COT Bonds Speculators push 10-Year Treasury bets higher after 97-week low

January 3, 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 release was delayed by the CFTC due to the New Year’s holiday.

The latest COT data is updated through Tuesday December 28th 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 jump in bets for the 10-Year Bond. Speculators sharply boosted their 10-Year bets by the largest one-week amount (+125,989) of the past fifteen weeks on December 28th. This rebound strongly trimmed the overall bearish level after it had hit a 97-week bearish high on December 21st at -339,299 contracts. The 10-Year speculator standing has been in bearish territory now for eleven consecutive weeks, dating back to October 19th.

Joining the 10-Year (125,989 contracts) with gains on the week were the 2-Year Bond (8,471 contracts), Ultra 10-Year (2,904 contracts), Long US Bond (16,129 contracts) and the 5-Year (47,689 contracts) while decreasing bets for the week were seen in the Eurodollar (-13,028 contracts), FedFunds (-3,900 contracts) and the Ultra US Bond (-3,156 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Dec-28-2021 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,150,593 48 -1,827,848 0 2,203,302 100 -375,454 31
FedFunds 1,366,900 28 -93,329 28 107,478 73 -14,149 27
2-Year 1,966,290 7 87,804 100 -25,765 14 -62,039 5
Long T-Bond 1,208,000 50 -19,955 86 -10,654 17 30,609 77
10-Year 3,846,382 54 -213,310 39 458,479 79 -245,169 22
5-Year 3,741,327 34 -298,687 28 543,542 87 -244,855 14

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -1,827,848 contracts in the data reported through Tuesday. This was a weekly lowering of -13,028 contracts from the previous week which had a total of -1,814,820 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 with a score of 31.1 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.7 71.9 3.9
– Percent of Open Interest Shorts: 24.1 52.1 7.3
– Net Position: -1,827,848 2,203,302 -375,454
– Gross Longs: 854,963 8,015,395 436,619
– Gross Shorts: 2,682,811 5,812,093 812,073
– 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 31.1
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.2 16.1 -3.4

 


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 -93,329 contracts in the data reported through Tuesday. This was a weekly decline of -3,900 contracts from the previous week which had a total of -89,429 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 28.1 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bearish with a score of 26.6 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.0 83.0 1.7
– Percent of Open Interest Shorts: 9.8 75.2 2.8
– Net Position: -93,329 107,478 -14,149
– Gross Longs: 41,057 1,135,007 23,529
– Gross Shorts: 134,386 1,027,529 37,678
– 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): 28.1 72.9 26.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.5 4.0 -11.1

 


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 87,804 contracts in the data reported through Tuesday. This was a weekly rise of 8,471 contracts from the previous week which had a total of 79,333 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 100.0 percent. The commercials are Bearish-Extreme with a score of 14.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.5 67.0 6.3
– Percent of Open Interest Shorts: 17.1 68.3 9.4
– Net Position: 87,804 -25,765 -62,039
– Gross Longs: 423,530 1,316,762 122,956
– Gross Shorts: 335,726 1,342,527 184,995
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 100.0 14.2 5.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 18.8 -19.5 -2.0

 


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 -298,687 contracts in the data reported through Tuesday. This was a weekly boost of 47,689 contracts from the previous week which had a total of -346,376 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 28.1 percent. The commercials are Bullish-Extreme with a score of 87.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 80.3 6.9
– Percent of Open Interest Shorts: 17.6 65.8 13.5
– Net Position: -298,687 543,542 -244,855
– Gross Longs: 358,105 3,006,091 259,112
– Gross Shorts: 656,792 2,462,549 503,967
– 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): 28.1 87.4 13.8
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.4 -5.1 -2.0

 


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 -213,310 contracts in the data reported through Tuesday. This was a weekly boost of 125,989 contracts from the previous week which had a total of -339,299 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 39.2 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bearish with a score of 21.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.2 75.8 7.6
– Percent of Open Interest Shorts: 19.7 63.8 14.0
– Net Position: -213,310 458,479 -245,169
– Gross Longs: 545,337 2,913,736 291,916
– Gross Shorts: 758,647 2,455,257 537,085
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 39.2 79.3 21.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.5 -17.3 13.8

 


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 113,816 contracts in the data reported through Tuesday. This was a weekly lift of 2,904 contracts from the previous week which had a total of 110,912 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 57.8 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bearish with a score of 24.8 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.1 70.2 8.7
– Percent of Open Interest Shorts: 11.7 67.5 19.7
– Net Position: 113,816 36,873 -150,689
– Gross Longs: 274,231 959,273 119,235
– Gross Shorts: 160,415 922,400 269,924
– 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): 57.8 54.6 24.8
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.8 9.4 9.1

 


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 -19,955 contracts in the data reported through Tuesday. This was a weekly gain of 16,129 contracts from the previous week which had a total of -36,084 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 86.3 percent. The commercials are Bearish-Extreme with a score of 16.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.9 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.9 70.4 15.3
– Percent of Open Interest Shorts: 14.5 71.3 12.8
– Net Position: -19,955 -10,654 30,609
– Gross Longs: 155,753 850,571 185,407
– Gross Shorts: 175,708 861,225 154,798
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 86.3 16.7 76.9
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.3 -6.0 17.9

 


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 -300,717 contracts in the data reported through Tuesday. This was a weekly decrease of -3,156 contracts from the previous week which had a total of -297,561 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 62.5 percent. The commercials are Bearish with a score of 44.3 percent and the small traders (not shown in chart) are Bullish with a score of 54.3 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: 30.7 58.9 9.9
– Net Position: -300,717 264,412 36,305
– Gross Longs: 82,877 999,528 159,612
– Gross Shorts: 383,594 735,116 123,307
– 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): 62.5 44.3 54.3
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.8 -11.6 18.3

 


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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.