COT Futures: This Week’s Bond Markets Charts

May 7, 2022

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

COT_Bonds_OI

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 3rd 2022 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

The bond markets with higher speculator bets this week were the Eurodollar (85,554 contracts) and the Ultra US Bond (24,875 contracts).

The bond markets with lower speculator bets this week were the 2-Year Bond (-39,648 contracts), 10-Year Bond (-29,720 contracts), Ultra 10-Year (-40,831 contracts), Long US Bond (-6,588 contracts), Fed Funds (-94,206 contracts) and the 5-Year Bond (-44,787 contracts).


Speculator strength standings for each Bond 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-03-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,548,844 35 -2,688,108 2 3,107,103 98 -418,995 12
FedFunds 1,662,069 49 -55,253 33 60,532 67 -5,279 46
2-Year 2,232,148 18 -129,171 56 245,745 74 -116,574 0
Long T-Bond 1,187,151 47 13,511 89 5,068 22 -18,579 38
10-Year 3,680,764 42 -147,537 50 313,344 59 -165,807 40
5-Year 3,818,836 38 -318,936 27 509,720 75 -190,784 29

 


3-Month Eurodollars Futures:

The 3-Month Eurodollars large speculator standing this week totaled a net position of -2,688,108 contracts in the data reported through Tuesday. This was a weekly gain of 85,554 contracts from the previous week which had a total of -2,773,662 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 1.6 percent. The commercials are Bullish-Extreme with a score of 98.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 74.6 4.0
– Percent of Open Interest Shorts: 28.9 45.1 8.0
– Net Position: -2,688,108 3,107,103 -418,995
– Gross Longs: 357,697 7,864,603 420,867
– Gross Shorts: 3,045,805 4,757,500 839,862
– 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): 1.6 98.0 12.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.6 0.6 -0.3

 


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 -55,253 contracts in the data reported through Tuesday. This was a weekly fall of -94,206 contracts from the previous week which had a total of 38,953 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 32.8 percent. The commercials are Bullish with a score of 67.2 percent and the small traders (not shown in chart) are Bearish with a score of 46.3 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 1.5 80.2 2.0
– Percent of Open Interest Shorts: 4.8 76.5 2.3
– Net Position: -55,253 60,532 -5,279
– Gross Longs: 24,608 1,332,707 32,724
– Gross Shorts: 79,861 1,272,175 38,003
– Long to Short Ratio: 0.3 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 32.8 67.2 46.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.2 3.7 28.0

 


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 -129,171 contracts in the data reported through Tuesday. This was a weekly decrease of -39,648 contracts from the previous week which had a total of -89,523 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 56.2 percent. The commercials are Bullish with a score of 73.6 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: 13.5 76.5 6.0
– Percent of Open Interest Shorts: 19.3 65.5 11.2
– Net Position: -129,171 245,745 -116,574
– Gross Longs: 301,359 1,708,203 133,733
– Gross Shorts: 430,530 1,462,458 250,307
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 56.2 73.6 0.0
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.5 26.1 -15.6

 


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 -318,936 contracts in the data reported through Tuesday. This was a weekly decrease of -44,787 contracts from the previous week which had a total of -274,149 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 27.2 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 28.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.7 83.2 6.9
– Percent of Open Interest Shorts: 16.0 69.9 11.9
– Net Position: -318,936 509,720 -190,784
– Gross Longs: 293,082 3,178,614 262,964
– Gross Shorts: 612,018 2,668,894 453,748
– 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): 27.2 75.4 28.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.0 -4.2 15.7

 


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 -147,537 contracts in the data reported through Tuesday. This was a weekly lowering of -29,720 contracts from the previous week which had a total of -117,817 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 50.0 percent. The commercials are Bullish with a score of 59.1 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 77.5 8.9
– Percent of Open Interest Shorts: 14.6 69.0 13.4
– Net Position: -147,537 313,344 -165,807
– Gross Longs: 391,455 2,853,366 325,869
– Gross Shorts: 538,992 2,540,022 491,676
– 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): 50.0 59.1 40.0
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.7 -17.9 8.1

 


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 -110,718 contracts in the data reported through Tuesday. This was a weekly decrease of -40,831 contracts from the previous week which had a total of -69,887 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 98.1 percent and the small traders (not shown in chart) are Bearish with a score of 46.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 83.3 10.8
– Percent of Open Interest Shorts: 13.5 65.6 19.8
– Net Position: -110,718 225,309 -114,591
– Gross Longs: 60,984 1,060,049 136,897
– Gross Shorts: 171,702 834,740 251,488
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 98.1 46.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.0 2.7 5.3

 


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 13,511 contracts in the data reported through Tuesday. This was a weekly decline of -6,588 contracts from the previous week which had a total of 20,099 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 89.0 percent. The commercials are Bearish with a score of 21.7 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.0 72.8 13.1
– Percent of Open Interest Shorts: 9.8 72.4 14.7
– Net Position: 13,511 5,068 -18,579
– Gross Longs: 130,124 864,328 155,544
– Gross Shorts: 116,613 859,260 174,123
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 89.0 21.7 37.8
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.2 3.3 6.8

 


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 -319,179 contracts in the data reported through Tuesday. This was a weekly lift of 24,875 contracts from the previous week which had a total of -344,054 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 55.0 percent. The commercials are Bullish with a score of 61.2 percent and the small traders (not shown in chart) are Bearish with a score of 42.9 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 84.1 11.7
– Percent of Open Interest Shorts: 28.4 60.7 10.1
– Net Position: -319,179 298,805 20,374
– Gross Longs: 43,517 1,073,810 148,944
– Gross Shorts: 362,696 775,005 128,570
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 55.0 61.2 42.9
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.4 21.2 -16.2

 


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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.