Bonds Speculators take a pause on their 10-Year Treasury Notes bearish bets

March 27, 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 March 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 is the pullback in the 10-Year Bond bearish bets this week. The speculative position in the 10-Year Bond has risen for two straight weeks following three straight weeks of declines (or rising bearish bets). The last two week’s rise has shaved off over 113,886 contracts from the total bearish position and brings the current standing to the least bearish level of the past five weeks at a total of -263,834 contracts. The 10-Year has been under pressure like most all bond markets as the Federal Reserve has started raising interest rates with an outlook of more rate increases to come. The 10-Year yield (as bond prices fall, yields rise) has been sharping surging to the upside with the close this week right around the 2.50 percent level, marking its highest yield since May of 2019. The speculator’s 10-Year bond pullback this week will likely be short-lived and it will be interesting to see if this latest bout of inflation, growth and central bank rate rises will be enough to finally break the multi-decade bull market for bonds.

The bond markets with higher speculator bets were the 10-Year Bond (57,163 contracts), Fed Funds (91,899 contracts) and the 5-Year Bond (50,964 contracts).

The bond markets with lower speculator bets were the 2-Year Bond (-27,015 contracts), Eurodollar (-128,245 contracts), Ultra 10-Year (-21,571 contracts), Long US Bond (-11,687 contracts) and the Ultra US Bond (-32,279 contracts).


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Data Snapshot of Bond Market Traders | Columns Legend
Mar-22-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,832,338 41 -2,656,722 0 3,074,395 100 -417,673 13
FedFunds 2,132,176 81 -13,382 38 29,682 63 -16,300 18
2-Year 2,297,315 20 -47,448 73 126,538 48 -79,090 10
Long T-Bond 1,128,229 36 32,551 95 -5,394 18 -27,157 31
10-Year 3,807,553 51 -263,834 31 464,339 80 -200,505 32
5-Year 3,774,450 36 -296,338 31 544,383 80 -248,045 13

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -2,656,722 contracts in the data reported through Tuesday. This was a weekly lowering of -128,245 contracts from the previous week which had a total of -2,528,477 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 12.5 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.2 75.7 3.6
– Percent of Open Interest Shorts: 28.7 47.4 7.4
– Net Position: -2,656,722 3,074,395 -417,673
– Gross Longs: 451,791 8,204,977 389,102
– Gross Shorts: 3,108,513 5,130,582 806,775
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 12.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -11.9 11.0 5.8

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -13,382 contracts in the data reported through Tuesday. This was a weekly advance of 91,899 contracts from the previous week which had a total of -105,281 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 38.0 percent. The commercials are Bullish with a score of 63.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.3 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.1 77.0 1.8
– Percent of Open Interest Shorts: 7.7 75.6 2.6
– Net Position: -13,382 29,682 -16,300
– Gross Longs: 150,828 1,640,744 38,998
– Gross Shorts: 164,210 1,611,062 55,298
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 38.0 63.5 18.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.2 5.6 -10.5

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -47,448 contracts in the data reported through Tuesday. This was a weekly fall of -27,015 contracts from the previous week which had a total of -20,433 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 72.7 percent. The commercials are Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.9 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 15.9 73.9 6.1
– Percent of Open Interest Shorts: 18.0 68.4 9.6
– Net Position: -47,448 126,538 -79,090
– Gross Longs: 365,795 1,697,892 140,374
– Gross Shorts: 413,243 1,571,354 219,464
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 72.7 47.5 9.9
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.3 5.2 5.5

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -296,338 contracts in the data reported through Tuesday. This was a weekly lift of 50,964 contracts from the previous week which had a total of -347,302 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 31.2 percent. The commercials are Bullish with a score of 79.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.9 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.1 81.6 7.1
– Percent of Open Interest Shorts: 16.9 67.2 13.7
– Net Position: -296,338 544,383 -248,045
– Gross Longs: 342,471 3,081,019 268,697
– Gross Shorts: 638,809 2,536,636 516,742
– 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): 31.2 79.7 12.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -28.8 21.1 -2.5

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -263,834 contracts in the data reported through Tuesday. This was a weekly advance of 57,163 contracts from the previous week which had a total of -320,997 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 31.4 percent. The commercials are Bullish-Extreme with a score of 80.0 percent and the small traders (not shown in chart) are Bearish with a score of 32.0 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.8 77.9 7.9
– Percent of Open Interest Shorts: 17.8 65.7 13.2
– Net Position: -263,834 464,339 -200,505
– Gross Longs: 412,030 2,966,196 302,390
– Gross Shorts: 675,864 2,501,857 502,895
– 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): 31.4 80.0 32.0
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.5 -2.3 18.6

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -91,321 contracts in the data reported through Tuesday. This was a weekly decrease of -21,571 contracts from the previous week which had a total of -69,750 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 3.6 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 41.2 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.7 80.5 9.3
– Percent of Open Interest Shorts: 16.7 63.9 18.8
– Net Position: -91,321 214,698 -123,377
– Gross Longs: 125,921 1,045,958 120,546
– Gross Shorts: 217,242 831,260 243,923
– Long to Short Ratio: 0.6 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 3.6 100.0 41.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -35.7 27.0 20.8

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of 32,551 contracts in the data reported through Tuesday. This was a weekly lowering of -11,687 contracts from the previous week which had a total of 44,238 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 95.2 percent. The commercials are Bearish-Extreme with a score of 18.4 percent and the small traders (not shown in chart) are Bearish with a score of 31.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.7 72.6 13.8
– Percent of Open Interest Shorts: 6.9 73.1 16.3
– Net Position: 32,551 -5,394 -27,157
– Gross Longs: 109,965 819,658 156,236
– Gross Shorts: 77,414 825,052 183,393
– Long to Short Ratio: 1.4 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 95.2 18.4 31.0
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 21.3 -18.7 -5.4

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -298,523 contracts in the data reported through Tuesday. This was a weekly fall of -32,279 contracts from the previous week which had a total of -266,244 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 Bullish with a score of 63.4 percent. The commercials are Bearish with a score of 40.0 percent and the small traders (not shown in chart) are Bullish with a score of 59.1 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 81.2 12.6
– Percent of Open Interest Shorts: 29.2 61.0 9.2
– Net Position: -298,523 255,630 42,893
– Gross Longs: 70,425 1,026,988 158,649
– Gross Shorts: 368,948 771,358 115,756
– Long to Short Ratio: 0.2 to 1 1.3 to 1 1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 63.4 40.0 59.1
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.1 -14.1 8.3

 


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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.