COT Week 23 Charts: Bond Speculator bets mostly falling this week led by 2-Year & 10-Year Bonds

June 12, 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 June 7th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Bond market speculator bets were mostly on the lower side this week as only three out of the eight bond markets we cover had higher positioning this week while five markets had lower contracts.

Leading the gains for the COT bonds markets was the Eurodollar (208,714 contracts) and the Fed Funds (29,026 contracts) with the Ultra 10-Year Bond (29,533 contracts) also showing a positive week.

Meanwhile, leading the declines in speculator bets this week were the 2-Year Bond (-42,371 contracts) and the 10-Year Bond (-27,280 contracts) with the Long US Bond (-14,798 contracts), Ultra US Bond (-5,695 contracts) and the 5-Year Bond (-4,759 contracts) also registering lower bets on the week.


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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 the Ultra US Treasury Bond and the US Treasury Bond are above their midpoint levels for the past 3 years while all the other markets are below the 50 percent level. The US Treasury Bond is actually in an extreme-bullish level currently while the Eurodollar and the Ultra 10-Year Note are both in extreme-bearish levels at the moment.

Strength score trends (or move index, that calculate the 6-week changes in strength scores) shows that the 5-Year Bond and the Ultra US Treasury Bond have had the highest rising scores over the past six weeks. On the downside, the 10-Year Bond and the 2-Year Bond have shown the largest downward trends.


Data Snapshot of Bond Market Traders | Columns Legend
Jun-07-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,409,834 32 -2,646,502 4 3,023,490 95 -376,988 21
FedFunds 1,568,823 44 54,233 46 -47,932 54 -6,301 44
2-Year 2,002,134 10 -170,489 48 225,040 69 -54,551 26
Long T-Bond 1,193,131 48 4,963 86 -5,633 18 670 53
10-Year 3,469,948 28 -266,187 32 426,524 73 -160,337 42
5-Year 3,784,732 39 -222,547 44 409,463 63 -186,916 30

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,646,502 contracts in the data reported through Tuesday. This was a weekly gain of 208,714 contracts from the previous week which had a total of -2,855,216 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 4.2 percent. The commercials are Bullish-Extreme with a score of 95.1 percent and the small traders (not shown in chart) are Bearish with a score of 21.5 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.5 74.1 3.7
– Percent of Open Interest Shorts: 29.0 45.0 7.4
– Net Position: -2,646,502 3,023,490 -376,988
– Gross Longs: 367,476 7,712,618 389,949
– Gross Shorts: 3,013,978 4,689,128 766,937
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 4.2 95.1 21.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.3 -3.5 14.9

 


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 54,233 contracts in the data reported through Tuesday. This was a weekly boost of 29,026 contracts from the previous week which had a total of 25,207 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 46.3 percent. The commercials are Bullish with a score of 54.1 percent and the small traders (not shown in chart) are Bearish with a score of 43.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 74.5 2.6
– Percent of Open Interest Shorts: 6.1 77.5 3.0
– Net Position: 54,233 -47,932 -6,301
– Gross Longs: 149,853 1,168,089 40,470
– Gross Shorts: 95,620 1,216,021 46,771
– Long to Short Ratio: 1.6 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 46.3 54.1 43.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.9 -2.8 19.2

 


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 -170,489 contracts in the data reported through Tuesday. This was a weekly decrease of -42,371 contracts from the previous week which had a total of -128,118 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 47.8 percent. The commercials are Bullish with a score of 69.1 percent and the small traders (not shown in chart) are Bearish with a score of 25.8 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.0 79.8 7.2
– Percent of Open Interest Shorts: 18.5 68.6 9.9
– Net Position: -170,489 225,040 -54,551
– Gross Longs: 200,307 1,598,627 143,536
– Gross Shorts: 370,796 1,373,587 198,087
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 47.8 69.1 25.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.4 9.0 16.5

 


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 -222,547 contracts in the data reported through Tuesday. This was a weekly decrease of -4,759 contracts from the previous week which had a total of -217,788 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 44.2 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bearish with a score of 29.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 80.9 7.5
– Percent of Open Interest Shorts: 15.4 70.1 12.4
– Net Position: -222,547 409,463 -186,916
– Gross Longs: 359,715 3,061,190 283,380
– Gross Shorts: 582,262 2,651,727 470,296
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 44.2 63.2 29.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.1 -8.7 5.5

 


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 -266,187 contracts in the data reported through Tuesday. This was a weekly lowering of -27,280 contracts from the previous week which had a total of -238,907 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 32.0 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 81.0 8.9
– Percent of Open Interest Shorts: 13.3 68.7 13.5
– Net Position: -266,187 426,524 -160,337
– Gross Longs: 195,120 2,810,360 307,456
– Gross Shorts: 461,307 2,383,836 467,793
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 32.0 72.6 41.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -22.6 16.1 3.1

 


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 -75,834 contracts in the data reported through Tuesday. This was a weekly advance of 29,533 contracts from the previous week which had a total of -105,367 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 9.1 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 81.8 11.1
– Percent of Open Interest Shorts: 11.6 66.7 20.0
– Net Position: -75,834 187,134 -111,300
– Gross Longs: 67,884 1,015,640 137,608
– Gross Shorts: 143,718 828,506 248,908
– 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): 9.1 88.3 48.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.5 -3.6 12.2

 


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 4,963 contracts in the data reported through Tuesday. This was a weekly lowering of -14,798 contracts from the previous week which had a total of 19,761 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 86.2 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 74.8 14.1
– Percent of Open Interest Shorts: 9.0 75.2 14.0
– Net Position: 4,963 -5,633 670
– Gross Longs: 112,838 892,073 168,164
– Gross Shorts: 107,875 897,706 167,494
– Long to Short Ratio: 1.0 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 86.2 18.3 53.1
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.9 -1.2 15.1

 


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 -314,973 contracts in the data reported through Tuesday. This was a weekly decrease of -5,695 contracts from the previous week which had a total of -309,278 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 56.7 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 45.6 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 83.5 11.7
– Percent of Open Interest Shorts: 28.0 60.7 9.8
– Net Position: -314,973 290,771 24,202
– Gross Longs: 42,957 1,067,607 149,154
– Gross Shorts: 357,930 776,836 124,952
– 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): 56.7 57.2 45.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.9 -8.7 -8.2

 


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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.