COT Bonds Speculators drop 10-Year Treasury Note bets to 100-week low

January 15, 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 11th 2022 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 positioning in the 10-Year Bond futures market. The 10-Year saw the largest decline of speculator bets this week (-66,916 contracts) in all the markets we cover and the 10-Year futures have now had higher bearish bets in four out of the past five weeks. The speculator’s position is at the lowest level in 100 weeks, dating back to February 11th of 2020 and is now extremely bearish with a 19.1 percent strength score (current level compared to past three years of data, above 80% is bullish extreme, below 20% is bearish extreme) while the commercials are bullish extreme with a 97.1 percent score. The small traders are on the speculator’s side with a bearish extreme score of 18.4 percent. Only time will tell if this represents a turning point for 10-Year bonds but with all three trader groups in extreme positioning, it is definitely a market to watch.

The contracts with higher speculator bets this week were the 2-Year Bond (9,818 contracts), Eurodollar (28,727 contracts), FedFunds (17,737 contracts) and the 5-Year (103,218 contracts) while decreasing bets for the week were seen in 10-Year (-66,916 contracts), Ultra 10-Year (-2,361 contracts), Long US Bond (-15,488 contracts) and the Ultra US Bond (-19,930 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Jan-11-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,368,090 52 -1,780,329 1 2,166,311 99 -385,982 22
FedFunds 1,534,232 40 -67,554 31 70,020 68 -2,466 55
2-Year 2,017,016 9 51,817 93 16,145 23 -67,962 2
Long T-Bond 1,214,729 51 -65,038 70 69,672 42 -4,634 49
10-Year 3,809,163 51 -343,839 19 602,618 97 -258,779 18
5-Year 3,830,246 39 -299,657 28 560,198 87 -260,541 10

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,780,329 contracts in the data reported through Tuesday. This was a weekly increase of 28,727 contracts from the previous week which had a total of -1,809,056 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 1.1 percent. The commercials are Bullish-Extreme with a score of 99.2 percent and the small traders (not shown in chart) are Bearish with a score of 22.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.2 72.1 3.8
– Percent of Open Interest Shorts: 22.8 53.0 7.2
– Net Position: -1,780,329 2,166,311 -385,982
– Gross Longs: 815,291 8,192,154 427,028
– Gross Shorts: 2,595,620 6,025,843 813,010
– 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): 1.1 99.2 22.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -15.1 13.2 12.9

 


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 -67,554 contracts in the data reported through Tuesday. This was a weekly lift of 17,737 contracts from the previous week which had a total of -85,291 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 with a score of 68.4 percent and the small traders (not shown in chart) are Bullish with a score of 55.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.7 80.6 2.2
– Percent of Open Interest Shorts: 8.1 76.0 2.4
– Net Position: -67,554 70,020 -2,466
– Gross Longs: 57,362 1,236,319 33,966
– Gross Shorts: 124,916 1,166,299 36,432
– Long to Short Ratio: 0.5 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 31.3 68.4 55.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 3.8 -5.4 32.9

 


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 51,817 contracts in the data reported through Tuesday. This was a weekly rise of 9,818 contracts from the previous week which had a total of 41,999 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 92.7 percent. The commercials are Bearish with a score of 23.4 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: 19.7 69.9 6.2
– Percent of Open Interest Shorts: 17.1 69.1 9.6
– Net Position: 51,817 16,145 -67,962
– Gross Longs: 396,495 1,410,443 125,294
– Gross Shorts: 344,678 1,394,298 193,256
– 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): 92.7 23.4 2.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.3 -4.1 -8.8

 


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 -299,657 contracts in the data reported through Tuesday. This was a weekly gain of 103,218 contracts from the previous week which had a total of -402,875 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 27.9 percent. The commercials are Bullish-Extreme with a score of 86.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.5 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.2 81.7 6.7
– Percent of Open Interest Shorts: 16.0 67.1 13.5
– Net Position: -299,657 560,198 -260,541
– Gross Longs: 314,572 3,129,134 254,922
– Gross Shorts: 614,229 2,568,936 515,463
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 27.9 86.9 9.5
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.4 -7.0 -3.8

 


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 -343,839 contracts in the data reported through Tuesday. This was a weekly decline of -66,916 contracts from the previous week which had a total of -276,923 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 19.1 percent. The commercials are Bullish-Extreme with a score of 97.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.4 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.9 77.8 8.3
– Percent of Open Interest Shorts: 19.9 62.0 15.1
– Net Position: -343,839 602,618 -258,779
– Gross Longs: 413,462 2,964,259 315,565
– Gross Shorts: 757,301 2,361,641 574,344
– 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): 19.1 97.1 18.4
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.7 4.3 -1.0

 


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 94,244 contracts in the data reported through Tuesday. This was a weekly lowering of -2,361 contracts from the previous week which had a total of 96,605 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 52.6 percent. The commercials are Bullish with a score of 70.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.4 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.0 72.1 7.3
– Percent of Open Interest Shorts: 12.2 65.5 20.8
– Net Position: 94,244 92,061 -186,305
– Gross Longs: 263,501 1,000,359 101,920
– Gross Shorts: 169,257 908,298 288,225
– Long to Short Ratio: 1.6 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 52.6 70.1 3.4
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.9 7.3 -6.7

 


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 -65,038 contracts in the data reported through Tuesday. This was a weekly lowering of -15,488 contracts from the previous week which had a total of -49,550 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 70.1 percent. The commercials are Bearish with a score of 42.3 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.2 71.9 13.9
– Percent of Open Interest Shorts: 17.5 66.2 14.3
– Net Position: -65,038 69,672 -4,634
– Gross Longs: 147,857 873,843 169,452
– Gross Shorts: 212,895 804,171 174,086
– Long to Short Ratio: 0.7 to 1 1.1 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 70.1 42.3 48.9
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.5 12.8 -19.6

 


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 -309,531 contracts in the data reported through Tuesday. This was a weekly decrease of -19,930 contracts from the previous week which had a total of -289,601 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 58.9 percent. The commercials are Bullish with a score of 59.3 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.1 81.1 11.9
– Percent of Open Interest Shorts: 31.0 57.4 10.8
– Net Position: -309,531 294,877 14,654
– Gross Longs: 76,368 1,009,930 148,602
– Gross Shorts: 385,899 715,053 133,948
– 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): 58.9 59.3 38.8
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.4 -0.9 0.6

 


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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.