COT Bonds Speculators push bullish 2-Year Treasuries bets to 17-week high

December 11, 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 December 7th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT bonds data is the gains in the 2-Year Bond that brings speculator positioning to the highest level in seventeen weeks. The speculative position in the 2-Year has risen for two consecutive weeks and for six out of the past seven weeks as well. This bullishness has brought the net position out of bearish territory for a second week and pushed the current net position to the best level since August 10th. This week’s net positioning is also the second highest level of the past three years which equates to a 99.5 percent strength score (current level compared to past three years of data).

Joining the 2-Year Bond (16,935 contracts) in gaining this week are 10-Year (46,365 contracts), Ultra 10-Year (4,727 contracts), Long US Bond (3,118 contracts), Ultra US Bond (20,142 contracts) while the declining positions this week were in the FedFunds (-14,841 contracts), 5-Year (-19,699 contracts) and the Eurodollar (-253,207 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Dec-07-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,241,710 71 -1,374,863 18 1,849,419 82 -474,556 15
FedFunds 1,338,244 26 -113,319 26 119,740 74 -6,421 47
2-Year 1,887,954 4 32,605 100 21,757 25 -54,362 2
Long T-Bond 1,211,685 51 -46,522 77 25,038 28 21,484 70
10-Year 3,788,362 50 -267,006 31 538,925 89 -271,919 15
5-Year 3,532,357 23 -387,531 12 626,885 99 -239,354 15

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -1,374,863 contracts in the data reported through Tuesday. This was a weekly fall of -253,207 contracts from the previous week which had a total of -1,121,656 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 17.6 percent. The commercials are Bullish-Extreme with a score of 82.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.0 67.7 3.6
– Percent of Open Interest Shorts: 22.2 52.6 7.5
– Net Position: -1,374,863 1,849,419 -474,556
– Gross Longs: 1,347,006 8,286,582 442,408
– Gross Shorts: 2,721,869 6,437,163 916,964
– Long to Short Ratio: 0.5 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 17.6 82.0 15.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.7 15.8 -28.7

 


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 -113,319 contracts in the data reported through Tuesday. This was a weekly reduction of -14,841 contracts from the previous week which had a total of -98,478 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 25.6 percent. The commercials are Bullish with a score of 74.4 percent and the small traders (not shown in chart) are Bearish with a score of 47.4 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.6 81.2 1.6
– Percent of Open Interest Shorts: 12.1 72.2 2.1
– Net Position: -113,319 119,740 -6,421
– Gross Longs: 48,763 1,086,342 22,027
– Gross Shorts: 162,082 966,602 28,448
– Long to Short Ratio: 0.3 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 25.6 74.4 47.4
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.5 7.9 8.0

 


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 32,605 contracts in the data reported through Tuesday. This was a weekly advance of 16,935 contracts from the previous week which had a total of 15,670 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 99.5 percent. The commercials are Bearish with a score of 24.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.6 70.6 6.8
– Percent of Open Interest Shorts: 15.9 69.5 9.7
– Net Position: 32,605 21,757 -54,362
– Gross Longs: 332,992 1,333,598 128,768
– Gross Shorts: 300,387 1,311,841 183,130
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 99.5 24.6 2.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 32.8 -29.1 -6.6

 


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 -387,531 contracts in the data reported through Tuesday. This was a weekly decrease of -19,699 contracts from the previous week which had a total of -367,832 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 11.9 percent. The commercials are Bullish-Extreme with a score of 98.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.3 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.8 83.6 7.1
– Percent of Open Interest Shorts: 16.8 65.9 13.9
– Net Position: -387,531 626,885 -239,354
– Gross Longs: 206,116 2,953,732 252,310
– Gross Shorts: 593,647 2,326,847 491,664
– Long to Short Ratio: 0.3 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 11.9 98.6 15.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.4 6.3 -0.3

 


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 -267,006 contracts in the data reported through Tuesday. This was a weekly increase of 46,365 contracts from the previous week which had a total of -313,371 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 89.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.4 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.3 78.7 7.5
– Percent of Open Interest Shorts: 18.4 64.5 14.7
– Net Position: -267,006 538,925 -271,919
– Gross Longs: 429,676 2,982,925 286,003
– Gross Shorts: 696,682 2,444,000 557,922
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 30.9 89.2 15.4
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -23.4 12.0 12.7

 


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 113,607 contracts in the data reported through Tuesday. This was a weekly boost of 4,727 contracts from the previous week which had a total of 108,880 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 57.7 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.4 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.4 72.2 7.8
– Percent of Open Interest Shorts: 10.1 68.2 20.0
– Net Position: 113,607 54,412 -168,019
– Gross Longs: 252,678 992,329 107,252
– Gross Shorts: 139,071 937,917 275,271
– Long to Short Ratio: 1.8 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 57.7 59.5 14.4
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.4 9.8 5.0

 


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 -46,522 contracts in the data reported through Tuesday. This was a weekly advance of 3,118 contracts from the previous week which had a total of -49,640 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 76.7 percent. The commercials are Bearish with a score of 28.1 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 72.1 15.8
– Percent of Open Interest Shorts: 14.5 70.1 14.0
– Net Position: -46,522 25,038 21,484
– Gross Longs: 128,583 873,875 191,608
– Gross Shorts: 175,105 848,837 170,124
– Long to Short Ratio: 0.7 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 76.7 28.1 69.6
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.4 -19.7 32.9

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -290,354 contracts in the data reported through Tuesday. This was a weekly advance of 20,142 contracts from the previous week which had a total of -310,496 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 66.8 percent. The commercials are Bearish with a score of 49.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.1 80.1 12.5
– Percent of Open Interest Shorts: 29.7 57.8 11.1
– Net Position: -290,354 274,032 16,322
– Gross Longs: 75,407 986,451 153,443
– Gross Shorts: 365,761 712,419 137,121
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 66.8 49.0 40.0
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 16.7 -25.2 7.5

 


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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.