By InvestMacro
Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).
The latest COT data is updated through Tuesday September 13th and shows a quick view of how large market participants (for-profit speculators and commercial traders) were positioned in the futures markets.
Weekly Speculator Changes led by Fed Funds and Ultra 10-Year Bonds
The COT bond market speculator bets were mixed evenly this week as four out of the eight bond markets we cover had higher positioning this week while four markets had lower contracts.
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Leading the gains for the bond markets was the Fed Funds (29,311 contracts) with the 10-Year Bond (23,388 contracts), the Ultra 10-Year (15,926 contracts) and the Ultra US Bond (10,818 contracts) also showing positive weeks.
The bond market leading the declines in speculator bets this week was the Eurodollar (-94,668 contracts) with the 2-Year Bond (-31,439 contracts), the 5-Year Bond (-15,568 contracts) and the Long US Bond (-9,754 contracts) also recording lower bets on the week.
| Sep-13-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| Eurodollar | 9,494,359 | 13 | -2,877,322 | 0 | 3,227,082 | 99 | -349,760 | 27 |
| FedFunds | 1,585,427 | 48 | 47,961 | 46 | -33,149 | 56 | -14,812 | 22 |
| 2-Year | 2,008,780 | 10 | -358,181 | 10 | 436,181 | 100 | -78,000 | 16 |
| Long T-Bond | 1,225,024 | 49 | -94,971 | 54 | 66,528 | 34 | 28,443 | 75 |
| 10-Year | 3,639,621 | 39 | -352,889 | 19 | 462,613 | 77 | -109,724 | 54 |
| 5-Year | 3,982,527 | 50 | -521,459 | 7 | 676,949 | 96 | -155,490 | 38 |
US Treasury Bond at top of Bond Market 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 (53.7 percent) led the bonds markets and is the only market above its 3-Year midpoint (above 50 percent). The Fed Funds (45.5 percent) and the Ultra US Treasury Bond (43.8 percent) come in as the next highest bond market in strength scores.
On the downside, the Eurodollar (0.2 percent), the 5-Year Bond (6.7 percent), the 2-Year Bond (9.9 percent) and the 10-Year Bond (18.8 percent) come in as the lowest markets and are all in bearish extreme positions (below 20 percent).
Strength Statistics:
Fed Funds (45.5 percent) vs Fed Funds previous week (41.9 percent)
2-Year Bond (9.9 percent) vs 2-Year Bond previous week (16.3 percent)
5-Year Bond (6.7 percent) vs 5-Year Bond previous week (9.0 percent)
10-Year Bond (18.8 percent) vs 10-Year Bond previous week (15.2 percent)
Ultra 10-Year Bond (27.0 percent) vs Ultra 10-Year Bond previous week (22.9 percent)
US Treasury Bond (53.7 percent) vs US Treasury Bond previous week (56.9 percent)
Ultra US Treasury Bond (43.8 percent) vs Ultra US Treasury Bond previous week (39.4 percent)
Eurodollar (0.2 percent) vs Eurodollar previous week (1.9 percent)
Strength Trends show 2-Year Bond on sharp downtrend
Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bond (7.7 percent) leads the past six weeks trends for bonds this week. The Fed Funds (6.3 percent) and the Ultra US Treasury Bond (2.3 percent) are the only other positive movers in the latest trends data.
The 2-Year Bond (-52.2 percent) leads the downside trend scores currently while the next markets with lower trend scores were the 5-Year Bond (-28.1 percent), US Treasury Bond (-12.7 percent) and the 10-Year Bond (-8.7 percent).
Strength Trend Statistics:
Fed Funds (6.3 percent) vs Fed Funds previous week (-15.9 percent)
2-Year Bond (-52.2 percent) vs 2-Year Bond previous week (-47.8 percent)
5-Year Bond (-28.1 percent) vs 5-Year Bond previous week (-28.9 percent)
10-Year Bond (-8.7 percent) vs 10-Year Bond previous week (-26.8 percent)
Ultra 10-Year Bond (7.7 percent) vs Ultra 10-Year Bond previous week (2.1 percent)
US Treasury Bond (-12.7 percent) vs US Treasury Bond previous week (-12.6 percent)
Ultra US Treasury Bond (2.3 percent) vs Ultra US Treasury Bond previous week (-2.9 percent)
Eurodollar (-1.7 percent) vs Eurodollar previous week (-1.8 percent)
Individual Markets:
3-Month Eurodollars Futures:
The 3-Month Eurodollars large speculator standing this week totaled a net position of -2,877,322 contracts in the data reported through Tuesday. This was a weekly decrease of -94,668 contracts from the previous week which had a total of -2,782,654 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 0.2 percent. The commercials are Bullish-Extreme with a score of 98.7 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.4 | 71.4 | 4.4 |
| – Percent of Open Interest Shorts: | 36.8 | 37.4 | 8.1 |
| – Net Position: | -2,877,322 | 3,227,082 | -349,760 |
| – Gross Longs: | 612,295 | 6,777,674 | 415,183 |
| – Gross Shorts: | 3,489,617 | 3,550,592 | 764,943 |
| – 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): | 0.2 | 98.7 | 27.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.7 | 1.6 | 0.3 |
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week totaled a net position of 47,961 contracts in the data reported through Tuesday. This was a weekly increase of 29,311 contracts from the previous week which had a total of 18,650 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 45.5 percent. The commercials are Bullish with a score of 55.9 percent and the small traders (not shown in chart) are Bearish with a score of 22.1 percent.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.4 | 70.0 | 2.4 |
| – Percent of Open Interest Shorts: | 11.4 | 72.1 | 3.3 |
| – Net Position: | 47,961 | -33,149 | -14,812 |
| – Gross Longs: | 228,568 | 1,110,141 | 37,571 |
| – Gross Shorts: | 180,607 | 1,143,290 | 52,383 |
| – Long to Short Ratio: | 1.3 to 1 | 1.0 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 45.5 | 55.9 | 22.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.3 | -5.7 | -8.5 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week totaled a net position of -358,181 contracts in the data reported through Tuesday. This was a weekly lowering of -31,439 contracts from the previous week which had a total of -326,742 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 9.9 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 16.1 percent.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.0 | 85.6 | 7.1 |
| – Percent of Open Interest Shorts: | 22.8 | 63.9 | 11.0 |
| – Net Position: | -358,181 | 436,181 | -78,000 |
| – Gross Longs: | 100,196 | 1,720,285 | 142,700 |
| – Gross Shorts: | 458,377 | 1,284,104 | 220,700 |
| – 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): | 9.9 | 100.0 | 16.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -52.2 | 48.1 | 2.2 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week totaled a net position of -521,459 contracts in the data reported through Tuesday. This was a weekly decrease of -15,568 contracts from the previous week which had a total of -505,891 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 6.7 percent. The commercials are Bullish-Extreme with a score of 95.8 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 percent.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.9 | 84.5 | 7.5 |
| – Percent of Open Interest Shorts: | 20.0 | 67.5 | 11.4 |
| – Net Position: | -521,459 | 676,949 | -155,490 |
| – Gross Longs: | 276,668 | 3,365,483 | 299,655 |
| – Gross Shorts: | 798,127 | 2,688,534 | 455,145 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 6.7 | 95.8 | 38.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -28.1 | 30.0 | -16.6 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week totaled a net position of -352,889 contracts in the data reported through Tuesday. This was a weekly gain of 23,388 contracts from the previous week which had a total of -376,277 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 18.8 percent. The commercials are Bullish with a score of 76.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.2 | 79.8 | 9.2 |
| – Percent of Open Interest Shorts: | 17.9 | 67.1 | 12.3 |
| – Net Position: | -352,889 | 462,613 | -109,724 |
| – Gross Longs: | 297,034 | 2,903,201 | 336,640 |
| – Gross Shorts: | 649,923 | 2,440,588 | 446,364 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 18.8 | 76.8 | 54.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.7 | 9.5 | -5.4 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week totaled a net position of -6,786 contracts in the data reported through Tuesday. This was a weekly lift of 15,926 contracts from the previous week which had a total of -22,712 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 27.0 percent. The commercials are Bullish with a score of 69.8 percent and the small traders (not shown in chart) are Bullish with a score of 55.3 percent.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.3 | 79.0 | 9.2 |
| – Percent of Open Interest Shorts: | 9.8 | 70.6 | 17.0 |
| – Net Position: | -6,786 | 114,915 | -108,129 |
| – Gross Longs: | 128,433 | 1,087,797 | 126,105 |
| – Gross Shorts: | 135,219 | 972,882 | 234,234 |
| – Long to Short Ratio: | 0.9 to 1 | 1.1 to 1 | 0.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 27.0 | 69.8 | 55.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 7.7 | -9.6 | 5.3 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week totaled a net position of -94,971 contracts in the data reported through Tuesday. This was a weekly fall of -9,754 contracts from the previous week which had a total of -85,217 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 53.7 percent. The commercials are Bearish with a score of 34.3 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 percent.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.0 | 76.6 | 14.0 |
| – Percent of Open Interest Shorts: | 13.8 | 71.1 | 11.7 |
| – Net Position: | -94,971 | 66,528 | 28,443 |
| – Gross Longs: | 73,918 | 937,965 | 171,546 |
| – Gross Shorts: | 168,889 | 871,437 | 143,103 |
| – Long to Short Ratio: | 0.4 to 1 | 1.1 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 53.7 | 34.3 | 75.2 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.7 | 8.3 | 12.5 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -346,597 contracts in the data reported through Tuesday. This was a weekly gain of 10,818 contracts from the previous week which had a total of -357,415 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 43.8 percent. The commercials are Bullish with a score of 67.0 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.8 | 82.1 | 10.8 |
| – Percent of Open Interest Shorts: | 30.9 | 59.5 | 8.2 |
| – Net Position: | -346,597 | 310,612 | 35,985 |
| – Gross Longs: | 79,375 | 1,129,862 | 148,787 |
| – Gross Shorts: | 425,972 | 819,250 | 112,802 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 43.8 | 67.0 | 54.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.3 | 1.3 | -5.9 |
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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