COT Speculators boosted Ultra 10-Year Treasury Notes & 2-Year bonds bets

November 15, 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 9th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets. This week’s reports are delayed due to last week’s Veteran’s Day holiday.

Highlighting this week’s COT data for bonds were the gains in speculative bets for the Ultra 10-Year Notes and the 2-Year bond. These two markets each rose by over +46,000 net positions this week and led the weekly net changes for all the markets we cover. These two markets are also in extreme bullish positions for the speculator strength indexes with the 2-Year bond at an 88.6 percent score while the Ultra 10-Year is at an 81.1 percent score. The strength index weighs the current position against the past three years with extreme scores above 80 (bullish) and below 20 (bearish).


Data Snapshot of Bond Market Traders | Columns Legend
Nov-09-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,396,094 63 -971,910 31 1,331,314 65 -359,404 56
FedFunds 1,157,278 14 -67,949 31 77,176 69 -9,227 45
2-Year 2,013,763 9 -16,737 89 68,313 31 -51,576 1
Long T-Bond 1,206,593 50 -28,072 83 10,259 23 17,813 67
10-Year 3,883,483 56 -267,332 31 572,247 96 -304,915 8
5-Year 3,600,589 26 -407,485 8 637,634 100 -230,149 8

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -971,910 contracts in the data reported through Tuesday. This was a weekly boost of 21,463 contracts from the previous week which had a total of -993,373 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 65.1 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: 12.8 66.8 4.0
– Percent of Open Interest Shorts: 20.6 56.0 6.9
– Net Position: -971,910 1,331,314 -359,404
– Gross Longs: 1,581,479 8,275,703 492,587
– Gross Shorts: 2,553,389 6,944,389 851,991
– 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 65.1 55.9
– COT Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.5 3.8 -18.0

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -67,949 contracts in the data reported through Tuesday. This was a weekly decline of -5,481 contracts from the previous week which had a total of -62,468 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 69.3 percent and the small traders (not shown in chart) are Bearish with a score of 45.4 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.2 81.5 2.0
– Percent of Open Interest Shorts: 10.1 74.8 2.8
– Net Position: -67,949 77,176 -9,227
– Gross Longs: 48,886 943,134 22,753
– Gross Shorts: 116,835 865,958 31,980
– 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): 31.2 69.3 45.4
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.3 -2.7 6.2

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -16,737 contracts in the data reported through Tuesday. This was a weekly gain of 46,371 contracts from the previous week which had a total of -63,108 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 88.6 percent. The commercials are Bearish with a score of 30.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.9 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.1 73.1 6.2
– Percent of Open Interest Shorts: 18.0 69.7 8.7
– Net Position: -16,737 68,313 -51,576
– Gross Longs: 345,187 1,471,287 124,473
– Gross Shorts: 361,924 1,402,974 176,049
– 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): 88.6 30.6 0.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.2 1.0 -29.0

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -407,485 contracts in the data reported through Tuesday. This was a weekly decrease of -31,132 contracts from the previous week which had a total of -376,353 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 8.3 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 7.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.2 82.3 7.1
– Percent of Open Interest Shorts: 18.5 64.6 13.5
– Net Position: -407,485 637,634 -230,149
– Gross Longs: 258,018 2,964,073 256,898
– Gross Shorts: 665,503 2,326,439 487,047
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 8.3 100.0 7.7
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -19.8 23.5 -20.8

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -267,332 contracts in the data reported through Tuesday. This was a weekly increase of 1,337 contracts from the previous week which had a total of -268,669 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 30.9 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.7 76.6 7.8
– Percent of Open Interest Shorts: 19.5 61.9 15.7
– Net Position: -267,332 572,247 -304,915
– Gross Longs: 491,821 2,976,174 303,939
– Gross Shorts: 759,153 2,403,927 608,854
– 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): 30.9 95.7 7.7
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -69.1 58.6 -3.5

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of 202,050 contracts in the data reported through Tuesday. This was a weekly increase of 48,567 contracts from the previous week which had a total of 153,483 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 81.1 percent. The commercials are Bearish with a score of 39.0 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: 22.0 71.0 6.6
– Percent of Open Interest Shorts: 9.5 72.2 17.9
– Net Position: 202,050 -18,901 -183,149
– Gross Longs: 355,010 1,147,620 105,943
– Gross Shorts: 152,960 1,166,521 289,092
– Long to Short Ratio: 2.3 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 81.1 39.0 0.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 33.3 -27.2 -18.5

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -28,072 contracts in the data reported through Tuesday. This was a weekly lift of 4,475 contracts from the previous week which had a total of -32,547 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 83.3 percent. The commercials are Bearish with a score of 23.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.0 71.6 15.5
– Percent of Open Interest Shorts: 13.3 70.7 14.0
– Net Position: -28,072 10,259 17,813
– Gross Longs: 132,694 863,487 186,632
– Gross Shorts: 160,766 853,228 168,819
– Long to Short Ratio: 0.8 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 83.3 23.4 66.7
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 28.3 -27.7 6.5

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -300,782 contracts in the data reported through Tuesday. This was a weekly decrease of -8,171 contracts from the previous week which had a total of -292,611 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 62.5 percent. The commercials are Bullish with a score of 57.7 percent and the small traders (not shown in chart) are Bearish with a score of 34.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.7 81.4 12.7
– Percent of Open Interest Shorts: 28.8 58.0 12.0
– Net Position: -300,782 291,663 9,119
– Gross Longs: 58,213 1,013,082 157,838
– Gross Shorts: 358,995 721,419 148,719
– 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): 62.5 57.7 34.8
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.4 -1.5 2.9

 


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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.