22 Jan
trading

COT Bonds Speculators sharply reduce 5-Year Treasury bearish bets for 2nd week

January 22, 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 18th 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 retreat in the 5-Year Bond bearish bets over the past couple of weeks. Speculators have reduced their bearish bets for the 5-Year Bond sharply for two straight weeks and by a total of 185,701 contracts over that two-week time-frame. This has brought the total net speculator standing from -402,875 contracts on January 4th to -217,174 contracts on January 18th. The drop in bearish bets brings the overall speculator standing to the least bearish level since September 21st when positions totaled -147,423 contracts. Speculative positions have been trending more and more bearish since early September as sentiment for bonds in general has eroded.

Joining the 5-Year (82,483 contracts) in gaining this week were the 10-Year (72,397 contracts), Long US Bond (17,542 contracts) and the FedFunds (55,280 contracts) while decreasing bets for the week were seen in Eurodollar (-46,964 contracts), 2-Year Bond (-13,181 contracts), Ultra 10-Year (-18,214 contracts) and the Ultra US Bond (-28,819 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Jan-18-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar11,026,17345-1,827,29302,222,703100-395,41020
FedFunds1,708,63552-12,2743834,66064-22,3866
2-Year2,107,8491338,6369026,78826-65,4243
Long T-Bond1,219,35652-47,4967660,03739-12,54143
10-Year3,890,03757-271,44230538,66489-267,22216
5-Year3,826,11538-217,17443479,18876-262,0149

 

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3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -1,827,293 contracts in the data reported through Tuesday. This was a weekly decline of -46,964 contracts from the previous week which had a total of -1,780,329 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 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 19.8 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.072.14.0
– Percent of Open Interest Shorts:23.651.97.6
– Net Position:-1,827,2932,222,703-395,410
– Gross Longs:773,6907,949,491440,653
– Gross Shorts:2,600,9835,726,788836,063
– Long to Short Ratio:0.3 to 11.4 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.019.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.48.216.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -12,274 contracts in the data reported through Tuesday. This was a weekly boost of 55,280 contracts from the previous week which had a total of -67,554 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 38.1 percent. The commercials are Bullish with a score of 64.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.4 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.776.11.4
– Percent of Open Interest Shorts:6.474.12.7
– Net Position:-12,27434,660-22,386
– Gross Longs:97,7551,300,61224,099
– Gross Shorts:110,0291,265,95246,485
– Long to Short Ratio:0.9 to 11.0 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.164.16.4
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-10.3-39.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of 38,636 contracts in the data reported through Tuesday. This was a weekly lowering of -13,181 contracts from the previous week which had a total of 51,817 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 90.1 percent. The commercials are Bearish with a score of 25.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.171.55.9
– Percent of Open Interest Shorts:17.370.29.0
– Net Position:38,63626,788-65,424
– Gross Longs:402,6021,506,177123,871
– Gross Shorts:363,9661,479,389189,295
– Long to Short Ratio:1.1 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.125.73.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.21.1-5.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -217,174 contracts in the data reported through Tuesday. This was a weekly advance of 82,483 contracts from the previous week which had a total of -299,657 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 43.0 percent. The commercials are Bullish with a score of 76.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.1 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.281.26.8
– Percent of Open Interest Shorts:14.968.713.6
– Net Position:-217,174479,188-262,014
– Gross Longs:352,4443,107,310258,755
– Gross Shorts:569,6182,628,122520,769
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.076.49.1
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:31.1-19.1-6.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -271,442 contracts in the data reported through Tuesday. This was a weekly boost of 72,397 contracts from the previous week which had a total of -343,839 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 30.2 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 16.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.977.37.9
– Percent of Open Interest Shorts:18.863.514.8
– Net Position:-271,442538,664-267,222
– Gross Longs:461,2903,008,535307,390
– Gross Shorts:732,7322,469,871574,612
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.289.216.4
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.7-0.01.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of 76,030 contracts in the data reported through Tuesday. This was a weekly reduction of -18,214 contracts from the previous week which had a total of 94,244 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 47.8 percent. The commercials are Bullish with a score of 73.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.172.08.0
– Percent of Open Interest Shorts:13.664.521.0
– Net Position:76,030104,304-180,334
– Gross Longs:265,7901,003,270111,865
– Gross Shorts:189,760898,966292,199
– Long to Short Ratio:1.4 to 11.1 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.873.57.0
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.914.0-7.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -47,496 contracts in the data reported through Tuesday. This was a weekly boost of 17,542 contracts from the previous week which had a total of -65,038 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 76.4 percent. The commercials are Bearish with a score of 39.3 percent and the small traders (not shown in chart) are Bearish with a score of 42.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.073.113.9
– Percent of Open Interest Shorts:14.968.214.9
– Net Position:-47,49660,037-12,541
– Gross Longs:133,654891,364169,177
– Gross Shorts:181,150831,327181,718
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.439.342.6
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.411.2-27.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -338,350 contracts in the data reported through Tuesday. This was a weekly decline of -28,819 contracts from the previous week which had a total of -309,531 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 47.2 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.281.412.3
– Percent of Open Interest Shorts:31.757.79.5
– Net Position:-338,350302,04236,308
– Gross Longs:66,2401,037,064157,285
– Gross Shorts:404,590735,022120,977
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.262.854.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.613.714.4

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.


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