By InvestMacro
The latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC) showed that bond speculators mostly lowered their positioning for this week. The latest COT data for Week 36 is updated through Tuesday September 6th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.
Weekly Speculator Changes led lower by the Fed Funds & 2-Year Bond
The COT bond market speculator bets were lower this week as just three out of the eight bond markets we cover had higher positioning this week while the other five markets had lower contracts.
Leading the gains for the bond markets was the Eurodollar (74,748 contracts) with the 10-Year Bond (63,826 contracts) and the 5-Year Bond (59,565 contracts) also recording positive weeks.
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The bond markets leading the declines in speculator bets this week were the Fed Funds (-66,116 contracts) with the 2-Year Bond (-45,142 contracts), the Long US Bond (-16,383 contracts), the Ultra 10-Year (-4,726 contracts) and the Ultra US Bond (-1,621 contracts) also having lower bets on the week.
| Sep-06-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| Eurodollar | 9,566,532 | 14 | -2,782,654 | 2 | 3,146,671 | 97 | -364,017 | 24 |
| FedFunds | 1,379,784 | 32 | 18,650 | 42 | -9,128 | 59 | -9,522 | 35 |
| 2-Year | 1,954,427 | 8 | -326,742 | 16 | 412,994 | 100 | -86,252 | 13 |
| Long T-Bond | 1,209,340 | 46 | -85,217 | 57 | 64,174 | 33 | 21,043 | 69 |
| 10-Year | 3,545,995 | 33 | -376,277 | 15 | 490,281 | 80 | -114,004 | 53 |
| 5-Year | 4,009,309 | 52 | -505,891 | 9 | 659,349 | 94 | -153,458 | 39 |
US Treasury Bond at top of Strength Scores, Eurodollar lowest
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) show that the US Treasury Bond leads the bonds markets and is the only market above the midpoint of its 3-year range at 56.9 percent. The Fed Funds (41.9 percent) comes in as the next highest bonds market in strength scores followed by the Ultra US Treasury Bond (39.4 percent).
On the downside, the Eurodollar (1.9 percent) comes in at the lowest strength level currently and is followed by the 5-Year Bond (9.0 percent), the 10-Year Bond (15.2 percent) and the 2-Year Bond (16.3 percent). All of these markets are currently in extreme bearish levels with scores below 20 percent.
Strength Statistics:
Fed Funds (41.9 percent) vs Fed Funds previous week (50.1 percent)
2-Year Bond (16.3 percent) vs 2-Year Bond previous week (25.4 percent)
5-Year Bond (9.0 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (15.2 percent) vs 10-Year Bond previous week (5.5 percent)
Ultra 10-Year Bond (22.9 percent) vs Ultra 10-Year Bond previous week (24.1 percent)
US Treasury Bond (56.9 percent) vs US Treasury Bond previous week (62.2 percent)
Ultra US Treasury Bond (39.4 percent) vs Ultra US Treasury Bond previous week (40.1 percent)
Eurodollar (1.9 percent) vs Eurodollar previous week (0.5 percent)
Ultra 10-Year Bond is only market with positive Strength Trend
Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Ultra 10-Year Bond (2.1 percent) leads the past six weeks trends for bonds and is the only market with a positive six-week trend score.
The 2-Year Bond (-47.8 percent) leads the downside trend scores currently while the next market with the lowest trend scores was the 5-Year Bond (-28.9 percent) followed by the 10-Year Bond (-26.8 percent) and the Fed Funds (-15.9 percent).
Strength Trend Statistics:
Fed Funds (-15.9 percent) vs Fed Funds previous week (-3.6 percent)
2-Year Bond (-47.8 percent) vs 2-Year Bond previous week (-44.1 percent)
5-Year Bond (-28.9 percent) vs 5-Year Bond previous week (-46.5 percent)
10-Year Bond (-26.8 percent) vs 10-Year Bond previous week (-50.4 percent)
Ultra 10-Year Bond (2.1 percent) vs Ultra 10-Year Bond previous week (4.6 percent)
US Treasury Bond (-12.6 percent) vs US Treasury Bond previous week (-8.7 percent)
Ultra US Treasury Bond (-2.9 percent) vs Ultra US Treasury Bond previous week (-4.1 percent)
Eurodollar (-1.8 percent) vs Eurodollar previous week (-3.9 percent)
Individual Markets:
3-Month Eurodollars Futures:
The 3-Month Eurodollars large speculator standing this week was a net position of -2,782,654 contracts in the data reported through Tuesday. This was a weekly lift of 74,748 contracts from the previous week which had a total of -2,857,402 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 1.9 percent. The commercials are Bullish-Extreme with a score of 97.3 percent and the small traders (not shown in chart) are Bearish with a score of 24.3 percent.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.9 | 70.2 | 4.1 |
| – Percent of Open Interest Shorts: | 36.0 | 37.3 | 7.9 |
| – Net Position: | -2,782,654 | 3,146,671 | -364,017 |
| – Gross Longs: | 661,773 | 6,716,597 | 396,477 |
| – Gross Shorts: | 3,444,427 | 3,569,926 | 760,494 |
| – Long to Short Ratio: | 0.2 to 1 | 1.9 to 1 | 0.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 1.9 | 97.3 | 24.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.8 | 3.4 | -19.9 |
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week was a net position of 18,650 contracts in the data reported through Tuesday. This was a weekly decrease of -66,116 contracts from the previous week which had a total of 84,766 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 41.9 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 35.5 percent.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.0 | 73.0 | 2.3 |
| – Percent of Open Interest Shorts: | 11.6 | 73.7 | 3.0 |
| – Net Position: | 18,650 | -9,128 | -9,522 |
| – Gross Longs: | 178,764 | 1,007,424 | 31,787 |
| – Gross Shorts: | 160,114 | 1,016,552 | 41,309 |
| – Long to Short Ratio: | 1.1 to 1 | 1.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 41.9 | 58.8 | 35.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.9 | 15.8 | -4.8 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week was a net position of -326,742 contracts in the data reported through Tuesday. This was a weekly lowering of -45,142 contracts from the previous week which had a total of -281,600 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 16.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.6 percent.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 4.6 | 84.4 | 7.3 |
| – Percent of Open Interest Shorts: | 21.3 | 63.3 | 11.8 |
| – Net Position: | -326,742 | 412,994 | -86,252 |
| – Gross Longs: | 89,223 | 1,650,101 | 143,560 |
| – Gross Shorts: | 415,965 | 1,237,107 | 229,812 |
| – Long to Short Ratio: | 0.2 to 1 | 1.3 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 16.3 | 100.0 | 12.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -47.8 | 50.1 | -6.5 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week was a net position of -505,891 contracts in the data reported through Tuesday. This was a weekly lift of 59,565 contracts from the previous week which had a total of -565,456 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 9.0 percent. The commercials are Bullish-Extreme with a score of 93.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.6 | 84.2 | 7.6 |
| – Percent of Open Interest Shorts: | 19.2 | 67.7 | 11.4 |
| – Net Position: | -505,891 | 659,349 | -153,458 |
| – Gross Longs: | 264,384 | 3,375,543 | 304,706 |
| – Gross Shorts: | 770,275 | 2,716,194 | 458,164 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 9.0 | 93.7 | 38.8 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -28.9 | 25.5 | -5.1 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week was a net position of -376,277 contracts in the data reported through Tuesday. This was a weekly increase of 63,826 contracts from the previous week which had a total of -440,103 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 15.2 percent. The commercials are Bullish-Extreme with a score of 80.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.9 | 79.7 | 9.5 |
| – Percent of Open Interest Shorts: | 18.5 | 65.8 | 12.7 |
| – Net Position: | -376,277 | 490,281 | -114,004 |
| – Gross Longs: | 279,865 | 2,824,708 | 336,063 |
| – Gross Shorts: | 656,142 | 2,334,427 | 450,067 |
| – 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): | 15.2 | 80.1 | 53.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -26.8 | 26.6 | -11.3 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week was a net position of -22,712 contracts in the data reported through Tuesday. This was a weekly fall of -4,726 contracts from the previous week which had a total of -17,986 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 22.9 percent. The commercials are Bullish with a score of 77.0 percent and the small traders (not shown in chart) are Bearish with a score of 47.3 percent.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.4 | 79.8 | 9.7 |
| – Percent of Open Interest Shorts: | 8.1 | 69.1 | 18.8 |
| – Net Position: | -22,712 | 143,014 | -120,302 |
| – Gross Longs: | 85,767 | 1,064,996 | 130,034 |
| – Gross Shorts: | 108,479 | 921,982 | 250,336 |
| – Long to Short Ratio: | 0.8 to 1 | 1.2 to 1 | 0.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 22.9 | 77.0 | 47.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.1 | -2.1 | -0.0 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week was a net position of -85,217 contracts in the data reported through Tuesday. This was a weekly decrease of -16,383 contracts from the previous week which had a total of -68,834 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 56.9 percent. The commercials are Bearish with a score of 33.5 percent and the small traders (not shown in chart) are Bullish with a score of 69.3 percent.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.0 | 76.2 | 13.9 |
| – Percent of Open Interest Shorts: | 13.0 | 70.8 | 12.1 |
| – Net Position: | -85,217 | 64,174 | 21,043 |
| – Gross Longs: | 72,558 | 920,966 | 167,960 |
| – Gross Shorts: | 157,775 | 856,792 | 146,917 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 56.9 | 33.5 | 69.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.6 | 12.6 | 2.6 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week was a net position of -357,415 contracts in the data reported through Tuesday. This was a weekly fall of -1,621 contracts from the previous week which had a total of -355,794 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 39.4 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 49.6 percent.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.2 | 82.2 | 10.9 |
| – Percent of Open Interest Shorts: | 31.5 | 58.1 | 8.8 |
| – Net Position: | -357,415 | 327,748 | 29,667 |
| – Gross Longs: | 70,713 | 1,118,090 | 148,948 |
| – Gross Shorts: | 428,128 | 790,342 | 119,281 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 39.4 | 75.4 | 49.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.9 | 12.8 | -13.7 |
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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