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 28th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.
The COT bond market speculator bets were overall mixed this week as four out of the eight bond markets we cover had higher positioning this week while the other four markets had lower contracts.
Leading the gains for the bonds markets was the 10-Year Bond (46,504 contracts) and the Ultra 10-Year Bond (37,626 contracts) with the 2-Year Bond (17,165 contracts) and the Ultra US Bond (7,073 contracts) also having a positive week.
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Leading the declines in speculator bets this week were the Eurodollar (-158,541 contracts) and the 5-Year Bond (-98,573 contracts) with the Long US Bond (-18,931 contracts) and Fed Funds (-3,839 contracts) also registering lower bets on the week.
Strength scores (measuring the 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 US Treasury Bond (72.1 percent) remains at the highest level of the bonds markets currently while the 2-Year Bond is creeping up at 62 percent. On the lower end of their ranges, the 3-Month Eurodollars (13 percent) is in a bearish-extreme level while the Ultra 10-Year Bonds (22 percent) comes in next lowest but has been risen from around 7 percent last week.
| Jun-28-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| Eurodollar | 9,521,916 | 13 | -2,156,430 | 13 | 2,512,425 | 86 | -355,995 | 26 |
| FedFunds | 1,748,855 | 57 | 120,582 | 55 | -111,402 | 46 | -9,180 | 36 |
| 2-Year | 2,118,890 | 15 | -102,118 | 62 | 194,562 | 62 | -92,444 | 10 |
| Long T-Bond | 1,182,840 | 46 | -38,253 | 72 | 37,023 | 24 | 1,230 | 54 |
| 10-Year | 3,403,344 | 23 | -181,680 | 45 | 329,404 | 61 | -147,724 | 45 |
| 5-Year | 3,962,280 | 49 | -202,664 | 48 | 373,431 | 59 | -170,767 | 34 |
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 13.3 percent. The commercials are Bullish-Extreme with a score of 86.0 percent and the small traders (not shown in chart) are Bearish with a score of 26.1 percent.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.2 | 70.5 | 4.1 |
| – Percent of Open Interest Shorts: | 28.8 | 44.1 | 7.9 |
| – Net Position: | -2,156,430 | 2,512,425 | -355,995 |
| – Gross Longs: | 588,828 | 6,711,010 | 391,853 |
| – Gross Shorts: | 2,745,258 | 4,198,585 | 747,848 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 0.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.3 | 86.0 | 26.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 13.3 | -14.0 | 15.5 |
The 30-Day Federal Funds large speculator standing this week reached a net position of 120,582 contracts in the data reported through Tuesday. This was a weekly decline of -3,839 contracts from the previous week which had a total of 124,421 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 54.5 percent. The commercials are Bearish with a score of 46.4 percent and the small traders (not shown in chart) are Bearish with a score of 36.4 percent.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.9 | 70.8 | 2.2 |
| – Percent of Open Interest Shorts: | 7.0 | 77.2 | 2.8 |
| – Net Position: | 120,582 | -111,402 | -9,180 |
| – Gross Longs: | 243,400 | 1,238,618 | 39,186 |
| – Gross Shorts: | 122,818 | 1,350,020 | 48,366 |
| – Long to Short Ratio: | 2.0 to 1 | 0.9 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 54.5 | 46.4 | 36.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 8.8 | -8.0 | -14.4 |
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 61.6 percent. The commercials are Bullish with a score of 62.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.1 percent.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.0 | 77.8 | 6.3 |
| – Percent of Open Interest Shorts: | 17.8 | 68.6 | 10.7 |
| – Net Position: | -102,118 | 194,562 | -92,444 |
| – Gross Longs: | 275,428 | 1,647,599 | 134,145 |
| – Gross Shorts: | 377,546 | 1,453,037 | 226,589 |
| – 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): | 61.6 | 62.4 | 10.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bullish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.6 | -3.2 | -7.5 |
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 47.7 percent. The commercials are Bullish with a score of 58.9 percent and the small traders (not shown in chart) are Bearish with a score of 34.1 percent.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.3 | 83.1 | 7.4 |
| – Percent of Open Interest Shorts: | 13.5 | 73.7 | 11.7 |
| – Net Position: | -202,664 | 373,431 | -170,767 |
| – Gross Longs: | 330,759 | 3,293,540 | 291,486 |
| – Gross Shorts: | 533,423 | 2,920,109 | 462,253 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 47.7 | 58.9 | 34.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 10.1 | -5.4 | -3.7 |
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 44.8 percent. The commercials are Bullish with a score of 61.0 percent and the small traders (not shown in chart) are Bearish with a score of 44.7 percent.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.1 | 80.0 | 9.2 |
| – Percent of Open Interest Shorts: | 13.4 | 70.4 | 13.5 |
| – Net Position: | -181,680 | 329,404 | -147,724 |
| – Gross Longs: | 274,858 | 2,724,138 | 312,558 |
| – Gross Shorts: | 456,538 | 2,394,734 | 460,282 |
| – 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): | 44.8 | 61.0 | 44.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.3 | 1.3 | 2.5 |
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 22.0 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bearish with a score of 40.9 percent.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.2 | 83.3 | 11.0 |
| – Percent of Open Interest Shorts: | 7.3 | 70.6 | 21.5 |
| – Net Position: | -26,080 | 152,060 | -125,980 |
| – Gross Longs: | 61,919 | 998,346 | 131,429 |
| – Gross Shorts: | 87,999 | 846,286 | 257,409 |
| – 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): | 22.0 | 79.3 | 40.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 18.7 | -12.5 | -14.1 |
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 72.1 percent. The commercials are Bearish with a score of 24.0 percent and the small traders (not shown in chart) are Bullish with a score of 53.6 percent.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.8 | 78.8 | 13.9 |
| – Percent of Open Interest Shorts: | 10.0 | 75.6 | 13.8 |
| – Net Position: | -38,253 | 37,023 | 1,230 |
| – Gross Longs: | 80,552 | 931,822 | 164,556 |
| – Gross Shorts: | 118,805 | 894,799 | 163,326 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 72.1 | 24.0 | 53.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -22.9 | 18.4 | 14.8 |
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 47.3 percent. The commercials are Bullish with a score of 65.4 percent and the small traders (not shown in chart) are Bullish with a score of 50.3 percent.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 3.3 | 85.0 | 11.5 |
| – Percent of Open Interest Shorts: | 29.6 | 61.1 | 9.1 |
| – Net Position: | -337,983 | 307,346 | 30,637 |
| – Gross Longs: | 42,179 | 1,092,416 | 148,217 |
| – Gross Shorts: | 380,162 | 785,070 | 117,580 |
| – Long to Short Ratio: | 0.1 to 1 | 1.4 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 47.3 | 65.4 | 50.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.7 | 21.2 | 0.2 |
Article By InvestMacro – Receive our weekly COT Reports by Email
*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.
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