COT Bonds Futures Charts: Speculator bets mostly lower this week

May 22, 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 May 17th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Bonds market speculator bets were mostly lower this week as five out of the eight bond markets we cover had lower positioning this week. Most of these markets remain bearish (speculator levels and price levels) in the higher interest rate environment of 2022. The exceptions in the COT speculator positioning are the Fed Funds positions which recently turned positive in early April and have maintained a small bullish level in six out of the past seven weeks. The US Treasury Bond positions also turned positive in early March and have also had a small bullish position in nine out of the past eleven weeks.

Overall, the bond markets with higher speculator bets for this week were Long US Bond (16,554 contracts), 5-Year Bond (65,450 contracts) and the Ultra US Bond (16,954 contracts).

The markets with declining speculator bets this week were the 2-Year Bond (-7,808 contracts), Eurodollar (-273,864 contracts), 10-Year Bond (-74,119 contracts), Ultra 10-Year (-2,421 contracts) and the Fed Funds (-147 contracts).


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Speculator strength standings for each Commodity where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme OI Strength = Current Open Interest level compared to last 3 years range Spec Strength = Current Net Speculator level compared to last 3 years range Strength Move = Six week change of Spec Strength


Data Snapshot of Bond Market Traders | Columns Legend
May-17-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,381,883 32 -2,874,451 0 3,300,959 100 -426,508 11
FedFunds 1,796,405 58 49,015 46 -45,484 54 -3,531 51
2-Year 2,376,024 26 -134,637 55 209,074 66 -74,437 18
Long T-Bond 1,244,823 57 32,007 95 -14,575 15 -17,432 39
10-Year 3,666,416 41 -160,091 48 318,592 60 -158,501 42
5-Year 3,791,540 37 -260,224 38 417,629 64 -157,405 38

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,874,451 contracts in the data reported through Tuesday. This was a weekly decline of -273,864 contracts from the previous week which had a total of -2,600,587 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 10.6 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 76.0 3.7
– Percent of Open Interest Shorts: 30.9 44.2 7.8
– Net Position: -2,874,451 3,300,959 -426,508
– Gross Longs: 336,958 7,889,274 386,384
– Gross Shorts: 3,211,409 4,588,315 812,892
– Long to Short Ratio: 0.1 to 1 1.7 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 10.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.5 5.9 4.6

 


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 49,015 contracts in the data reported through Tuesday. This was a weekly lowering of -147 contracts from the previous week which had a total of 49,162 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 45.7 percent. The commercials are Bullish with a score of 54.4 percent and the small traders (not shown in chart) are Bullish with a score of 50.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 75.5 2.1
– Percent of Open Interest Shorts: 2.8 78.0 2.3
– Net Position: 49,015 -45,484 -3,531
– Gross Longs: 100,043 1,355,889 37,674
– Gross Shorts: 51,028 1,401,373 41,205
– Long to Short Ratio: 2.0 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.7 54.4 50.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.6 -5.3 16.5

 


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 -134,637 contracts in the data reported through Tuesday. This was a weekly lowering of -7,808 contracts from the previous week which had a total of -126,829 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 55.1 percent. The commercials are Bullish with a score of 65.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.6 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.0 76.6 5.8
– Percent of Open Interest Shorts: 18.6 67.8 8.9
– Net Position: -134,637 209,074 -74,437
– Gross Longs: 307,951 1,818,876 137,690
– Gross Shorts: 442,588 1,609,802 212,127
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 55.1 65.6 17.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.6 8.0 10.7

 


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 -260,224 contracts in the data reported through Tuesday. This was a weekly boost of 65,450 contracts from the previous week which had a total of -325,674 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 37.5 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.9 81.1 7.5
– Percent of Open Interest Shorts: 14.7 70.1 11.7
– Net Position: -260,224 417,629 -157,405
– Gross Longs: 298,615 3,074,092 284,595
– Gross Shorts: 558,839 2,656,463 442,000
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 37.5 64.2 37.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 13.7 -16.5 15.8

 


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 -160,091 contracts in the data reported through Tuesday. This was a weekly decline of -74,119 contracts from the previous week which had a total of -85,972 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 48.1 percent. The commercials are Bullish with a score of 59.7 percent and the small traders (not shown in chart) are Bearish with a score of 42.1 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.6 76.9 8.9
– Percent of Open Interest Shorts: 12.9 68.2 13.2
– Net Position: -160,091 318,592 -158,501
– Gross Longs: 314,613 2,819,008 325,049
– Gross Shorts: 474,704 2,500,416 483,550
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 48.1 59.7 42.1
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 30.8 -29.7 11.0

 


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 -97,837 contracts in the data reported through Tuesday. This was a weekly fall of -2,421 contracts from the previous week which had a total of -95,416 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 3.4 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.6 81.6 12.2
– Percent of Open Interest Shorts: 12.6 65.2 20.7
– Net Position: -97,837 200,995 -103,158
– Gross Longs: 56,209 1,000,137 150,063
– Gross Shorts: 154,046 799,142 253,221
– 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): 3.4 91.8 53.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.6 -8.2 20.7

 


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 32,007 contracts in the data reported through Tuesday. This was a weekly increase of 16,554 contracts from the previous week which had a total of 15,453 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 95.0 percent. The commercials are Bearish-Extreme with a score of 15.5 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.7 72.5 12.3
– Percent of Open Interest Shorts: 9.2 73.6 13.7
– Net Position: 32,007 -14,575 -17,432
– Gross Longs: 146,002 902,140 152,520
– Gross Shorts: 113,995 916,715 169,952
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 95.0 15.5 38.8
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.0 -7.4 -6.1

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -294,559 contracts in the data reported through Tuesday. This was a weekly gain of 16,954 contracts from the previous week which had a total of -311,513 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 65.1 percent. The commercials are Bearish with a score of 44.2 percent and the small traders (not shown in chart) are Bullish with a score of 50.1 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.7 81.8 11.6
– Percent of Open Interest Shorts: 26.3 61.5 9.3
– Net Position: -294,559 264,222 30,337
– Gross Longs: 48,033 1,065,877 151,667
– Gross Shorts: 342,592 801,655 121,330
– Long to Short Ratio: 0.1 to 1 1.3 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 65.1 44.2 50.1
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.8 -21.4 5.2

 


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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.