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

October 8, 2021

By InvestMacro COT Home | COT 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 5th 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-05-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,461,197 64 -760,843 36 996,972 58 -236,129 72
FedFunds 1,112,644 11 -78,348 30 89,978 71 -11,630 40
2-Year 1,773,474 0 -42,527 83 53,740 28 -11,213 19
Long T-Bond 1,232,198 56 -98,649 58 109,987 55 -11,338 44
10-Year 4,063,952 69 141,333 95 192,710 43 -334,043 0
5-Year 3,571,119 24 -314,824 55 547,985 62 -233,161 0

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -760,843 contracts in the data reported through Tuesday. This was a weekly lift of 134,187 contracts from the previous week which had a total of -895,030 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 35.7 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish with a score of 72.1 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.0 60.7 4.8
– Percent of Open Interest Shorts: 20.1 52.7 6.7
– Net Position: -760,843 996,972 -236,129
– Gross Longs: 1,746,555 7,566,476 594,467
– Gross Shorts: 2,507,398 6,569,504 830,596
– 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): 35.7 58.1 72.1
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.1 1.5 -3.7

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -78,348 contracts in the data reported through Tuesday. This was a weekly rise of 8,633 contracts from the previous week which had a total of -86,981 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 29.9 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bearish with a score of 40.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 77.0 2.2
– Percent of Open Interest Shorts: 12.4 68.9 3.2
– Net Position: -78,348 89,978 -11,630
– Gross Longs: 59,841 856,937 24,136
– Gross Shorts: 138,189 766,959 35,766
– Long to Short Ratio: 0.4 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 29.9 70.8 40.2
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.0 0.7 5.3

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -42,527 contracts in the data reported through Tuesday. This was a weekly boost of 20,302 contracts from the previous week which had a total of -62,829 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 82.9 percent. The commercials are Bearish with a score of 27.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.3 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.5 72.0 7.7
– Percent of Open Interest Shorts: 19.9 69.0 8.3
– Net Position: -42,527 53,740 -11,213
– Gross Longs: 310,731 1,277,218 136,061
– Gross Shorts: 353,258 1,223,478 147,274
– 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): 82.9 27.8 19.3
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.3 10.5 -12.8

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -314,824 contracts in the data reported through Tuesday. This was a weekly lowering of -15,628 contracts from the previous week which had a total of -299,196 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 55.2 percent. The commercials are Bullish with a score of 61.8 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: 9.7 79.6 7.0
– Percent of Open Interest Shorts: 18.5 64.3 13.5
– Net Position: -314,824 547,985 -233,161
– Gross Longs: 345,060 2,842,467 248,462
– Gross Shorts: 659,884 2,294,482 481,623
– 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): 55.2 61.8 0.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -44.8 48.0 -33.1

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of 141,333 contracts in the data reported through Tuesday. This was a weekly lowering of -39,874 contracts from the previous week which had a total of 181,207 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 95.0 percent. The commercials are Bearish with a score of 42.6 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: 20.9 69.1 7.1
– Percent of Open Interest Shorts: 17.4 64.4 15.3
– Net Position: 141,333 192,710 -334,043
– Gross Longs: 848,256 2,808,775 289,697
– Gross Shorts: 706,923 2,616,065 623,740
– 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): 95.0 42.6 0.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 3.5 11.1 -29.7

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of 80,879 contracts in the data reported through Tuesday. This was a weekly increase of 5,032 contracts from the previous week which had a total of 75,847 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 49.1 percent. The commercials are Bullish with a score of 70.8 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: 17.1 74.9 7.6
– Percent of Open Interest Shorts: 11.5 68.4 19.7
– Net Position: 80,879 94,700 -175,579
– Gross Longs: 248,258 1,087,022 110,087
– Gross Shorts: 167,379 992,322 285,666
– Long to Short Ratio: 1.5 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 49.1 70.8 0.0
– COT Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.3 6.6 -15.1

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -98,649 contracts in the data reported through Tuesday. This was a weekly lift of 8,291 contracts from the previous week which had a total of -106,940 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 55.2 percent and the small traders (not shown in chart) are Bearish with a score of 43.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.7 75.2 13.9
– Percent of Open Interest Shorts: 16.7 66.3 14.8
– Net Position: -98,649 109,987 -11,338
– Gross Longs: 107,189 927,032 171,374
– Gross Shorts: 205,838 817,045 182,712
– Long to Short Ratio: 0.5 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 58.0 55.2 43.6
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.2 10.0 -25.5

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -313,634 contracts in the data reported through Tuesday. This was a weekly decline of -13,841 contracts from the previous week which had a total of -299,793 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 57.3 percent. The commercials are Bullish with a score of 73.6 percent and the small traders (not shown in chart) are Bearish with a score of 20.7 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.6 82.5 12.0
– Percent of Open Interest Shorts: 30.2 56.0 12.9
– Net Position: -313,634 324,157 -10,523
– Gross Longs: 55,695 1,008,685 146,619
– Gross Shorts: 369,329 684,528 157,142
– Long to Short Ratio: 0.2 to 1 1.5 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 57.3 73.6 20.7
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -24.3 41.0 -17.1

 


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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).

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