COT Bonds Speculators raise their 2-Year Treasury bullish bets

February 5, 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 February 1st 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 rise in the 2-Year Bond futures bets. Speculative positions rose this week following two weekly decreases and this week’s gain brings the current standing to the highest level in the past four weeks. Overall, the 2-Year bond speculator bets have now been in bullish territory for ten consecutive weeks which marks the longest streak since the fall of 2016 when bullish bets also ran off a ten-week streak. The bullishness has pushed the 2-Year into an extreme bullish speculator strength reading of 91.9 percent (current speculator standing compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme). Despite the speculator sentiment, the 2-Year price has been falling sharply (in tandem with other US bonds) as the US Federal Reserve is getting ready to raise their benchmark interest rate, most likely in the March Fed meeting.

Joining the 2-Year Bond (15,597 contracts) in gaining this week are Eurodollar (11,828 contracts), Long US Bond (27,547 contracts), 5-Year (19,933 contracts), Ultra US Bond (9,652 contracts) while decreasing bets for the week were seen in 10-Year (-10,219 contracts), Ultra 10-Year (-16,826 contracts) and the Fed Funds (-16,837 contracts).


Data Snapshot of Bond Market Traders | Columns Legend
Feb-01-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,123,574 47 -2,109,476 0 2,550,374 100 -440,898 7
FedFunds 1,705,691 52 32,600 44 -9,177 59 -23,423 4
2-Year 2,270,248 19 47,474 92 53,949 32 -101,423 0
Long T-Bond 1,195,554 48 -36,548 80 57,497 38 -20,949 36
10-Year 3,932,501 60 -274,875 30 563,801 92 -288,926 11
5-Year 4,019,069 49 -120,524 61 406,878 67 -286,354 2

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,109,476 contracts in the data reported through Tuesday. This was a weekly boost of 11,828 contracts from the previous week which had a total of -2,121,304 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 0.3 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 7.4 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.0 75.1 4.1
– Percent of Open Interest Shorts: 24.9 52.2 8.0
– Net Position: -2,109,476 2,550,374 -440,898
– Gross Longs: 665,466 8,353,027 453,692
– Gross Shorts: 2,774,942 5,802,653 894,590
– Long to Short Ratio: 0.2 to 1 1.4 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.3 100.0 7.4
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.3 7.9 -20.1

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 32,600 contracts in the data reported through Tuesday. This was a weekly lowering of -16,837 contracts from the previous week which had a total of 49,437 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 43.6 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.9 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 73.5 1.0
– Percent of Open Interest Shorts: 7.6 74.0 2.4
– Net Position: 32,600 -9,177 -23,423
– Gross Longs: 161,828 1,253,476 17,450
– Gross Shorts: 129,228 1,262,653 40,873
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 43.6 58.8 3.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 15.1 -14.1 -15.3

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of 47,474 contracts in the data reported through Tuesday. This was a weekly lift of 15,597 contracts from the previous week which had a total of 31,877 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 91.9 percent. The commercials are Bearish with a score of 31.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.2 68.5 5.3
– Percent of Open Interest Shorts: 19.2 66.1 9.8
– Net Position: 47,474 53,949 -101,423
– Gross Longs: 482,369 1,554,103 121,006
– Gross Shorts: 434,895 1,500,154 222,429
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 91.9 31.6 0.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.4 14.1 -14.4

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -120,524 contracts in the data reported through Tuesday. This was a weekly increase of 19,933 contracts from the previous week which had a total of -140,457 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 60.6 percent. The commercials are Bullish with a score of 67.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.5 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.8 78.8 6.3
– Percent of Open Interest Shorts: 14.8 68.7 13.4
– Net Position: -120,524 406,878 -286,354
– Gross Longs: 474,899 3,168,640 252,758
– Gross Shorts: 595,423 2,761,762 539,112
– 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): 60.6 67.0 2.5
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 41.2 -24.4 -10.3

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -274,875 contracts in the data reported through Tuesday. This was a weekly decline of -10,219 contracts from the previous week which had a total of -264,656 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 29.7 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.4 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.5 77.1 7.5
– Percent of Open Interest Shorts: 18.5 62.8 14.9
– Net Position: -274,875 563,801 -288,926
– Gross Longs: 450,760 3,033,059 296,745
– Gross Shorts: 725,635 2,469,258 585,671
– 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): 29.7 92.3 11.4
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.9 -1.1 -12.9

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of 77,506 contracts in the data reported through Tuesday. This was a weekly lowering of -16,826 contracts from the previous week which had a total of 94,332 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 48.2 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.5 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.3 71.3 8.0
– Percent of Open Interest Shorts: 13.7 64.2 20.6
– Net Position: 77,506 97,031 -174,537
– Gross Longs: 265,490 980,592 109,597
– Gross Shorts: 187,984 883,561 284,134
– 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): 48.2 71.5 10.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.8 15.5 -13.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -36,548 contracts in the data reported through Tuesday. This was a weekly boost of 27,547 contracts from the previous week which had a total of -64,095 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 80.3 percent. The commercials are Bearish with a score of 38.4 percent and the small traders (not shown in chart) are Bearish with a score of 36.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.7 74.5 13.9
– Percent of Open Interest Shorts: 12.8 69.7 15.7
– Net Position: -36,548 57,497 -20,949
– Gross Longs: 116,194 890,253 166,280
– Gross Shorts: 152,742 832,756 187,229
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 80.3 38.4 36.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.2 14.5 -35.7

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -333,593 contracts in the data reported through Tuesday. This was a weekly increase of 9,652 contracts from the previous week which had a total of -343,245 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 49.1 percent. The commercials are Bullish with a score of 66.0 percent and the small traders (not shown in chart) are Bearish with a score of 46.2 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 81.8 11.8
– Percent of Open Interest Shorts: 31.5 57.8 9.9
– Net Position: -333,593 308,562 25,031
– Gross Longs: 71,243 1,051,201 152,226
– Gross Shorts: 404,836 742,639 127,195
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 49.1 66.0 46.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -14.7 21.4 -5.4

 


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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.