17 Dec

COT Bonds Speculators Weekly Changes led by Eurodollar & 2-Year Bonds

December 17, 2022

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 December 13th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Eurodollar & 2-Year Bonds

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

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Leading the gains for the bond markets was the Eurodollar (29,641 contracts) with the 2-Year Bonds (12,741 contracts), Ultra 10-Year Bonds (5,481 contracts), Fed Funds (4,973 contracts) and the Ultra Treasury Bonds (4,605 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-32,931 contracts), the 10-Year Bonds (-7,232 contracts) and the US Treasury Bonds (-1,377 contracts).

Some Highlights of this week’s bonds data:

  • 5-Year Bonds bets fell again this week and dropped to the most bearish level in 216-weeks, dating back to October of 2018.
  • Eurodollar bets and futures prices have been improving steadily since hitting recent lows in August
  • 2-Year Bond speculator positions have improved in three out of the past four weeks since falling to a record low bearish position on November 15th
  • The 10-Year Bond speculator bets have fallen for two straight weeks and the overall position is at the most bearish level since August 30th at a total of -376,438 contracts
Data Snapshot of Bond Market Traders | Columns Legend
Dec-13-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,223,6270-1,614,221231,847,03774-232,81653
FedFunds1,402,58238-73,8943083,13070-9,23636
2-Year2,202,60419-521,79910519,176892,62353
Long T-Bond1,185,52140-116,7384776,2663840,47285
10-Year3,822,24452-376,43815474,93078-98,49257
5-Year4,114,02158-691,5370774,022100-82,48558

 

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

COT 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 Bonds (47 percent) continues to lead the bond markets and is the only market close to the 50 percent or 3-Year midpoint.

On the downside, the 5-Year Bonds (0 percent), Ultra 10-Year Bonds (2 percent), 2-Year Bonds (10 percent) and the 10-Year Bond (15.2 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (30.5 percent) vs Fed Funds previous week (29.9 percent)
2-Year Bond (9.6 percent) vs 2-Year Bond previous week (7.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (4.2 percent)
10-Year Bond (15.2 percent) vs 10-Year Bond previous week (16.3 percent)
Ultra 10-Year Bond (2.4 percent) vs Ultra 10-Year Bond previous week (1.0 percent)
US Treasury Bond (46.6 percent) vs US Treasury Bond previous week (47.0 percent)
Ultra US Treasury Bond (35.4 percent) vs Ultra US Treasury Bond previous week (33.5 percent)
Eurodollar (23.4 percent) vs Eurodollar previous week (22.9 percent)

 

Ultra Treasury Bonds & Eurodollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (9 percent) and the Eurodollar (6 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-20 percent) leads the downside trend scores currently with the 2-Year Bonds (-12.5 percent) and the 10-Year Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-7.0 percent) vs Fed Funds previous week (-18.7 percent)
2-Year Bond (-12.5 percent) vs 2-Year Bond previous week (-27.4 percent)
5-Year Bond (-19.6 percent) vs 5-Year Bond previous week (-25.0 percent)
10-Year Bond (-11.9 percent) vs 10-Year Bond previous week (-18.5 percent)
Ultra 10-Year Bond (-4.7 percent) vs Ultra 10-Year Bond previous week (-7.2 percent)
US Treasury Bond (-7.0 percent) vs US Treasury Bond previous week (-12.6 percent)
Ultra US Treasury Bond (8.6 percent) vs Ultra US Treasury Bond previous week (-8.5 percent)
Eurodollar (6.2 percent) vs Eurodollar previous week (4.7 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -1,614,221 contracts in the data reported through Tuesday. This was a weekly boost of 29,641 contracts from the previous week which had a total of -1,643,862 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 23.4 percent. The commercials are Bullish with a score of 74.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.469.34.9
– Percent of Open Interest Shorts:29.843.78.1
– Net Position:-1,614,2211,847,037-232,816
– Gross Longs:534,8135,006,987353,101
– Gross Shorts:2,149,0343,159,950585,917
– Long to Short Ratio:0.2 to 11.6 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.474.153.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-6.67.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -73,894 contracts in the data reported through Tuesday. This was a weekly lift of 4,973 contracts from the previous week which had a total of -78,867 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 30.5 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bearish with a score of 36.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.677.52.5
– Percent of Open Interest Shorts:13.971.63.1
– Net Position:-73,89483,130-9,236
– Gross Longs:121,1741,087,39834,439
– Gross Shorts:195,0681,004,26843,675
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.570.036.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.06.411.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -521,799 contracts in the data reported through Tuesday. This was a weekly increase of 12,741 contracts from the previous week which had a total of -534,540 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 9.6 percent. The commercials are Bullish-Extreme with a score of 89.2 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.880.68.3
– Percent of Open Interest Shorts:32.557.08.2
– Net Position:-521,799519,1762,623
– Gross Longs:193,8121,774,593183,713
– Gross Shorts:715,6111,255,417181,090
– Long to Short Ratio:0.3 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.689.253.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.58.313.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -691,537 contracts in the data reported through Tuesday. This was a weekly lowering of -32,931 contracts from the previous week which had a total of -658,606 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 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 58.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.67.4
– Percent of Open Interest Shorts:22.766.79.4
– Net Position:-691,537774,022-82,485
– Gross Longs:241,3453,519,766304,790
– Gross Shorts:932,8822,745,744387,275
– Long to Short Ratio:0.3 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.058.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.616.32.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -376,438 contracts in the data reported through Tuesday. This was a weekly decrease of -7,232 contracts from the previous week which had a total of -369,206 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 with a score of 78.3 percent and the small traders (not shown in chart) are Bullish with a score of 56.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.98.8
– Percent of Open Interest Shorts:21.764.411.4
– Net Position:-376,438474,930-98,492
– Gross Longs:452,1272,938,306336,813
– Gross Shorts:828,5652,463,376435,305
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.278.356.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.915.6-12.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -101,471 contracts in the data reported through Tuesday. This was a weekly lift of 5,481 contracts from the previous week which had a total of -106,952 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 2.4 percent. The commercials are Bullish-Extreme with a score of 90.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.411.0
– Percent of Open Interest Shorts:18.962.817.6
– Net Position:-101,471195,085-93,614
– Gross Longs:169,2951,094,617158,109
– Gross Shorts:270,766899,532251,723
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.490.364.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.78.7-10.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -116,738 contracts in the data reported through Tuesday. This was a weekly fall of -1,377 contracts from the previous week which had a total of -115,361 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 46.6 percent. The commercials are Bearish with a score of 37.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.179.214.9
– Percent of Open Interest Shorts:14.972.711.4
– Net Position:-116,73876,26640,472
– Gross Longs:60,004938,513176,212
– Gross Shorts:176,742862,247135,740
– Long to Short Ratio:0.3 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.637.884.7
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.04.18.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -367,168 contracts in the data reported through Tuesday. This was a weekly lift of 4,605 contracts from the previous week which had a total of -371,773 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 35.4 percent. The commercials are Bullish with a score of 64.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.283.711.6
– Percent of Open Interest Shorts:29.962.07.7
– Net Position:-367,168310,75856,410
– Gross Longs:59,9081,194,785165,771
– Gross Shorts:427,076884,027109,361
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.464.578.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.6-13.33.4

 

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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