29 Nov

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

November 29, 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) on Monday due to the Thanksgiving holiday last week.

The latest COT data is updated through Tuesday November 23 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
Nov-23-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,349,44462-1,300,481251,673,24272-372,76153
FedFunds1,298,42124-82,0052995,28071-13,27537
2-Year2,132,72014-46,6208298,53936-51,9193
Long T-Bond1,252,95958-11,025892,535218,49059
10-Year4,124,88673-323,41522626,237100-302,8228
5-Year4,093,70052-284,88331580,20092-295,3170

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,300,481 contracts in the data reported through Tuesday. This was a weekly fall of -181,198 contracts from the previous week which had a total of -1,119,283 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 24.8 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bullish with a score of 52.7 percent.

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3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.466.54.2
– Percent of Open Interest Shorts:21.953.07.2
– Net Position:-1,300,4811,673,242-372,761
– Gross Longs:1,402,0598,214,489521,653
– Gross Shorts:2,702,5406,541,247894,414
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):24.871.752.7
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.69.7-13.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -82,005 contracts in the data reported through Tuesday. This was a weekly reduction of -16,799 contracts from the previous week which had a total of -65,206 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 29.5 percent. The commercials are Bullish with a score of 71.4 percent and the small traders (not shown in chart) are Bearish with a score of 36.6 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.881.21.4
– Percent of Open Interest Shorts:11.173.92.5
– Net Position:-82,00595,280-13,275
– Gross Longs:62,5461,054,35118,787
– Gross Shorts:144,551959,07132,062
– Long to Short Ratio:0.4 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):29.571.436.6
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.61.9-5.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -46,620 contracts in the data reported through Tuesday. This was a weekly decrease of -41,175 contracts from the previous week which had a total of -5,445 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 82.0 percent. The commercials are Bearish with a score of 36.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.273.16.5
– Percent of Open Interest Shorts:16.468.58.9
– Net Position:-46,62098,539-51,919
– Gross Longs:302,5671,558,485138,934
– Gross Shorts:349,1871,459,946190,853
– Long to Short Ratio:0.9 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):82.036.43.4
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.37.2-17.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -284,883 contracts in the data reported through Tuesday. This was a weekly rise of 59,712 contracts from the previous week which had a total of -344,595 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 30.6 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.277.37.6
– Percent of Open Interest Shorts:15.163.114.8
– Net Position:-284,883580,200-295,317
– Gross Longs:335,1483,165,060310,719
– Gross Shorts:620,0312,584,860606,036
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):30.692.30.0
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.74.1-18.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -323,415 contracts in the data reported through Tuesday. This was a weekly decrease of -29,274 contracts from the previous week which had a total of -294,141 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 22.2 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 8.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.677.08.5
– Percent of Open Interest Shorts:18.561.815.8
– Net Position:-323,415626,237-302,822
– Gross Longs:437,8673,176,597350,623
– Gross Shorts:761,2822,550,360653,445
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):22.2100.08.2
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-73.957.13.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of 156,586 contracts in the data reported through Tuesday. This was a weekly reduction of -5,824 contracts from the previous week which had a total of 162,410 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 Bullish with a score of 54.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.971.77.4
– Percent of Open Interest Shorts:9.069.419.6
– Net Position:156,58635,408-191,994
– Gross Longs:297,2291,125,042115,416
– Gross Shorts:140,6431,089,634307,410
– Long to Short Ratio:2.1 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):69.154.20.0
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.5-14.3-6.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -11,025 contracts in the data reported through Tuesday. This was a weekly advance of 5,343 contracts from the previous week which had a total of -16,368 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 89.5 percent. The commercials are Bearish with a score of 20.9 percent and the small traders (not shown in chart) are Bullish with a score of 59.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.369.914.8
– Percent of Open Interest Shorts:13.169.714.1
– Net Position:-11,0252,5358,490
– Gross Longs:153,738876,170185,217
– Gross Shorts:164,763873,635176,727
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):89.520.959.3
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.0-26.722.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -291,720 contracts in the data reported through Tuesday. This was a weekly boost of 7,159 contracts from the previous week which had a total of -298,879 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 66.2 percent. The commercials are Bullish with a score of 52.2 percent and the small traders (not shown in chart) are Bearish with a score of 36.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.880.013.0
– Percent of Open Interest Shorts:28.558.212.1
– Net Position:-291,720280,49611,224
– Gross Longs:75,0051,029,708167,388
– Gross Shorts:366,725749,212156,164
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):66.252.236.3
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.9-18.110.9

 

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).See CFTC criteria here.


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