10-Year Treasury Bonds Speculator bets surge to 177-week bearish high

April 2, 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 29th 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 in the 10-Year Bond bets this week. The speculative position in the 10-Year Bond saw a sharp jump in bearish bets this week (by -212,723 contracts) that marked the largest one-week bearish gain in the past two hundred and seventy-eight weeks, dating all the way back to November 29th of 2016. The 10-Year had shed bearish bets in the previous two weeks but has now seen higher bearish bets in four out of the past six weeks. This rising bearish sentiment has pushed the current net speculator standing (total of -476,557 contracts) to the most bearish level in the past one-hundred and seventy-seven weeks, dating back to November 6th of 2018 when positions were over -500,000 contracts. The 10-Year Bond price has also been dropping sharply and the 10-Year Bond yield rose to the highest level since April of 2019 above the 2.50 percent level this week (interest rates rise as bond prices fall). The outlook for Central Bank interest rate increases likely signals that there is much more weakness ahead for bonds (and gains in bond yields) and speculator sentiment will likely become more bearish.

The bonds markets that saw higher speculator bets this week were Eurodollar (233,321 contracts) and the Ultra 10-Year (17,885 contracts).

The bonds markets that saw lower speculator bets this week were 2-Year Bond (-11,754 contracts), 10-Year Bond (-212,723 contracts), Long US Bond (-16,550 contracts), Fed Funds (-1,024 contracts), 5-Year Bond (-65,052 contracts) and the Ultra US Bond (-25,035 contracts).


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Data Snapshot of Bond Market Traders | Columns Legend
Mar-29-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,936,414 43 -2,423,401 4 2,851,684 96 -428,283 10
FedFunds 2,130,653 81 -14,406 38 35,287 64 -20,881 7
2-Year 2,251,100 18 -59,202 70 161,882 55 -102,680 0
Long T-Bond 1,109,506 33 16,001 90 -3,123 19 -12,878 42
10-Year 3,669,449 41 -476,557 0 657,549 100 -180,992 36
5-Year 3,756,307 35 -361,390 20 598,864 86 -237,474 16

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week totaled a net position of -2,423,401 contracts in the data reported through Tuesday. This was a weekly increase of 233,321 contracts from the previous week which had a total of -2,656,722 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 4.5 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.1 74.7 3.9
– Percent of Open Interest Shorts: 26.2 48.6 7.9
– Net Position: -2,423,401 2,851,684 -428,283
– Gross Longs: 447,292 8,166,593 431,468
– Gross Shorts: 2,870,693 5,314,909 859,751
– 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): 4.5 95.9 10.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.5 2.2 2.2

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -14,406 contracts in the data reported through Tuesday. This was a weekly decline of -1,024 contracts from the previous week which had a total of -13,382 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 37.8 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.6 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.1 77.1 1.3
– Percent of Open Interest Shorts: 8.8 75.4 2.3
– Net Position: -14,406 35,287 -20,881
– Gross Longs: 172,450 1,642,231 27,817
– Gross Shorts: 186,856 1,606,944 48,698
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 37.8 64.2 6.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.6 4.7 -4.0

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -59,202 contracts in the data reported through Tuesday. This was a weekly reduction of -11,754 contracts from the previous week which had a total of -47,448 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 70.3 percent. The commercials are Bullish with a score of 55.2 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: 14.0 76.4 6.2
– Percent of Open Interest Shorts: 16.6 69.2 10.8
– Net Position: -59,202 161,882 -102,680
– Gross Longs: 314,664 1,719,719 140,420
– Gross Shorts: 373,866 1,557,837 243,100
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 70.3 55.2 0.0
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.4 -4.9 -15.1

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -361,390 contracts in the data reported through Tuesday. This was a weekly fall of -65,052 contracts from the previous week which had a total of -296,338 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 19.8 percent. The commercials are Bullish-Extreme with a score of 86.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.2 82.6 7.2
– Percent of Open Interest Shorts: 17.9 66.6 13.5
– Net Position: -361,390 598,864 -237,474
– Gross Longs: 309,236 3,101,800 270,067
– Gross Shorts: 670,626 2,502,936 507,541
– 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): 19.8 86.3 15.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -29.8 21.9 -2.7

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -476,557 contracts in the data reported through Tuesday. This was a weekly decrease of -212,723 contracts from the previous week which had a total of -263,834 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 with a score of 36.5 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.5 80.2 9.0
– Percent of Open Interest Shorts: 20.5 62.2 13.9
– Net Position: -476,557 657,549 -180,992
– Gross Longs: 276,588 2,941,177 328,695
– Gross Shorts: 753,145 2,283,628 509,687
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 36.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -46.0 26.3 18.9

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -73,436 contracts in the data reported through Tuesday. This was a weekly boost of 17,885 contracts from the previous week which had a total of -91,321 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 8.4 percent. The commercials are Bullish-Extreme with a score of 97.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.8 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.7 80.7 9.0
– Percent of Open Interest Shorts: 15.2 65.2 18.9
– Net Position: -73,436 205,679 -132,243
– Gross Longs: 128,735 1,071,757 119,198
– Gross Shorts: 202,171 866,078 251,441
– 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): 8.4 97.6 35.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -23.1 20.1 7.5

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of 16,001 contracts in the data reported through Tuesday. This was a weekly lowering of -16,550 contracts from the previous week which had a total of 32,551 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 89.8 percent. The commercials are Bearish-Extreme with a score of 19.1 percent and the small traders (not shown in chart) are Bearish with a score of 42.4 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.1 73.1 14.6
– Percent of Open Interest Shorts: 7.7 73.4 15.7
– Net Position: 16,001 -3,123 -12,878
– Gross Longs: 100,986 810,834 161,498
– Gross Shorts: 84,985 813,957 174,376
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 89.8 19.1 42.4
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 13.3 -14.7 4.1

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -323,558 contracts in the data reported through Tuesday. This was a weekly decline of -25,035 contracts from the previous week which had a total of -298,523 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 53.2 percent. The commercials are Bullish with a score of 56.4 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.3 82.2 11.9
– Percent of Open Interest Shorts: 30.4 59.8 9.2
– Net Position: -323,558 288,970 34,588
– Gross Longs: 68,282 1,059,413 152,895
– Gross Shorts: 391,840 770,443 118,307
– 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): 53.2 56.4 53.1
– Strength Index Reading (3 Year Range): Bullish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.7 -4.7 2.2

 


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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.