COT Bonds Speculators drop 10-Year Treasury Notes bets to lowest level in 91-weeks

November 20, 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 16th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT Bonds data this week is the increase in bearishness of the 10-Year Treasury Note speculators. The 10-Year speculative positions fell by -26,809 net contracts this week and have now declined in four out of the past five weeks. Speculator net positions have experienced a huge drop of -450,183 contracts in just that 5-week period. This bearishness has dropped the current spec level to the most bearish standing since February 18th of 2020, a span of ninety-one weeks.

Looking at the overall situation in the 10-Year futures market shows that speculators (-294,141 contracts) and small traders (-304,450 contracts) currently make up the bearish side while the commercial hedgers (598,591 contracts) are very bullish and sport a strength index score of 99 percent. This means that commercial traders are right at the top of their range of bullishness over the past three years and as these traders can eventually move markets, this situation bears watching.


Data Snapshot of Bond Market Traders | Columns Legend
Nov-16-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,283,299 61 -1,119,283 28 1,477,223 68 -357,940 55
FedFunds 1,207,677 17 -65,206 32 74,839 69 -9,633 45
2-Year 2,016,362 9 -5,445 91 63,501 30 -58,056 0
Long T-Bond 1,232,186 54 -16,368 88 8,293 23 8,075 59
10-Year 3,972,392 62 -294,141 27 598,591 99 -304,450 8
5-Year 3,630,431 28 -344,595 20 581,981 93 -237,386 5

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -1,119,283 contracts in the data reported through Tuesday. This was a weekly fall of -147,373 contracts from the previous week which had a total of -971,910 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 28.3 percent. The commercials are Bullish with a score of 67.7 percent and the small traders (not shown in chart) are Bullish with a score of 55.5 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.0 66.3 4.4
– Percent of Open Interest Shorts: 21.1 54.2 7.3
– Net Position: -1,119,283 1,477,223 -357,940
– Gross Longs: 1,477,552 8,137,706 540,741
– Gross Shorts: 2,596,835 6,660,483 898,681
– 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): 28.3 67.7 55.5
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.0 8.6 -16.1

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -65,206 contracts in the data reported through Tuesday. This was a weekly boost of 2,743 contracts from the previous week which had a total of -67,949 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 31.6 percent. The commercials are Bullish with a score of 69.0 percent and the small traders (not shown in chart) are Bearish with a score of 44.5 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.9 81.4 1.7
– Percent of Open Interest Shorts: 10.3 75.2 2.5
– Net Position: -65,206 74,839 -9,633
– Gross Longs: 58,782 982,458 20,741
– Gross Shorts: 123,988 907,619 30,374
– Long to Short Ratio: 0.5 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 31.6 69.0 44.5
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.6 -1.8 4.3

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -5,445 contracts in the data reported through Tuesday. This was a weekly advance of 11,292 contracts from the previous week which had a total of -16,737 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 91.1 percent. The commercials are Bearish with a score of 29.6 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: 17.1 73.3 6.0
– Percent of Open Interest Shorts: 17.4 70.1 8.9
– Net Position: -5,445 63,501 -58,056
– Gross Longs: 345,245 1,477,100 121,652
– Gross Shorts: 350,690 1,413,599 179,708
– Long to Short Ratio: 1.0 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 91.1 29.6 0.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.2 1.9 -25.8

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -344,595 contracts in the data reported through Tuesday. This was a weekly lift of 62,890 contracts from the previous week which had a total of -407,485 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-Extreme with a score of 19.7 percent. The commercials are Bullish-Extreme with a score of 92.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.5 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.3 81.1 7.2
– Percent of Open Interest Shorts: 17.8 65.1 13.7
– Net Position: -344,595 581,981 -237,386
– Gross Longs: 300,750 2,944,901 261,002
– Gross Shorts: 645,345 2,362,920 498,388
– 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): 19.7 92.6 5.5
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.4 4.5 -1.3

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -294,141 contracts in the data reported through Tuesday. This was a weekly decline of -26,809 contracts from the previous week which had a total of -267,332 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 26.7 percent. The commercials are Bullish-Extreme with a score of 99.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.8 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.3 76.9 7.4
– Percent of Open Interest Shorts: 19.7 61.8 15.1
– Net Position: -294,141 598,591 -304,450
– Gross Longs: 486,980 3,053,354 293,521
– Gross Shorts: 781,121 2,454,763 597,971
– 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): 26.7 99.0 7.8
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -67.1 51.3 6.9

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of 162,410 contracts in the data reported through Tuesday. This was a weekly decrease of -39,640 contracts from the previous week which had a total of 202,050 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 70.6 percent. The commercials are Bearish with a score of 45.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.0 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.1 71.6 7.0
– Percent of Open Interest Shorts: 10.1 71.4 17.3
– Net Position: 162,410 3,376 -165,786
– Gross Longs: 324,961 1,154,942 113,100
– Gross Shorts: 162,551 1,151,566 278,886
– Long to Short Ratio: 2.0 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 70.6 45.2 11.0
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 21.5 -25.6 6.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -16,368 contracts in the data reported through Tuesday. This was a weekly rise of 11,704 contracts from the previous week which had a total of -28,072 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 87.5 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.8 69.6 16.0
– Percent of Open Interest Shorts: 13.1 68.9 15.4
– Net Position: -16,368 8,293 8,075
– Gross Longs: 144,973 857,612 197,253
– Gross Shorts: 161,341 849,319 189,178
– 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): 87.5 22.8 59.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 29.6 -32.4 15.4

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -298,879 contracts in the data reported through Tuesday. This was a weekly gain of 1,903 contracts from the previous week which had a total of -300,782 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 63.3 percent. The commercials are Bullish with a score of 55.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.1 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.9 80.4 12.4
– Percent of Open Interest Shorts: 29.6 57.5 11.6
– Net Position: -298,879 287,988 10,891
– Gross Longs: 74,179 1,012,845 156,624
– Gross Shorts: 373,058 724,857 145,733
– 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): 63.3 55.9 36.1
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.0 -17.7 15.4

 


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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.