COT Bonds Speculators raised their 10-Year Treasuries bearish bets to 6-week high

February 26, 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 22nd 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 was the large increase in bearish bets for the 10-Year Bonds. The speculative bearish position in the 10-Year jumped this week by -111,029 contracts and marked the largest one-week rise in bearish positions since November 2nd, a span of sixteen weeks. This decline in sentiment has pushed the overall 10-Year spec positioning to the most bearish level of the past six weeks. Most of the bonds markets we cover saw an increase in their bearish bets this week as the Federal Reserve central bank is widely expected to raise their benchmark interest rate in March.

Joining the 10-Year (-111,029 contracts) with speculator weakness this week were the Eurodollar (-89,630 contracts), 2-Year Bond (-4,201 contracts),  Fed Funds (-49,473 contracts), 5-Year Bond (-155,821 contracts) and the Ultra US Bond (-4,242 contracts). The Ultra 10-Year (9,672 contracts) and Long US Bond (10,107 contracts) saw small improvement in their speculator contracts this week.


Data Snapshot of Bond Market Traders | Columns Legend
Feb-22-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 11,350,313 52 -2,382,867 0 2,830,166 100 -447,299 6
FedFunds 2,062,168 76 -26,952 36 41,655 65 -14,703 25
2-Year 2,163,983 15 -119,959 58 218,056 68 -98,097 1
Long T-Bond 1,223,515 53 -14,738 88 43,269 34 -28,531 30
10-Year 4,083,463 70 -285,092 28 543,178 90 -258,086 19
5-Year 4,295,789 63 -347,236 19 483,375 77 -136,139 44

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -2,382,867 contracts in the data reported through Tuesday. This was a weekly lowering of -89,630 contracts from the previous week which had a total of -2,293,237 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 6.0 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.7 74.1 4.6
– Percent of Open Interest Shorts: 25.7 49.1 8.5
– Net Position: -2,382,867 2,830,166 -447,299
– Gross Longs: 536,990 8,405,647 522,154
– Gross Shorts: 2,919,857 5,575,481 969,453
– Long to Short Ratio: 0.2 to 1 1.5 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 6.0
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.2 12.9 -13.5

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -26,952 contracts in the data reported through Tuesday. This was a weekly decline of -49,473 contracts from the previous week which had a total of 22,521 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 36.3 percent. The commercials are Bullish with a score of 64.9 percent and the small traders (not shown in chart) are Bearish with a score of 25.2 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.8 75.1 2.5
– Percent of Open Interest Shorts: 9.1 73.1 3.2
– Net Position: -26,952 41,655 -14,703
– Gross Longs: 161,357 1,549,551 50,750
– Gross Shorts: 188,309 1,507,896 65,453
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 36.3 64.9 25.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 5.0 -3.4 -29.9

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -119,959 contracts in the data reported through Tuesday. This was a weekly reduction of -4,201 contracts from the previous week which had a total of -115,758 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 58.0 percent. The commercials are Bullish with a score of 67.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.1 76.5 7.0
– Percent of Open Interest Shorts: 17.6 66.4 11.5
– Net Position: -119,959 218,056 -98,097
– Gross Longs: 261,710 1,655,912 150,668
– Gross Shorts: 381,669 1,437,856 248,765
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 58.0 67.5 1.5
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -34.7 44.2 -13.4

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -347,236 contracts in the data reported through Tuesday. This was a weekly decrease of -155,821 contracts from the previous week which had a total of -191,415 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 19.3 percent. The commercials are Bullish with a score of 76.9 percent and the small traders (not shown in chart) are Bearish with a score of 43.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.3 78.2 9.5
– Percent of Open Interest Shorts: 15.4 67.0 12.7
– Net Position: -347,236 483,375 -136,139
– Gross Longs: 314,612 3,360,252 409,662
– Gross Shorts: 661,848 2,876,877 545,801
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 19.3 76.9 43.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.7 -10.0 34.1

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -285,092 contracts in the data reported through Tuesday. This was a weekly decrease of -111,029 contracts from the previous week which had a total of -174,063 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 89.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 74.3 9.4
– Percent of Open Interest Shorts: 17.6 61.0 15.8
– Net Position: -285,092 543,178 -258,086
– Gross Longs: 432,764 3,034,786 385,175
– Gross Shorts: 717,856 2,491,608 643,261
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 28.1 89.8 18.6
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.1 -7.3 0.2

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of 23,543 contracts in the data reported through Tuesday. This was a weekly boost of 9,672 contracts from the previous week which had a total of 13,871 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 34.0 percent. The commercials are Bullish with a score of 75.9 percent and the small traders (not shown in chart) are Bearish with a score of 33.3 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.5 71.3 9.6
– Percent of Open Interest Shorts: 13.9 63.6 18.9
– Net Position: 23,543 112,921 -136,464
– Gross Longs: 226,775 1,045,206 140,723
– Gross Shorts: 203,232 932,285 277,187
– Long to Short Ratio: 1.1 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 34.0 75.9 33.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -18.7 5.8 29.9

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -14,738 contracts in the data reported through Tuesday. This was a weekly lift of 10,107 contracts from the previous week which had a total of -24,845 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 88.1 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bearish with a score of 29.9 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 72.9 14.2
– Percent of Open Interest Shorts: 11.9 69.4 16.6
– Net Position: -14,738 43,269 -28,531
– Gross Longs: 130,266 891,876 174,017
– Gross Shorts: 145,004 848,607 202,548
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 88.1 33.9 29.9
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 18.1 -8.4 -19.0

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -334,381 contracts in the data reported through Tuesday. This was a weekly lowering of -4,242 contracts from the previous week which had a total of -330,139 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 48.8 percent. The commercials are Bullish with a score of 60.7 percent and the small traders (not shown in chart) are Bullish with a score of 54.6 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.0 79.7 11.9
– Percent of Open Interest Shorts: 30.8 57.6 9.2
– Net Position: -334,381 297,783 36,598
– Gross Longs: 80,638 1,072,855 159,934
– Gross Shorts: 415,019 775,072 123,336
– 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): 48.8 60.7 54.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -10.1 1.4 15.8

 


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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.