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 October 18th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.
Eurodollar, Fed Funds & 10-Year lead Weekly Speculator Changes
The COT bond market speculator bets were evenly mixed 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 weekly gains for the bond markets was the Eurodollar (66,141 contracts) with the Fed Funds (28,633 contracts), the 10-Year Bond (26,725 contracts) and the 2-Year Bond (18,174 contracts) also showing a positive week.
The bond markets leading the weekly declines in speculator bets this week was the Ultra US Bond (-4,286 contracts) with the 5-Year Bond (-3,657 contracts), the Long US Bond (-2,547 contracts) and the Ultra 10-Year (-880 contracts) also registering lower bets on the week.
| Oct-18-2022 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| Eurodollar | 8,072,670 | 0 | -2,077,075 | 15 | 2,305,875 | 82 | -228,800 | 54 |
| FedFunds | 1,649,078 | 53 | 29,521 | 43 | -20,827 | 57 | -8,694 | 37 |
| 2-Year | 2,046,001 | 12 | -335,512 | 15 | 404,181 | 92 | -68,669 | 21 |
| Long T-Bond | 1,219,645 | 47 | -86,339 | 56 | 53,148 | 30 | 33,191 | 79 |
| 10-Year | 3,843,164 | 54 | -313,438 | 25 | 371,577 | 66 | -58,139 | 66 |
| 5-Year | 4,000,027 | 51 | -487,577 | 12 | 586,839 | 85 | -99,262 | 54 |
Strength Scores led by US Treasury Bond
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 (56.5 percent) leads the bonds category for the week and is the only market above 50 percent or above the 3-Year midpoint.
On the downside, the Ultra 10-Year Bond (8.9 percent), 5-Year Bond (11.8 percent), 2-Year Bond (14.5 percent) and the Eurodollar (14.9 percent) came in at the lowest strength levels and are all in extreme bearish levels (below 20 percent).
Strength Statistics:
Fed Funds (43.3 percent) vs Fed Funds previous week (39.7 percent)
2-Year Bond (14.5 percent) vs 2-Year Bond previous week (10.8 percent)
5-Year Bond (11.8 percent) vs 5-Year Bond previous week (12.3 percent)
10-Year Bond (24.8 percent) vs 10-Year Bond previous week (20.7 percent)
Ultra 10-Year Bond (8.9 percent) vs Ultra 10-Year Bond previous week (9.1 percent)
US Treasury Bond (56.5 percent) vs US Treasury Bond previous week (57.3 percent)
Ultra US Treasury Bond (40.6 percent) vs Ultra US Treasury Bond previous week (42.3 percent)
Eurodollar (14.9 percent) vs Eurodollar previous week (13.7 percent)
Eurodollar & 10-Year Bond top the Strength Trends
Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (13.0 percent) leads the past six weeks trends for bonds this week. The 10-Year Bond (9.6 percent), the 5-Year Bond (2.8 percent), Fed Funds (1.3 percent) and the Ultra US Treasury Bond (1.2 percent) fill out the other positive movers in the latest trends data.
The Ultra 10-Year Bond (-14.0 percent) leads the downside trend scores currently while the next markets with lower trend scores were the 2-Year Bond (-1.8 percent) and the US Treasury Bond (-0.4 percent).
Strength Trend Statistics:
Fed Funds (1.3 percent) vs Fed Funds previous week (-10.4 percent)
2-Year Bond (-1.8 percent) vs 2-Year Bond previous week (-14.6 percent)
5-Year Bond (2.8 percent) vs 5-Year Bond previous week (12.3 percent)
10-Year Bond (9.6 percent) vs 10-Year Bond previous week (15.2 percent)
Ultra 10-Year Bond (-14.0 percent) vs Ultra 10-Year Bond previous week (-15.0 percent)
US Treasury Bond (-0.4 percent) vs US Treasury Bond previous week (-4.9 percent)
Ultra US Treasury Bond (1.2 percent) vs Ultra US Treasury Bond previous week (2.3 percent)
Eurodollar (13.0 percent) vs Eurodollar previous week (13.2 percent)
Individual Bond Markets:
3-Month Eurodollars Futures:
The 3-Month Eurodollars large speculator standing this week came in at a net position of -2,077,075 contracts in the data reported through Tuesday. This was a weekly lift of 66,141 contracts from the previous week which had a total of -2,143,216 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 14.9 percent. The commercials are Bullish-Extreme with a score of 82.3 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.1 | 68.5 | 4.8 |
| – Percent of Open Interest Shorts: | 33.9 | 40.0 | 7.6 |
| – Net Position: | -2,077,075 | 2,305,875 | -228,800 |
| – Gross Longs: | 657,218 | 5,533,303 | 387,561 |
| – Gross Shorts: | 2,734,293 | 3,227,428 | 616,361 |
| – Long to Short Ratio: | 0.2 to 1 | 1.7 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 14.9 | 82.3 | 54.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 13.0 | -15.0 | 29.8 |
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week came in at a net position of 29,521 contracts in the data reported through Tuesday. This was a weekly lift of 28,633 contracts from the previous week which had a total of 888 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 43.3 percent. The commercials are Bullish with a score of 57.4 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 percent.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.4 | 71.3 | 1.8 |
| – Percent of Open Interest Shorts: | 11.6 | 72.5 | 2.3 |
| – Net Position: | 29,521 | -20,827 | -8,694 |
| – Gross Longs: | 220,365 | 1,175,230 | 29,854 |
| – Gross Shorts: | 190,844 | 1,196,057 | 38,548 |
| – Long to Short Ratio: | 1.2 to 1 | 1.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 43.3 | 57.4 | 37.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.3 | -1.4 | 2.1 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week came in at a net position of -335,512 contracts in the data reported through Tuesday. This was a weekly gain of 18,174 contracts from the previous week which had a total of -353,686 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 14.5 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish with a score of 21.4 percent.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.0 | 83.6 | 7.8 |
| – Percent of Open Interest Shorts: | 23.4 | 63.8 | 11.2 |
| – Net Position: | -335,512 | 404,181 | -68,669 |
| – Gross Longs: | 143,755 | 1,709,706 | 160,055 |
| – Gross Shorts: | 479,267 | 1,305,525 | 228,724 |
| – 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): | 14.5 | 92.3 | 21.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.8 | -1.7 | 7.9 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week came in at a net position of -487,577 contracts in the data reported through Tuesday. This was a weekly fall of -3,657 contracts from the previous week which had a total of -483,920 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 11.8 percent. The commercials are Bullish-Extreme with a score of 84.8 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.5 | 85.9 | 7.8 |
| – Percent of Open Interest Shorts: | 17.7 | 71.2 | 10.3 |
| – Net Position: | -487,577 | 586,839 | -99,262 |
| – Gross Longs: | 219,782 | 3,434,617 | 311,325 |
| – Gross Shorts: | 707,359 | 2,847,778 | 410,587 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 11.8 | 84.8 | 53.8 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.8 | -8.8 | 14.9 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week came in at a net position of -313,438 contracts in the data reported through Tuesday. This was a weekly increase of 26,725 contracts from the previous week which had a total of -340,163 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 24.8 percent. The commercials are Bullish with a score of 66.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.3 percent.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.5 | 78.0 | 9.0 |
| – Percent of Open Interest Shorts: | 18.7 | 68.3 | 10.6 |
| – Net Position: | -313,438 | 371,577 | -58,139 |
| – Gross Longs: | 405,265 | 2,997,874 | 347,408 |
| – Gross Shorts: | 718,703 | 2,626,297 | 405,547 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 24.8 | 66.0 | 66.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 9.6 | -14.1 | 13.2 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week came in at a net position of -76,651 contracts in the data reported through Tuesday. This was a weekly fall of -880 contracts from the previous week which had a total of -75,771 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 8.9 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bullish with a score of 77.4 percent.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.1 | 80.6 | 11.6 |
| – Percent of Open Interest Shorts: | 12.8 | 69.4 | 17.1 |
| – Net Position: | -76,651 | 151,326 | -74,675 |
| – Gross Longs: | 96,245 | 1,087,382 | 155,853 |
| – Gross Shorts: | 172,896 | 936,056 | 230,528 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 8.9 | 79.1 | 77.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.0 | 2.1 | 30.1 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week came in at a net position of -86,339 contracts in the data reported through Tuesday. This was a weekly reduction of -2,547 contracts from the previous week which had a total of -83,792 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 56.5 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.4 | 78.0 | 14.5 |
| – Percent of Open Interest Shorts: | 13.5 | 73.6 | 11.8 |
| – Net Position: | -86,339 | 53,148 | 33,191 |
| – Gross Longs: | 78,416 | 951,261 | 176,693 |
| – Gross Shorts: | 164,755 | 898,113 | 143,502 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 56.5 | 29.6 | 78.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.4 | -3.9 | 9.6 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -354,518 contracts in the data reported through Tuesday. This was a weekly lowering of -4,286 contracts from the previous week which had a total of -350,232 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 40.6 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish with a score of 68.7 percent.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.3 | 82.3 | 11.1 |
| – Percent of Open Interest Shorts: | 31.0 | 60.7 | 7.9 |
| – Net Position: | -354,518 | 309,624 | 44,894 |
| – Gross Longs: | 90,476 | 1,179,562 | 158,799 |
| – Gross Shorts: | 444,994 | 869,938 | 113,905 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 40.6 | 63.9 | 68.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.2 | -9.6 | 12.4 |
Article By InvestMacro – Receive our weekly COT Newsletter
*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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