30 Jul

COT Week 30 Charts: Bonds Speculators bets fall this week led by 10-Year & 5-Year Bonds

July 30, 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 July 26th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes

COT bond market speculator bets were lower this week as just two out of the eight bond markets we cover had higher positioning this week while the other six markets had lower contracts.

Leading the gains for the bond markets was the Fed Funds Futures (33,590 contracts) with the Ultra 10-Year (4,781 contracts) also showing a positive week.

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The bond markets leading the declines in speculator bets this week were the 10-Year Bond (-91,156 contracts) and the 5-Year Bond (-57,158 contracts) with the Eurodollar (-40,034 contracts), the 2-Year Bond (-26,811 contracts), the Long US Bond (-4,543 contracts) and the Ultra US Bond (-4,479 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-26-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,398,09211-2,683,93942,957,40994-273,47044
FedFunds1,885,79971147,16858-139,54943-7,61940
2-Year2,018,24410-89,86464160,60455-70,74019
Long T-Bond1,183,49942-46,6456928,8962117,74967
10-Year3,504,78030-199,86042266,23454-66,37464
5-Year3,988,92951-315,17328449,86968-134,69644

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Treasury Bond (69.4 percent) continues to lead the strength scores although it has been cooling off over the past weeks. The 2-Year Bond (64.1 percent) and the Fed Funds (57.8 percent) come in as the next highest bonds markets in strength scores this week with both over 50 percent (or the midway point of their 3-year range). On the downside, the Eurodollar (3.5 percent) comes in at the lowest strength level currently – at an extreme bearish position and near the bottom of its three-year range. The Ultra 10-Year Bond is the next lowest at 20.8 percent followed by the 5-Year Bond (27.9 percent).


Strength Statistics:
Fed Funds (57.8 percent) vs Fed Funds previous week (53.6 percent)
2-Year Bond (64.1 percent) vs 2-Year Bond previous week (69.5 percent)
5-Year Bond (27.9 percent) vs 5-Year Bond previous week (37.9 percent)
10-Year Bond (42.1 percent) vs 10-Year Bond previous week (55.9 percent)
Ultra 10-Year Bond (20.8 percent) vs Ultra 10-Year Bond previous week (19.5 percent)
US Treasury Bond (69.4 percent) vs US Treasury Bond previous week (70.9 percent)
Ultra US Treasury Bond (42.3 percent) vs Ultra US Treasury Bond previous week (44.1 percent)
Eurodollar (3.5 percent) vs Eurodollar previous week (4.3 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bond (14.2 percent) leads the past six weeks trends for bonds this week. The Ultra 10-Year Bond (13.1 percent), the Fed Funds (4.5 percent) and the 10-Year Bond (0.9 percent) round out the only other positive movers in the latest trends data. The 5-Year Bond (-21.8 percent) leads the downside trend scores currently while the next markets with lower trend scores were the Eurodollar (-15.3 percent) followed by the US Treasury Bond (-5.6 percent).

Strength Trend Statistics:
Fed Funds (4.5 percent) vs Fed Funds previous week (7.3 percent)
2-Year Bond (14.2 percent) vs 2-Year Bond previous week (21.7 percent)
5-Year Bond (-21.8 percent) vs 5-Year Bond previous week (-6.2 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (23.9 percent)
Ultra 10-Year Bond (13.1 percent) vs Ultra 10-Year Bond previous week (10.4 percent)
US Treasury Bond (-5.6 percent) vs US Treasury Bond previous week (-15.3 percent)
Ultra US Treasury Bond (-3.5 percent) vs Ultra US Treasury Bond previous week (-12.6 percent)
Eurodollar (-15.3 percent) vs Eurodollar (0.0 percent)

Individual Markets

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -2,683,939 contracts in the data reported through Tuesday. This was a weekly fall of -40,034 contracts from the previous week which had a total of -2,643,905 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 3.5 percent. The commercials are Bullish-Extreme with a score of 93.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.271.54.4
– Percent of Open Interest Shorts:32.840.17.3
– Net Position:-2,683,9392,957,409-273,470
– Gross Longs:397,5706,724,178413,933
– Gross Shorts:3,081,5093,766,769687,403
– Long to Short Ratio:0.1 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.593.944.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.313.120.9

 

30-Day Federal Funds Futures:Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of 147,168 contracts in the data reported through Tuesday. This was a weekly advance of 33,590 contracts from the previous week which had a total of 113,578 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 57.8 percent. The commercials are Bearish with a score of 42.9 percent and the small traders (not shown in chart) are Bearish with a score of 40.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.471.41.7
– Percent of Open Interest Shorts:7.678.82.1
– Net Position:147,168-139,549-7,619
– Gross Longs:290,9671,346,03732,709
– Gross Shorts:143,7991,485,58640,328
– Long to Short Ratio:2.0 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.842.940.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-2.9-31.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -89,864 contracts in the data reported through Tuesday. This was a weekly decrease of -26,811 contracts from the previous week which had a total of -63,053 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 64.1 percent. The commercials are Bullish with a score of 55.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.980.06.8
– Percent of Open Interest Shorts:16.372.010.3
– Net Position:-89,864160,604-70,740
– Gross Longs:239,9801,613,664137,474
– Gross Shorts:329,8441,453,060208,214
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.155.019.1
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-14.8-1.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -315,173 contracts in the data reported through Tuesday. This was a weekly fall of -57,158 contracts from the previous week which had a total of -258,015 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 27.9 percent. The commercials are Bullish with a score of 68.2 percent and the small traders (not shown in chart) are Bearish with a score of 44.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.983.97.1
– Percent of Open Interest Shorts:15.872.710.5
– Net Position:-315,173449,869-134,696
– Gross Longs:314,6963,348,396283,150
– Gross Shorts:629,8692,898,527417,846
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.968.244.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.89.412.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -199,860 contracts in the data reported through Tuesday. This was a weekly lowering of -91,156 contracts from the previous week which had a total of -108,704 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 42.1 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.680.110.0
– Percent of Open Interest Shorts:13.372.511.9
– Net Position:-199,860266,234-66,374
– Gross Longs:266,8142,805,832351,590
– Gross Shorts:466,6742,539,598417,964
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.153.563.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.9-12.824.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -30,926 contracts in the data reported through Tuesday. This was a weekly advance of 4,781 contracts from the previous week which had a total of -35,707 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 20.8 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bearish with a score of 47.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.183.011.3
– Percent of Open Interest Shorts:7.870.021.6
– Net Position:-30,926151,176-120,250
– Gross Longs:59,468967,242131,774
– Gross Shorts:90,394816,066252,024
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.879.147.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.1-16.18.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -46,645 contracts in the data reported through Tuesday. This was a weekly decline of -4,543 contracts from the previous week which had a total of -42,102 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 69.4 percent. The commercials are Bearish with a score of 20.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.077.914.4
– Percent of Open Interest Shorts:11.075.512.9
– Net Position:-46,64528,89617,749
– Gross Longs:83,344922,508169,862
– Gross Shorts:129,989893,612152,113
– Long to Short Ratio:0.6 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.420.966.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.6-5.325.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -350,261 contracts in the data reported through Tuesday. This was a weekly decrease of -4,479 contracts from the previous week which had a total of -345,782 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 42.3 percent. The commercials are Bullish with a score of 62.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.784.411.7
– Percent of Open Interest Shorts:30.161.78.0
– Net Position:-350,261301,56848,693
– Gross Longs:49,1911,120,969154,740
– Gross Shorts:399,452819,401106,047
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.362.563.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.5-4.813.3

 

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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