COT Bonds Speculators cut their bearish 5-Year Treasuries bets for 3rd week

January 29, 2022

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 January 25th 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 continued improvement in the 5-Year Bond speculator positions. Speculative positioning in the 5-Year has seen bearish bets sharply falling for the third consecutive week and by a total of 262,418 contracts over that time-frame. This improvement in the 5-Year brings the net speculator standing to the least bearish level in nineteen weeks, dating back to September 14th when the spec standing was -24,366 contracts.

Joining the 5-Year (76,717 contracts) in gaining this week were the 2-Year Bond (-6,759 contracts), 10-Year (6,786 contracts), Ultra 10-Year (18,302 contracts) and the Fed Funds (61,711 contracts) while decreasing bets for the week were seen in Ultra US Bond (-4,895 contracts), Long US Bond (-16,599 contracts) and the Eurodollar (-294,011 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Jan-25-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,211,597 49 -2,121,304 0 2,542,838 100 -421,534 14
FedFunds 1,790,901 58 49,437 46 -26,161 57 -23,276 4
2-Year 2,112,007 13 31,877 89 32,983 27 -64,860 4
Long T-Bond 1,193,450 48 -64,095 70 74,281 44 -10,186 45
10-Year 3,750,564 47 -264,656 31 500,631 85 -235,975 24
5-Year 3,979,852 46 -140,457 57 401,407 66 -260,950 9

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -2,121,304 contracts in the data reported through Tuesday. This was a weekly decrease of -294,011 contracts from the previous week which had a total of -1,827,293 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 0.0 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 14.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.7 74.7 3.9
– Percent of Open Interest Shorts: 25.7 52.1 7.7
– Net Position: -2,121,304 2,542,838 -421,534
– Gross Longs: 756,358 8,378,627 438,371
– Gross Shorts: 2,877,662 5,835,789 859,905
– Long to Short Ratio: 0.3 to 1 1.4 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 14.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.6 7.5 6.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of 49,437 contracts in the data reported through Tuesday. This was a weekly increase of 61,711 contracts from the previous week which had a total of -12,274 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 45.7 percent. The commercials are Bullish with a score of 56.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 4.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.1 72.4 1.3
– Percent of Open Interest Shorts: 4.4 73.8 2.6
– Net Position: 49,437 -26,161 -23,276
– Gross Longs: 127,925 1,296,350 23,599
– Gross Shorts: 78,488 1,322,511 46,875
– Long to Short Ratio: 1.6 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.7 56.7 4.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.1 -15.6 -25.6

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of 31,877 contracts in the data reported through Tuesday. This was a weekly reduction of -6,759 contracts from the previous week which had a total of 38,636 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 88.7 percent. The commercials are Bearish with a score of 27.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.5 71.2 6.2
– Percent of Open Interest Shorts: 17.0 69.6 9.3
– Net Position: 31,877 32,983 -64,860
– Gross Longs: 391,570 1,503,920 130,535
– Gross Shorts: 359,693 1,470,937 195,395
– 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): 88.7 27.0 3.5
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.7 1.4 3.5

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -140,457 contracts in the data reported through Tuesday. This was a weekly boost of 76,717 contracts from the previous week which had a total of -217,174 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 66.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.4 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.8 79.5 6.6
– Percent of Open Interest Shorts: 14.3 69.4 13.1
– Net Position: -140,457 401,407 -260,950
– Gross Longs: 429,836 3,162,224 262,210
– Gross Shorts: 570,293 2,760,817 523,160
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 57.0 66.3 9.4
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 36.4 -21.5 -9.2

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -264,656 contracts in the data reported through Tuesday. This was a weekly gain of 6,786 contracts from the previous week which had a total of -271,442 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 31.3 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bearish with a score of 23.7 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.8 77.8 8.3
– Percent of Open Interest Shorts: 17.9 64.4 14.6
– Net Position: -264,656 500,631 -235,975
– Gross Longs: 406,213 2,917,637 312,418
– Gross Shorts: 670,869 2,417,006 548,393
– 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): 31.3 84.5 23.7
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.4 -3.9 5.2

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of 94,332 contracts in the data reported through Tuesday. This was a weekly rise of 18,302 contracts from the previous week which had a total of 76,030 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 52.7 percent. The commercials are Bullish with a score of 67.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.2 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.4 71.3 7.9
– Percent of Open Interest Shorts: 12.6 65.3 20.8
– Net Position: 94,332 82,395 -176,727
– Gross Longs: 266,673 977,595 107,990
– Gross Shorts: 172,341 895,200 284,717
– Long to Short Ratio: 1.5 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 52.7 67.4 9.2
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.6 3.1 1.5

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -64,095 contracts in the data reported through Tuesday. This was a weekly fall of -16,599 contracts from the previous week which had a total of -47,496 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 70.4 percent. The commercials are Bearish with a score of 43.8 percent and the small traders (not shown in chart) are Bearish with a score of 44.5 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.8 75.2 14.3
– Percent of Open Interest Shorts: 14.2 69.0 15.1
– Net Position: -64,095 74,281 -10,186
– Gross Longs: 104,960 897,501 170,480
– Gross Shorts: 169,055 823,220 180,666
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 70.4 43.8 44.5
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.6 25.2 -41.5

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -343,245 contracts in the data reported through Tuesday. This was a weekly lowering of -4,895 contracts from the previous week which had a total of -338,350 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 45.2 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bullish with a score of 50.5 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 82.4 11.6
– Percent of Open Interest Shorts: 32.1 58.1 9.2
– Net Position: -343,245 312,275 30,970
– Gross Longs: 69,036 1,059,367 149,528
– Gross Shorts: 412,281 747,092 118,558
– 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): 45.2 67.8 50.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -20.7 25.8 -1.3

 


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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.