COT Bonds Futures Charts: 2-Year & Long Treasury Notes see Speculator bets rise this week

November 6, 2021

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT 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 November 2nd 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 general rise in speculator positions among a few of the bond market symbols while other symbols fell sharply. This week has seen the 2-Year bond speculators boost their net positions by +49,210 contracts while the Ultra Long US Treasury bond bets increased by 38,602 contracts and the Long US Treasury bond positions gained by 34,447 contracts this week. These were the second, third and fourth highest weekly changes for speculator positions this week. On the other side of the leaders were the Fed Funds, 5-Year, 10-Year and the Eurodollar markets which registered as the symbols with the largest speculator net decreases on the week.


Data Snapshot of Bond Market Traders | Columns Legend
Nov-02-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,358,986 62 -993,373 31 1,355,371 64 -361,998 56
FedFunds 1,160,971 14 -62,468 32 74,234 69 -11,766 40
2-Year 2,052,533 11 -63,108 78 116,263 40 -53,155 0
Long T-Bond 1,158,749 42 -32,547 82 48,443 36 -15,896 40
10-Year 3,973,988 63 -268,669 31 606,611 100 -337,942 0
5-Year 3,568,732 24 -376,353 29 606,647 94 -230,294 8

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -993,373 contracts in the data reported through Tuesday. This was a weekly reduction of -268,380 contracts from the previous week which had a total of -724,993 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 31.2 percent. The commercials are Bullish with a score of 64.3 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.


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3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.6 66.1 4.3
– Percent of Open Interest Shorts: 20.7 55.2 7.2
– Net Position: -993,373 1,355,371 -361,998
– Gross Longs: 1,561,061 8,174,708 530,581
– Gross Shorts: 2,554,434 6,819,337 892,579
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 31.2 64.3 55.9
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.1 7.8 -30.5

 


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 -62,468 contracts in the data reported through Tuesday. This was a weekly lowering of -17,877 contracts from the previous week which had a total of -44,591 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 31.9 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bearish with a score of 39.9 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.4 80.7 2.0
– Percent of Open Interest Shorts: 9.7 74.3 3.0
– Net Position: -62,468 74,234 -11,766
– Gross Longs: 50,587 937,379 23,576
– Gross Shorts: 113,055 863,145 35,342
– 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): 31.9 68.9 39.9
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.9 -2.6 -4.4

 


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 -63,108 contracts in the data reported through Tuesday. This was a weekly lift of 49,210 contracts from the previous week which had a total of -112,318 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 78.4 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.0 74.1 6.2
– Percent of Open Interest Shorts: 19.1 68.5 8.8
– Net Position: -63,108 116,263 -53,155
– Gross Longs: 329,143 1,521,704 127,629
– Gross Shorts: 392,251 1,405,441 180,784
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 78.4 39.8 0.0
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.2 19.9 -40.2

 


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 -376,353 contracts in the data reported through Tuesday. This was a weekly lowering of -34,878 contracts from the previous week which had a total of -341,475 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 29.2 percent. The commercials are Bullish-Extreme with a score of 94.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.9 80.7 7.4
– Percent of Open Interest Shorts: 19.4 63.7 13.8
– Net Position: -376,353 606,647 -230,294
– Gross Longs: 317,689 2,880,804 263,908
– Gross Shorts: 694,042 2,274,157 494,202
– 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): 29.2 94.2 7.7
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -34.4 42.2 -28.3

 


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 -268,669 contracts in the data reported through Tuesday. This was a weekly decrease of -153,824 contracts from the previous week which had a total of -114,845 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 30.7 percent. The commercials are Bullish-Extreme with a score of 100.0 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: 12.5 76.8 7.4
– Percent of Open Interest Shorts: 19.2 61.6 15.9
– Net Position: -268,669 606,611 -337,942
– Gross Longs: 496,137 3,052,628 294,092
– Gross Shorts: 764,806 2,446,017 632,034
– 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): 30.7 100.0 0.0
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -50.8 55.4 -25.2

 


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 153,483 contracts in the data reported through Tuesday. This was a weekly fall of -3,271 contracts from the previous week which had a total of 156,754 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 68.3 percent. The commercials are Bullish with a score of 50.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.4 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.6 71.9 6.8
– Percent of Open Interest Shorts: 10.9 70.5 18.0
– Net Position: 153,483 23,194 -176,677
– Gross Longs: 325,104 1,136,251 107,890
– Gross Shorts: 171,621 1,113,057 284,567
– 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): 68.3 50.8 2.4
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.8 -11.8 -16.2

 


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 -32,547 contracts in the data reported through Tuesday. This was a weekly increase of 34,447 contracts from the previous week which had a total of -66,994 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 81.7 percent. The commercials are Bearish with a score of 35.6 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.5 73.6 14.5
– Percent of Open Interest Shorts: 13.3 69.4 15.9
– Net Position: -32,547 48,443 -15,896
– Gross Longs: 121,529 852,718 168,279
– Gross Shorts: 154,076 804,275 184,175
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 81.7 35.6 40.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 20.0 -8.9 -22.0

 


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 -292,611 contracts in the data reported through Tuesday. This was a weekly boost of 38,602 contracts from the previous week which had a total of -331,213 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 65.8 percent. The commercials are Bullish with a score of 53.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.0 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.9 82.5 12.7
– Percent of Open Interest Shorts: 28.0 59.2 12.0
– Net Position: -292,611 283,250 9,361
– Gross Longs: 47,132 1,001,156 154,604
– Gross Shorts: 339,743 717,906 145,243
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 65.8 53.6 35.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.9 3.1 -6.1

 


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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).See CFTC criteria here.