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).
| 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 |
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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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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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