05 Mar

COT Bonds Speculators drop their 5-Year US Treasuries bets to 172-week low

March 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 March 1st 2022 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 surge higher in the bearish bets of the 5-Year Bond futures. The speculative bearish position in the 5-Year has increased for four straight weeks and has seen bearish bets change by at least -125,000 contracts in each of the past two weeks. The cumulative decline over the past four weeks has now amounted to a total of -353,515 contracts. This bearishness has pushed the current speculator standing to the most negative level in the past one hundred and seventy-two weeks, dating back to November of 2018. The speculator strength index score also hit a zero percent score this week, reiterating the weakness of the 5-Year speculator sentiment (the speculator strength index is the current speculator standing compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme). Despite the speculator weakness, the 5-Year Bond price this week rose as safe havens were bid with the Russian invasion of Ukraine and the risk-off tone of the markets.

The bond markets with higher speculator positions this week were the 2-Year Bond (9,132 contracts), Eurodollar (163,136 contracts) and the Long US Treasury Bond (10,209 contracts) while the bond markets with lower speculator positions were the 5-Year Bond (-126,803 contracts), 10-Year Bond (-80,691 contracts), Ultra 10-Year (-17,360 contracts), Fed Funds (-112,320 contracts) and the Ultra US Bond (-880 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Mar-01-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar11,107,90847-2,219,73132,611,33796-391,60618
FedFunds1,860,80663-139,27222159,33279-20,06012
2-Year2,047,62611-110,82760180,39159-69,56414
Long T-Bond1,113,86734-4,5299228,81929-24,29033
10-Year3,772,05849-365,78316585,75495-219,97127
5-Year3,807,23237-474,0390706,436100-232,39717

 

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3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,219,731 contracts in the data reported through Tuesday. This was a weekly increase of 163,136 contracts from the previous week which had a total of -2,382,867 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 3.3 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.374.83.7
– Percent of Open Interest Shorts:25.351.37.2
– Net Position:-2,219,7312,611,337-391,606
– Gross Longs:591,4208,313,755411,021
– Gross Shorts:2,811,1515,702,418802,627
– Long to Short Ratio:0.2 to 11.5 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.395.718.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.07.60.8

 

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 -139,272 contracts in the data reported through Tuesday. This was a weekly lowering of -112,320 contracts from the previous week which had a total of -26,952 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 22.4 percent. The commercials are Bullish with a score of 79.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.378.71.4
– Percent of Open Interest Shorts:9.870.22.5
– Net Position:-139,272159,332-20,060
– Gross Longs:43,1491,464,99226,323
– Gross Shorts:182,4211,305,66046,383
– Long to Short Ratio:0.2 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.479.212.1
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.715.15.7

 

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 -110,827 contracts in the data reported through Tuesday. This was a weekly advance of 9,132 contracts from the previous week which had a total of -119,959 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 59.9 percent. The commercials are Bullish with a score of 59.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.778.47.6
– Percent of Open Interest Shorts:17.169.611.0
– Net Position:-110,827180,391-69,564
– Gross Longs:240,0271,605,575155,387
– Gross Shorts:350,8541,425,184224,951
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.959.314.2
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.233.6-1.8

 

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 -474,039 contracts in the data reported through Tuesday. This was a weekly reduction of -126,803 contracts from the previous week which had a total of -347,236 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 17.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.283.17.0
– Percent of Open Interest Shorts:19.764.513.1
– Net Position:-474,039706,436-232,397
– Gross Longs:275,6113,163,442267,288
– Gross Shorts:749,6502,457,006499,685
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.017.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-45.127.88.1

 

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 -365,783 contracts in the data reported through Tuesday. This was a weekly decrease of -80,691 contracts from the previous week which had a total of -285,092 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 15.7 percent. The commercials are Bullish-Extreme with a score of 95.0 percent and the small traders (not shown in chart) are Bearish with a score of 27.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.577.58.5
– Percent of Open Interest Shorts:20.262.014.3
– Net Position:-365,783585,754-219,971
– Gross Longs:397,0912,925,060319,742
– Gross Shorts:762,8742,339,306539,713
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.795.027.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.55.811.0

 

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 6,183 contracts in the data reported through Tuesday. This was a weekly reduction of -17,360 contracts from the previous week which had a total of 23,543 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 29.4 percent. The commercials are Bullish with a score of 76.0 percent and the small traders (not shown in chart) are Bearish with a score of 43.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.974.39.3
– Percent of Open Interest Shorts:14.465.818.3
– Net Position:6,183113,368-119,551
– Gross Longs:199,058992,920124,560
– Gross Shorts:192,875879,552244,111
– Long to Short Ratio:1.0 to 11.1 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.476.043.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.42.536.5

 

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 -4,529 contracts in the data reported through Tuesday. This was a weekly lift of 10,209 contracts from the previous week which had a total of -14,738 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 91.8 percent. The commercials are Bearish with a score of 29.3 percent and the small traders (not shown in chart) are Bearish with a score of 33.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.972.813.8
– Percent of Open Interest Shorts:11.370.216.0
– Net Position:-4,52928,819-24,290
– Gross Longs:120,945810,886154,016
– Gross Shorts:125,474782,067178,306
– Long to Short Ratio:1.0 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):91.829.333.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.4-9.9-9.3

 

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 -335,261 contracts in the data reported through Tuesday. This was a weekly lowering of -880 contracts from the previous week which had a total of -334,381 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 48.4 percent. The commercials are Bullish with a score of 60.8 percent and the small traders (not shown in chart) are Bullish with a score of 55.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.280.012.6
– Percent of Open Interest Shorts:32.756.49.6
– Net Position:-335,261297,95337,308
– Gross Longs:79,1201,012,450159,109
– Gross Shorts:414,381714,497121,801
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.460.855.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.3-2.00.7

 

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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