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-18-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,026,173 45 -1,827,293 0 2,222,703 100 -395,410 20
FedFunds 1,708,635 52 -12,274 38 34,660 64 -22,386 6
2-Year 2,107,849 13 38,636 90 26,788 26 -65,424 3
Long T-Bond 1,219,356 52 -47,496 76 60,037 39 -12,541 43
10-Year 3,890,037 57 -271,442 30 538,664 89 -267,222 16
5-Year 3,826,115 38 -217,174 43 479,188 76 -262,014 9

 


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.


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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 19.8 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.0 72.1 4.0
– Percent of Open Interest Shorts: 23.6 51.9 7.6
– Net Position: -1,827,293 2,222,703 -395,410
– Gross Longs: 773,690 7,949,491 440,653
– Gross Shorts: 2,600,983 5,726,788 836,063
– 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 19.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -10.4 8.2 16.9

 


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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.7 76.1 1.4
– Percent of Open Interest Shorts: 6.4 74.1 2.7
– Net Position: -12,274 34,660 -22,386
– Gross Longs: 97,755 1,300,612 24,099
– Gross Shorts: 110,029 1,265,952 46,485
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 38.1 64.1 6.4
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.1 71.5 5.9
– Percent of Open Interest Shorts: 17.3 70.2 9.0
– Net Position: 38,636 26,788 -65,424
– Gross Longs: 402,602 1,506,177 123,871
– Gross Shorts: 363,966 1,479,389 189,295
– 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): 90.1 25.7 3.3
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.2 1.1 -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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.2 81.2 6.8
– Percent of Open Interest Shorts: 14.9 68.7 13.6
– Net Position: -217,174 479,188 -262,014
– Gross Longs: 352,444 3,107,310 258,755
– Gross Shorts: 569,618 2,628,122 520,769
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 43.0 76.4 9.1
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.9 77.3 7.9
– Percent of Open Interest Shorts: 18.8 63.5 14.8
– Net Position: -271,442 538,664 -267,222
– Gross Longs: 461,290 3,008,535 307,390
– Gross Shorts: 732,732 2,469,871 574,612
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 30.2 89.2 16.4
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.7 -0.0 1.1

 


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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.1 72.0 8.0
– Percent of Open Interest Shorts: 13.6 64.5 21.0
– Net Position: 76,030 104,304 -180,334
– Gross Longs: 265,790 1,003,270 111,865
– Gross Shorts: 189,760 898,966 292,199
– Long to Short Ratio: 1.4 to 1 1.1 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 47.8 73.5 7.0
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.9 14.0 -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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.0 73.1 13.9
– Percent of Open Interest Shorts: 14.9 68.2 14.9
– Net Position: -47,496 60,037 -12,541
– Gross Longs: 133,654 891,364 169,177
– Gross Shorts: 181,150 831,327 181,718
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 76.4 39.3 42.6
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.4 11.2 -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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.2 81.4 12.3
– Percent of Open Interest Shorts: 31.7 57.7 9.5
– Net Position: -338,350 302,042 36,308
– Gross Longs: 66,240 1,037,064 157,285
– Gross Shorts: 404,590 735,022 120,977
– 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): 47.2 62.8 54.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -19.6 13.7 14.4

 


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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.