COT Speculators push 2-Year Bonds bets into bullish level for 1st time since August

December 4, 2021

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 30th 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 2-Year Bond speculators bets that rose for the fifth time in the past six weeks. Bond speculators have been improving their bets for the 2-Year steadily and have also pushed their bets higher for seven out of the past nine weeks and by a total of +78,499 contracts over that period. This improving sentiment has brought the current net position standing into a bullish level for the first time since August 17th, a span of fifteen weeks. The 2-Year Treasury Note is now one of the only two bond instruments (the other is the Ultra 10-Year U.S. T-Note) in our tracking that have bullish net positions at the moment.


Data Snapshot of Bond Market Traders | Columns Legend
Nov-30-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 12,207,541 59 -1,121,656 28 1,568,222 71 -446,566 28
FedFunds 1,426,038 33 -98,478 27 114,396 74 -15,918 31
2-Year 1,789,196 1 15,670 96 35,095 24 -50,765 4
Long T-Bond 1,219,181 52 -49,640 76 29,588 30 20,052 68
10-Year 3,803,125 51 -313,371 24 567,638 93 -254,267 19
5-Year 3,486,538 21 -367,832 16 614,453 97 -246,621 13

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,121,656 contracts in the data reported through Tuesday. This was a weekly rise of 178,825 contracts from the previous week which had a total of -1,300,481 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 28.3 percent. The commercials are Bullish with a score of 70.7 percent and the small traders (not shown in chart) are Bearish with a score of 27.9 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.4 66.3 3.7
– Percent of Open Interest Shorts: 21.6 53.4 7.4
– Net Position: -1,121,656 1,568,222 -446,566
– Gross Longs: 1,515,247 8,091,297 451,347
– Gross Shorts: 2,636,903 6,523,075 897,913
– 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): 28.3 70.7 27.9
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.7 8.9 -24.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -98,478 contracts in the data reported through Tuesday. This was a weekly decline of -16,473 contracts from the previous week which had a total of -82,005 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 27.5 percent. The commercials are Bullish with a score of 73.8 percent and the small traders (not shown in chart) are Bearish with a score of 30.8 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.7 81.6 1.3
– Percent of Open Interest Shorts: 10.6 73.6 2.4
– Net Position: -98,478 114,396 -15,918
– Gross Longs: 52,431 1,163,989 18,288
– Gross Shorts: 150,909 1,049,593 34,206
– Long to Short Ratio: 0.3 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 27.5 73.8 30.8
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.4 5.9 -10.7

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of 15,670 contracts in the data reported through Tuesday. This was a weekly increase of 62,290 contracts from the previous week which had a total of -46,620 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 95.8 percent. The commercials are Bearish with a score of 24.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 4.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.2 73.0 7.0
– Percent of Open Interest Shorts: 15.3 71.0 9.9
– Net Position: 15,670 35,095 -50,765
– Gross Longs: 289,388 1,306,141 125,667
– Gross Shorts: 273,718 1,271,046 176,432
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 95.8 24.2 4.0
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 32.9 -26.4 -6.1

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -367,832 contracts in the data reported through Tuesday. This was a weekly reduction of -82,949 contracts from the previous week which had a total of -284,883 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 15.5 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.3 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.0 82.0 7.4
– Percent of Open Interest Shorts: 17.6 64.4 14.5
– Net Position: -367,832 614,453 -246,621
– Gross Longs: 244,895 2,859,429 258,648
– Gross Shorts: 612,727 2,244,976 505,269
– 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): 15.5 96.9 13.3
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -20.5 13.9 2.3

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -313,371 contracts in the data reported through Tuesday. This was a weekly rise of 10,044 contracts from the previous week which had a total of -323,415 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 23.8 percent. The commercials are Bullish-Extreme with a score of 92.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.5 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.1 78.4 7.8
– Percent of Open Interest Shorts: 19.3 63.5 14.5
– Net Position: -313,371 567,638 -254,267
– Gross Longs: 420,694 2,982,808 297,942
– Gross Shorts: 734,065 2,415,170 552,209
– 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): 23.8 92.8 19.5
– COT Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -48.2 30.6 15.0

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of 108,880 contracts in the data reported through Tuesday. This was a weekly decline of -47,706 contracts from the previous week which had a total of 156,586 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 56.5 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.2 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.5 72.1 7.3
– Percent of Open Interest Shorts: 9.9 67.5 19.5
– Net Position: 108,880 66,179 -175,059
– Gross Longs: 250,436 1,030,621 104,031
– Gross Shorts: 141,556 964,442 279,090
– Long to Short Ratio: 1.8 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 56.5 62.8 10.2
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.1 9.5 -2.0

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -49,640 contracts in the data reported through Tuesday. This was a weekly decline of -38,615 contracts from the previous week which had a total of -11,025 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 75.6 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bullish with a score of 68.5 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.5 72.6 14.9
– Percent of Open Interest Shorts: 14.6 70.2 13.2
– Net Position: -49,640 29,588 20,052
– Gross Longs: 127,915 885,731 181,245
– Gross Shorts: 177,555 856,143 161,193
– Long to Short Ratio: 0.7 to 1 1.0 to 1 1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 75.6 29.6 68.5
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.9 -17.3 36.7

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -310,496 contracts in the data reported through Tuesday. This was a weekly fall of -18,776 contracts from the previous week which had a total of -291,720 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 58.5 percent. The commercials are Bullish with a score of 60.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.2 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 80.5 12.0
– Percent of Open Interest Shorts: 30.6 56.6 10.9
– Net Position: -310,496 296,670 13,826
– Gross Longs: 69,305 1,000,175 149,596
– Gross Shorts: 379,801 703,505 135,770
– 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): 58.5 60.1 38.2
– COT Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.5 -8.4 11.4

 


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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.