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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-23-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,349,444 62 -1,300,481 25 1,673,242 72 -372,761 53
FedFunds 1,298,421 24 -82,005 29 95,280 71 -13,275 37
2-Year 2,132,720 14 -46,620 82 98,539 36 -51,919 3
Long T-Bond 1,252,959 58 -11,025 89 2,535 21 8,490 59
10-Year 4,124,886 73 -323,415 22 626,237 100 -302,822 8
5-Year 4,093,700 52 -284,883 31 580,200 92 -295,317 0

 

3-Month Eurodollars Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.4 66.5 4.2
– Percent of Open Interest Shorts: 21.9 53.0 7.2
– Net Position: -1,300,481 1,673,242 -372,761
– Gross Longs: 1,402,059 8,214,489 521,653
– Gross Shorts: 2,702,540 6,541,247 894,414
– Long to Short Ratio: 0.5 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 24.8 71.7 52.7
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.6 9.7 -13.8

 

30-Day Federal Funds Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 81.2 1.4
– Percent of Open Interest Shorts: 11.1 73.9 2.5
– Net Position: -82,005 95,280 -13,275
– Gross Longs: 62,546 1,054,351 18,787
– Gross Shorts: 144,551 959,071 32,062
– Long to Short Ratio: 0.4 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 29.5 71.4 36.6
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.6 1.9 -5.1

 

2-Year Treasury Note Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.2 73.1 6.5
– Percent of Open Interest Shorts: 16.4 68.5 8.9
– Net Position: -46,620 98,539 -51,919
– Gross Longs: 302,567 1,558,485 138,934
– Gross Shorts: 349,187 1,459,946 190,853
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 82.0 36.4 3.4
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.3 7.2 -17.6

 

5-Year Treasury Note Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.2 77.3 7.6
– Percent of Open Interest Shorts: 15.1 63.1 14.8
– Net Position: -284,883 580,200 -295,317
– Gross Longs: 335,148 3,165,060 310,719
– Gross Shorts: 620,031 2,584,860 606,036
– 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): 30.6 92.3 0.0
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.7 4.1 -18.4

 

10-Year Treasury Note Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 77.0 8.5
– Percent of Open Interest Shorts: 18.5 61.8 15.8
– Net Position: -323,415 626,237 -302,822
– Gross Longs: 437,867 3,176,597 350,623
– Gross Shorts: 761,282 2,550,360 653,445
– 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): 22.2 100.0 8.2
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -73.9 57.1 3.8

 

Ultra 10-Year Notes Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.9 71.7 7.4
– Percent of Open Interest Shorts: 9.0 69.4 19.6
– Net Position: 156,586 35,408 -191,994
– Gross Longs: 297,229 1,125,042 115,416
– Gross Shorts: 140,643 1,089,634 307,410
– Long to Short Ratio: 2.1 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 69.1 54.2 0.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 16.5 -14.3 -6.9

 

US Treasury Bonds Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.3 69.9 14.8
– Percent of Open Interest Shorts: 13.1 69.7 14.1
– Net Position: -11,025 2,535 8,490
– Gross Longs: 153,738 876,170 185,217
– Gross Shorts: 164,763 873,635 176,727
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 89.5 20.9 59.3
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 20.0 -26.7 22.4

 

Ultra US Treasury Bonds Futures:

The 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.8 80.0 13.0
– Percent of Open Interest Shorts: 28.5 58.2 12.1
– Net Position: -291,720 280,496 11,224
– Gross Longs: 75,005 1,029,708 167,388
– Gross Shorts: 366,725 749,212 156,164
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 66.2 52.2 36.3
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.9 -18.1 10.9

 

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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