 48 -57,571 73 83,737 47 -26,166 32
10-Year 4,095,300 71 -544 75 319,388 60 -318,844 4
5-Year 3,637,741 28 -255,211 47 510,373 82 -255,162 0

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -781,200 contracts in the data reported through Tuesday. This was a weekly advance of 82,400 contracts from the previous week which had a total of -863,600 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 35.3 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bullish with a score of 64.0 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.6 63.4 4.5
– Percent of Open Interest Shorts: 18.9 54.7 6.9
– Net Position: -781,200 1,080,706 -299,506
– Gross Longs: 1,565,312 7,876,268 563,787
– Gross Shorts: 2,346,512 6,795,562 863,293
– 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): 35.3 59.5 64.0
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.8 5.6 -16.3

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -54,484 contracts in the data reported through Tuesday. This was a weekly increase of 14,601 contracts from the previous week which had a total of -69,085 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 32.9 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bearish with a score of 41.5 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.1 77.6 1.6
– Percent of Open Interest Shorts: 10.5 72.2 2.5
– Net Position: -54,484 65,503 -11,019
– Gross Longs: 73,882 945,177 19,058
– Gross Shorts: 128,366 879,674 30,077
– 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): 32.9 67.8 41.5
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.1 -3.6 -8.2

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -132,952 contracts in the data reported through Tuesday. This was a weekly decline of -92,006 contracts from the previous week which had a total of -40,946 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 50.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.2 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.6 73.6 6.5
– Percent of Open Interest Shorts: 24.3 64.9 8.5
– Net Position: -132,952 172,598 -39,646
– Gross Longs: 350,293 1,465,365 129,379
– Gross Shorts: 483,245 1,292,767 169,025
– 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): 62.9 50.6 2.2
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.0 22.1 -28.3

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -255,211 contracts in the data reported through Tuesday. This was a weekly lift of 66,208 contracts from the previous week which had a total of -321,419 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 47.4 percent. The commercials are Bullish-Extreme with a score of 81.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.4 77.7 7.0
– Percent of Open Interest Shorts: 18.4 63.7 14.0
– Net Position: -255,211 510,373 -255,162
– Gross Longs: 414,711 2,827,556 253,812
– Gross Shorts: 669,922 2,317,183 508,974
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 47.4 81.5 0.0
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -28.8 40.6 -36.1

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -544 contracts in the data reported through Tuesday. This was a weekly fall of -156,586 contracts from the previous week which had a total of 156,042 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 74.8 percent. The commercials are Bullish with a score of 60.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.2 71.4 7.2
– Percent of Open Interest Shorts: 18.2 63.6 15.0
– Net Position: -544 319,388 -318,844
– Gross Longs: 743,719 2,922,085 295,191
– Gross Shorts: 744,263 2,602,697 614,035
– Long to Short Ratio: 1.0 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 74.8 60.3 3.6
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.2 11.2 -21.7

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of 139,559 contracts in the data reported through Tuesday. This was a weekly increase of 45,454 contracts from the previous week which had a total of 94,105 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 64.6 percent. The commercials are Bullish with a score of 53.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.7 72.8 7.1
– Percent of Open Interest Shorts: 10.6 70.7 18.4
– Net Position: 139,559 32,149 -171,708
– Gross Longs: 301,286 1,110,821 108,529
– Gross Shorts: 161,727 1,078,672 280,237
– Long to Short Ratio: 1.9 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 64.6 53.3 5.6
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.7 -14.3 1.9

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -57,571 contracts in the data reported through Tuesday. This was a weekly boost of 8,980 contracts from the previous week which had a total of -66,551 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 72.7 percent. The commercials are Bearish with a score of 46.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.8 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.9 74.8 13.6
– Percent of Open Interest Shorts: 14.8 67.7 15.8
– Net Position: -57,571 83,737 -26,166
– Gross Longs: 117,543 887,561 161,202
– Gross Shorts: 175,114 803,824 187,368
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 72.7 46.8 31.8
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.3 -0.9 -18.4

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -311,777 contracts in the data reported through Tuesday. This was a weekly boost of 1,637 contracts from the previous week which had a total of -313,414 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 58.0 percent. The commercials are Bullish with a score of 68.5 percent and the small traders (not shown in chart) are Bearish with a score of 26.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.0 81.4 12.6
– Percent of Open Interest Shorts: 30.6 55.6 12.7
– Net Position: -311,777 313,784 -2,007
– Gross Longs: 60,848 989,707 152,699
– Gross Shorts: 372,625 675,923 154,706
– Long to Short Ratio: 0.2 to 1 1.5 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 58.0 68.5 26.8
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.5 16.2 -7.1

 


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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).