COT Bonds Speculators drop 10-Year Treasury Notes to most bearish in past 97 weeks

December 27, 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 release was delayed by the CFTC due to the Christmas holiday.

The latest COT data is updated through Tuesday December 21st 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 is the sharp drop in the 10-Year Bond futures. Speculator positioning in the 10-Year has fallen for two straight weeks and last week’s sharp decline marked the largest one-week fall of the past seven weeks. The weakness in speculator sentiment has pushed the current level (-339,299 contracts) to the most bearish level of the past ninety-seven weeks, dating all the way back to February 11th of 2020. The 10-Year contracts have also fallen into a bearish-extreme reading in the speculator strength index with a score of 19.8 percent (current level compared to past 3-year range, with below 20 percent equaling an extreme bearish score).

The bond markets with rising contracts last week were the 2-Year Bond (34,135 contracts), Ultra 10-Year (2,891 contracts) and the Long US Bond (1,234 contracts) while decreasing bets for the week were seen in Eurodollar (-92,289 contracts), 10-Year (-65,443 contracts), FedFunds (-117 contracts), 5-Year (-6,573 contracts) and the Ultra US Bond (-5,088 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Dec-21-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,105,895 47 -1,814,820 3 2,164,526 93 -349,706 37
FedFunds 1,368,542 29 -89,429 29 106,598 73 -17,169 19
2-Year 1,970,102 8 79,333 100 -10,366 18 -68,967 1
Long T-Bond 1,225,029 53 -36,084 80 12,074 24 24,010 72
10-Year 3,798,267 50 -339,299 20 572,563 93 -233,264 24
5-Year 3,604,052 27 -346,376 19 595,081 94 -248,705 13

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -1,814,820 contracts in the data reported through Tuesday. This was a weekly decrease of -92,289 contracts from the previous week which had a total of -1,722,531 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-Extreme with a score of 3.1 percent. The commercials are Bullish-Extreme with a score of 93.1 percent and the small traders (not shown in chart) are Bearish with a score of 37.1 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.8 71.3 4.2
– Percent of Open Interest Shorts: 24.1 51.8 7.4
– Net Position: -1,814,820 2,164,526 -349,706
– Gross Longs: 861,964 7,913,862 466,971
– Gross Shorts: 2,676,784 5,749,336 816,677
– Long to Short Ratio: 0.3 to 1 1.4 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 3.1 93.1 37.1
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -18.7 17.3 1.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -89,429 contracts in the data reported through Tuesday. This was a weekly reduction of -117 contracts from the previous week which had a total of -89,312 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 28.6 percent. The commercials are Bullish with a score of 72.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 82.7 1.6
– Percent of Open Interest Shorts: 9.8 74.9 2.9
– Net Position: -89,429 106,598 -17,169
– Gross Longs: 44,107 1,131,988 21,886
– Gross Shorts: 133,536 1,025,390 39,055
– Long to Short Ratio: 0.3 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 28.6 72.8 19.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.7 3.6 -19.4

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of 79,333 contracts in the data reported through Tuesday. This was a weekly gain of 34,135 contracts from the previous week which had a total of 45,198 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 100.0 percent. The commercials are Bearish-Extreme with a score of 17.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.4 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.0 67.4 6.2
– Percent of Open Interest Shorts: 17.0 67.9 9.7
– Net Position: 79,333 -10,366 -68,967
– Gross Longs: 413,905 1,327,923 122,871
– Gross Shorts: 334,572 1,338,289 191,838
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 100.0 17.6 1.4
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 19.7 -17.2 -8.9

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -346,376 contracts in the data reported through Tuesday. This was a weekly lowering of -6,573 contracts from the previous week which had a total of -339,803 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 19.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.3 82.5 7.0
– Percent of Open Interest Shorts: 16.9 66.0 13.9
– Net Position: -346,376 595,081 -248,705
– Gross Longs: 263,268 2,974,180 252,720
– Gross Shorts: 609,644 2,379,099 501,425
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 19.4 94.3 12.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.1 -5.7 -5.1

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -339,299 contracts in the data reported through Tuesday. This was a weekly fall of -65,443 contracts from the previous week which had a total of -273,856 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 19.8 percent. The commercials are Bullish-Extreme with a score of 93.4 percent and the small traders (not shown in chart) are Bearish with a score of 24.3 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.6 78.2 7.9
– Percent of Open Interest Shorts: 20.5 63.1 14.1
– Net Position: -339,299 572,563 -233,264
– Gross Longs: 438,814 2,968,460 301,484
– Gross Shorts: 778,113 2,395,897 534,748
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 19.8 93.4 24.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.1 0.0 16.7

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of 110,912 contracts in the data reported through Tuesday. This was a weekly lift of 2,891 contracts from the previous week which had a total of 108,021 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 57.0 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 23.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.2 71.2 8.5
– Percent of Open Interest Shorts: 11.0 68.2 19.8
– Net Position: 110,912 41,687 -152,599
– Gross Longs: 259,469 964,154 115,340
– Gross Shorts: 148,557 922,467 267,939
– Long to Short Ratio: 1.7 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 57.0 55.9 23.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -24.1 17.0 18.3

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -36,084 contracts in the data reported through Tuesday. This was a weekly boost of 1,234 contracts from the previous week which had a total of -37,318 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-Extreme with a score of 80.5 percent. The commercials are Bearish with a score of 24.0 percent and the small traders (not shown in chart) are Bullish with a score of 71.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.0 71.5 15.2
– Percent of Open Interest Shorts: 15.0 70.5 13.2
– Net Position: -36,084 12,074 24,010
– Gross Longs: 147,408 875,599 185,627
– Gross Shorts: 183,492 863,525 161,617
– Long to Short Ratio: 0.8 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 80.5 24.0 71.6
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.9 0.6 4.9

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -297,561 contracts in the data reported through Tuesday. This was a weekly fall of -5,088 contracts from the previous week which had a total of -292,473 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 63.8 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.6 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.6 80.1 12.8
– Percent of Open Interest Shorts: 30.3 59.0 10.2
– Net Position: -297,561 265,003 32,558
– Gross Longs: 83,043 1,004,474 160,841
– Gross Shorts: 380,604 739,471 128,283
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 63.8 44.6 51.6
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.3 -13.1 16.8

 


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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.