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 January 3rd 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 2-Year Bond & Eurodollar
The COT bond market speculator bets were mixed evenly this week as four out of the eight bond markets we cover had higher positioning while the other four markets had lower speculator contracts.
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Leading the gains for the bond markets was the 2-Year Bonds (29,137 contracts) with the Eurodollar (6,950 contracts), Ultra Treasury Bonds (4,009 contracts) and the 5-Year Bonds (2,609 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-39,393 contracts), the Ultra 10-Year Bonds (-30,091 contracts), the US Treasury Bonds (-18,194 contracts) and the Fed Funds (-14,154 contracts) also registering lower bets on the week.
| Jan-03-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| Eurodollar | 6,012,543 | 1 | -983,761 | 35 | 1,179,506 | 62 | -195,745 | 61 |
| FedFunds | 1,306,518 | 30 | -108,401 | 26 | 119,440 | 74 | -11,039 | 32 |
| 2-Year | 2,219,812 | 20 | -521,508 | 10 | 524,938 | 90 | -3,430 | 51 |
| Long T-Bond | 1,198,425 | 42 | -169,258 | 30 | 142,676 | 61 | 26,582 | 74 |
| 10-Year | 3,851,091 | 54 | -383,602 | 14 | 467,443 | 77 | -83,841 | 60 |
| 5-Year | 4,213,262 | 63 | -652,919 | 5 | 709,058 | 93 | -56,139 | 66 |
Strength Scores led by Ultra Treasury Bonds & Eurodollar
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 Ultra Treasury Bonds (36 percent) and the Eurodollar (35 percent) lead the bond markets this week. The US Treasury Bonds (30 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Ultra 10-Year Bonds (0 percent) comes in at the lowest strength level currently followed by the 5-Year Bonds (5 percent), the 2-Year Bonds (10 percent) and the 10-Year Bonds (14.1 percent). These markets are all in Extreme-Bearish territory with scores below 20 percent.
Strength Statistics:
Fed Funds (26.2 percent) vs Fed Funds previous week (28.0 percent)
2-Year Bond (9.6 percent) vs 2-Year Bond previous week (5.3 percent)
5-Year Bond (4.9 percent) vs 5-Year Bond previous week (4.6 percent)
10-Year Bond (14.1 percent) vs 10-Year Bond previous week (20.1 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (7.8 percent)
US Treasury Bond (29.5 percent) vs US Treasury Bond previous week (35.4 percent)
Ultra US Treasury Bond (36.3 percent) vs Ultra US Treasury Bond previous week (34.7 percent)
Eurodollar (35.0 percent) vs Eurodollar previous week (34.9 percent)
Eurodollar & 2-Year Bonds top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (16 percent) and the 2-Year Bonds (7 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (5 percent) is the next highest positive movers in the latest trends data.
The US Treasury Bonds (-26 percent) leads the downside trend scores currently with the 5-Year Bonds (-16 percent) and the Fed Funds (-15 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-14.8 percent) vs Fed Funds previous week (-8.4 percent)
2-Year Bond (6.7 percent) vs 2-Year Bond previous week (5.3 percent)
5-Year Bond (-16.4 percent) vs 5-Year Bond previous week (-13.7 percent)
10-Year Bond (-9.5 percent) vs 10-Year Bond previous week (-0.2 percent)
Ultra 10-Year Bond (-2.1 percent) vs Ultra 10-Year Bond previous week (-1.1 percent)
US Treasury Bond (-25.6 percent) vs US Treasury Bond previous week (-17.4 percent)
Ultra US Treasury Bond (4.9 percent) vs Ultra US Treasury Bond previous week (3.6 percent)
Eurodollar (15.5 percent) vs Eurodollar previous week (18.0 percent)
Individual Bond Markets:
3-Month Eurodollars Futures:
The 3-Month Eurodollars large speculator standing this week totaled a net position of -983,761 contracts in the data reported through Tuesday. This was a weekly gain of 6,950 contracts from the previous week which had a total of -990,711 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 35.0 percent. The commercials are Bullish with a score of 62.2 percent and the small traders (not shown in chart) are Bullish with a score of 61.4 percent.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.3 | 69.1 | 5.1 |
| – Percent of Open Interest Shorts: | 24.6 | 49.5 | 8.4 |
| – Net Position: | -983,761 | 1,179,506 | -195,745 |
| – Gross Longs: | 497,428 | 4,154,503 | 307,951 |
| – Gross Shorts: | 1,481,189 | 2,974,997 | 503,696 |
| – Long to Short Ratio: | 0.3 to 1 | 1.4 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 35.0 | 62.2 | 61.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.5 | -16.5 | 18.7 |
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week totaled a net position of -108,401 contracts in the data reported through Tuesday. This was a weekly decline of -14,154 contracts from the previous week which had a total of -94,247 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 26.2 percent. The commercials are Bullish with a score of 74.4 percent and the small traders (not shown in chart) are Bearish with a score of 31.5 percent.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.4 | 79.1 | 2.5 |
| – Percent of Open Interest Shorts: | 15.7 | 70.0 | 3.4 |
| – Net Position: | -108,401 | 119,440 | -11,039 |
| – Gross Longs: | 97,128 | 1,033,784 | 32,892 |
| – Gross Shorts: | 205,529 | 914,344 | 43,931 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 26.2 | 74.4 | 31.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.8 | 14.9 | -7.0 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week totaled a net position of -521,508 contracts in the data reported through Tuesday. This was a weekly advance of 29,137 contracts from the previous week which had a total of -550,645 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 90.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.5 percent.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.0 | 81.2 | 8.7 |
| – Percent of Open Interest Shorts: | 31.5 | 57.5 | 8.8 |
| – Net Position: | -521,508 | 524,938 | -3,430 |
| – Gross Longs: | 178,437 | 1,801,839 | 192,701 |
| – Gross Shorts: | 699,945 | 1,276,901 | 196,131 |
| – Long to Short Ratio: | 0.3 to 1 | 1.4 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 9.6 | 90.1 | 50.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.7 | -9.0 | 6.4 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week totaled a net position of -652,919 contracts in the data reported through Tuesday. This was a weekly gain of 2,609 contracts from the previous week which had a total of -655,528 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 4.9 percent. The commercials are Bullish-Extreme with a score of 92.7 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 percent.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.9 | 84.3 | 7.5 |
| – Percent of Open Interest Shorts: | 22.4 | 67.5 | 8.9 |
| – Net Position: | -652,919 | 709,058 | -56,139 |
| – Gross Longs: | 290,221 | 3,553,482 | 317,117 |
| – Gross Shorts: | 943,140 | 2,844,424 | 373,256 |
| – 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): | 4.9 | 92.7 | 65.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -16.4 | 12.3 | 5.7 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week totaled a net position of -383,602 contracts in the data reported through Tuesday. This was a weekly decline of -39,393 contracts from the previous week which had a total of -344,209 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 14.1 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.2 percent.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.5 | 78.0 | 8.9 |
| – Percent of Open Interest Shorts: | 20.5 | 65.8 | 11.1 |
| – Net Position: | -383,602 | 467,443 | -83,841 |
| – Gross Longs: | 405,781 | 3,003,300 | 343,068 |
| – Gross Shorts: | 789,383 | 2,535,857 | 426,909 |
| – 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): | 14.1 | 77.4 | 60.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -9.5 | 12.3 | -9.7 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week totaled a net position of -113,357 contracts in the data reported through Tuesday. This was a weekly lowering of -30,091 contracts from the previous week which had a total of -83,266 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 93.1 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 percent.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.7 | 78.5 | 10.9 |
| – Percent of Open Interest Shorts: | 17.6 | 64.1 | 17.4 |
| – Net Position: | -113,357 | 205,988 | -92,631 |
| – Gross Longs: | 137,564 | 1,117,231 | 154,908 |
| – Gross Shorts: | 250,921 | 911,243 | 247,539 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 93.1 | 65.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.1 | 2.5 | -1.0 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week totaled a net position of -169,258 contracts in the data reported through Tuesday. This was a weekly reduction of -18,194 contracts from the previous week which had a total of -151,064 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 29.5 percent. The commercials are Bullish with a score of 61.5 percent and the small traders (not shown in chart) are Bullish with a score of 73.7 percent.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 4.5 | 80.3 | 14.2 |
| – Percent of Open Interest Shorts: | 18.7 | 68.4 | 12.0 |
| – Net Position: | -169,258 | 142,676 | 26,582 |
| – Gross Longs: | 54,314 | 962,504 | 170,139 |
| – Gross Shorts: | 223,572 | 819,828 | 143,557 |
| – Long to Short Ratio: | 0.2 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 29.5 | 61.5 | 73.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.6 | 34.7 | -14.6 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -364,894 contracts in the data reported through Tuesday. This was a weekly rise of 4,009 contracts from the previous week which had a total of -368,903 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 36.3 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bullish with a score of 69.4 percent.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 4.6 | 83.4 | 11.8 |
| – Percent of Open Interest Shorts: | 30.4 | 60.8 | 8.5 |
| – Net Position: | -364,894 | 319,175 | 45,719 |
| – Gross Longs: | 65,262 | 1,180,797 | 166,521 |
| – Gross Shorts: | 430,156 | 861,622 | 120,802 |
| – 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): | 36.3 | 68.9 | 69.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 4.9 | -2.2 | -6.5 |
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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