COT Week 22 Charts: Bonds Speculator positions lower across the board

June 4, 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 31st and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

COT bonds market speculator bets were lower this week as all eight bond markets we cover had lower positioning this week. Leading the declines in speculator bets this week were the 5-Year Bond (-97,261 contracts) and the 2-Year Bond (-92,825 contracts) with the Eurodollar (-22,436 contracts), Fed Funds (-17,284 contracts), 10-Year Bond (-13,783 contracts), Long US Bond (-8,741 contracts), Ultra 10-Year (-6,442 contracts) and the Ultra US Bond (-1,383 contracts) also coming in with lower bets on the week.


 

Strength scores (3-Year range of Speculator positions, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that most of the bond markets are below their midpoints (50 percent) for the past 3 years.  The US Treasury Bond, 2-Year and the Ultra US Bond have all gone above the midpoint and the US Treasury Bond has now entered extreme bullish levels as compared to its range over the past 3 years.

Strength score trends (or move index, that show 6-week changes in strength scores) shows a mixed picture with half the bond markets rising over the past six weeks and half not.


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Data Snapshot of Bond Market Traders | Columns Legend
May-31-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,374,105 31 -2,855,216 0 3,260,722 99 -405,506 15
FedFunds 1,907,235 69 25,207 43 -17,303 58 -7,904 40
2-Year 2,219,497 19 -128,118 56 193,103 62 -64,985 21
Long T-Bond 1,212,023 51 19,761 91 1,627 21 -21,388 36
10-Year 3,470,808 28 -238,907 36 411,183 71 -172,276 39
5-Year 3,804,715 40 -217,788 45 367,355 58 -149,567 40

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -2,855,216 contracts in the data reported through Tuesday. This was a weekly lowering of -22,436 contracts from the previous week which had a total of -2,832,780 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 0.4 percent. The commercials are Bullish-Extreme with a score of 99.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 75.4 3.6
– Percent of Open Interest Shorts: 30.7 44.0 7.5
– Net Position: -2,855,216 3,260,722 -405,506
– Gross Longs: 332,811 7,825,376 371,699
– Gross Shorts: 3,188,027 4,564,654 777,205
– 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): 0.4 99.3 15.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.5 4.8 6.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of 25,207 contracts in the data reported through Tuesday. This was a weekly reduction of -17,284 contracts from the previous week which had a total of 42,491 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 42.7 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bearish with a score of 39.6 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.2 75.9 1.9
– Percent of Open Interest Shorts: 4.8 76.8 2.4
– Net Position: 25,207 -17,303 -7,904
– Gross Longs: 117,407 1,448,066 37,077
– Gross Shorts: 92,200 1,465,369 44,981
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 42.7 57.8 39.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.8 -1.4 11.0

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -128,118 contracts in the data reported through Tuesday. This was a weekly reduction of -92,825 contracts from the previous week which had a total of -35,293 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 56.4 percent. The commercials are Bullish with a score of 62.1 percent and the small traders (not shown in chart) are Bearish with a score of 21.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.9 77.2 6.5
– Percent of Open Interest Shorts: 17.6 68.5 9.4
– Net Position: -128,118 193,103 -64,985
– Gross Longs: 263,530 1,714,483 143,470
– Gross Shorts: 391,648 1,521,380 208,455
– 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): 56.4 62.1 21.5
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.2 -5.1 12.2

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -217,788 contracts in the data reported through Tuesday. This was a weekly decline of -97,261 contracts from the previous week which had a total of -120,527 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 45.0 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bearish with a score of 39.9 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.1 81.4 7.5
– Percent of Open Interest Shorts: 14.9 71.7 11.4
– Net Position: -217,788 367,355 -149,567
– Gross Longs: 348,119 3,096,723 285,676
– Gross Shorts: 565,907 2,729,368 435,243
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.0 58.1 39.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.5 -15.9 16.3

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -238,907 contracts in the data reported through Tuesday. This was a weekly decrease of -13,783 contracts from the previous week which had a total of -225,124 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 36.1 percent. The commercials are Bullish with a score of 70.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.1 79.6 9.0
– Percent of Open Interest Shorts: 14.0 67.8 14.0
– Net Position: -238,907 411,183 -172,276
– Gross Longs: 245,557 2,764,399 313,090
– Gross Shorts: 484,464 2,353,216 485,366
– 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): 36.1 70.7 38.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.2 -13.1 3.9

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -105,367 contracts in the data reported through Tuesday. This was a weekly fall of -6,442 contracts from the previous week which had a total of -98,925 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 1.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 81.8 11.9
– Percent of Open Interest Shorts: 13.4 64.7 20.4
– Net Position: -105,367 210,588 -105,221
– Gross Longs: 59,643 1,010,524 147,144
– Gross Shorts: 165,010 799,936 252,365
– 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): 1.4 94.3 52.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.3 5.0 5.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of 19,761 contracts in the data reported through Tuesday. This was a weekly reduction of -8,741 contracts from the previous week which had a total of 28,502 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 91.0 percent. The commercials are Bearish with a score of 20.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.9 75.9 13.0
– Percent of Open Interest Shorts: 8.3 75.8 14.7
– Net Position: 19,761 1,627 -21,388
– Gross Longs: 120,014 920,309 157,340
– Gross Shorts: 100,253 918,682 178,728
– 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): 91.0 20.6 35.6
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.1 -6.3 -8.8

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -309,278 contracts in the data reported through Tuesday. This was a weekly fall of -1,383 contracts from the previous week which had a total of -307,895 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 59.0 percent. The commercials are Bullish with a score of 55.7 percent and the small traders (not shown in chart) are Bearish with a score of 43.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 83.4 11.5
– Percent of Open Interest Shorts: 27.2 61.1 9.9
– Net Position: -309,278 287,591 21,687
– Gross Longs: 41,190 1,074,846 148,794
– Gross Shorts: 350,468 787,255 127,107
– 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): 59.0 55.7 43.8
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.5 -11.4 -3.5

 


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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.