25 Feb

COT Bonds: January 31st data shows Speculators cut back on their bond bets

February 25, 2023

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday January 31st and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

*** This data is almost a month old because the CFTC up-to-date data has been delayed due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). This hack of ION has created a problem for the large trader positions to be reported and reconciled. The CFTC states that they will be back-filling the data over the next couple weeks and will get the data back up to date.

Weekly Speculator Changes led by Fed Funds

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The COT bond market speculator bets were sharply lower for that week as just one out of the eight bond markets we cover had higher positioning while the other seven markets had lower speculator contracts.

Leading the gains for the bond markets was the Fed Funds with a gain of 15,702 contracts.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-100,142 contracts), the 5-Year Bonds (-94,219 contracts), Ultra Treasury Bonds (-17,997 contracts), Ultra 10-Year Bonds (-7,222 contracts), US Treasury Bonds (-3,260 contracts), the Eurodollar (-12,402 contracts) and the 10-Year Bonds (-13,650 contracts) also registering lower bets through January 31st.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-31-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,879,9180-1,026,275341,226,67963-200,40460
FedFunds1,889,65279-20,1283750,48766-30,3590
2-Year2,428,70329-577,1651552,8829424,28363
Long T-Bond1,226,43048-199,07620172,8357226,24173
10-Year4,151,85375-555,4710623,94396-68,47264
5-Year4,177,91961-732,9560722,9459410,01184

 

Strength Scores led by Fed Funds & 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 Fed Funds (37 percent) and the Eurodollar (34 percent) led the bond markets for that week. The US Treasury Bonds (20 percent) came in as the next highest in the weekly strength scores.

On the downside, the Ultra Treasury Bonds (0 percent), 5-Year Bonds (0 percent), Ultra 10-Year Bonds (0 percent), 10-Year Bond (0.0 percent), 2-Year Bond (1.4 percent) and the US Treasury Bond (19.8 percent) came in with the lowest strength levels and all were in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (37.1 percent) vs Fed Funds previous week (35.2 percent)
2-Year Bond (1.4 percent) vs 2-Year Bond previous week (16.2 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (1.9 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.8 percent)
US Treasury Bond (19.8 percent) vs US Treasury Bond previous week (20.9 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (8.0 percent)
Eurodollar (34.3 percent) vs Eurodollar previous week (34.5 percent)

 

Fed Funds & 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 Fed Funds (8 percent) and the Eurodollar (2 percent) led the past six weeks trends for bonds.

The Ultra Treasury Bonds (-32 percent) led the downside trend scores with the 10-Year Bonds (-32 percent) and the US Treasury Bonds (-19 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (8.1 percent) vs Fed Funds previous week (4.7 percent)
2-Year Bond (-10.5 percent) vs 2-Year Bond previous week (6.6 percent)
5-Year Bond (-8.5 percent) vs 5-Year Bond previous week (6.4 percent)
10-Year Bond (-32.4 percent) vs 10-Year Bond previous week (-22.4 percent)
Ultra 10-Year Bond (-5.8 percent) vs Ultra 10-Year Bond previous week (-6.0 percent)
US Treasury Bond (-18.8 percent) vs US Treasury Bond previous week (-25.7 percent)
Ultra US Treasury Bond (-31.9 percent) vs Ultra US Treasury Bond previous week (-21.5 percent)
Eurodollar (1.6 percent) vs Eurodollar previous week (11.1 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing for the week recorded a net position of -1,026,275 contracts in the data reported through Tuesday January 31st. This was a weekly fall of -12,402 contracts from the previous week which had a total of -1,013,873 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 34.3 percent. The commercials are Bullish with a score of 63.1 percent and the small traders (not shown in chart) are Bullish with a score of 60.4 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.268.44.9
– Percent of Open Interest Shorts:25.647.68.3
– Net Position:-1,026,2751,226,679-200,404
– Gross Longs:480,3574,023,635289,015
– Gross Shorts:1,506,6322,796,956489,419
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.363.160.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.6-1.83.7

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing for the week recorded a net position of -20,128 contracts in the data reported. This was a weekly advance of 15,702 contracts from the previous week which had a total of -35,830 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 37.1 percent. The commercials are Bullish with a score of 66.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.875.91.8
– Percent of Open Interest Shorts:10.973.33.4
– Net Position:-20,12850,487-30,359
– Gross Longs:185,3581,435,04234,298
– Gross Shorts:205,4861,384,55564,657
– Long to Short Ratio:0.9 to 11.0 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.166.00.0
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.1-5.1-55.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing for the week recorded a net position of -577,165 contracts in the data reported. This was a weekly decline of -100,142 contracts from the previous week which had a total of -477,023 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 1.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 62.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.783.58.2
– Percent of Open Interest Shorts:30.560.77.2
– Net Position:-577,165552,88224,283
– Gross Longs:163,8602,027,636198,658
– Gross Shorts:741,0251,474,754174,375
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.494.362.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.56.612.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing for the week recorded a net position of -732,956 contracts in the data reported. This was a weekly decrease of -94,219 contracts from the previous week which had a total of -638,737 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 94.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.484.78.1
– Percent of Open Interest Shorts:22.967.47.9
– Net Position:-732,956722,94510,011
– Gross Longs:224,9853,538,717340,298
– Gross Shorts:957,9412,815,772330,287
– Long to Short Ratio:0.2 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.094.283.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.50.617.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing for the week recorded a net position of -555,471 contracts in the data reported. This was a weekly decrease of -13,650 contracts from the previous week which had a total of -541,821 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 96.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.979.88.4
– Percent of Open Interest Shorts:22.264.810.1
– Net Position:-555,471623,943-68,472
– Gross Longs:367,7333,313,634349,227
– Gross Shorts:923,2042,689,691417,699
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.096.063.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-32.423.79.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing for the week recorded a net position of -133,133 contracts in the data reported. This was a weekly fall of -7,222 contracts from the previous week which had a total of -125,911 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 60.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.278.410.4
– Percent of Open Interest Shorts:19.362.417.3
– Net Position:-133,133233,431-100,298
– Gross Longs:148,7411,144,072152,412
– Gross Shorts:281,874910,641252,710
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.060.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.89.8-9.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing for the week recorded a net position of -199,076 contracts in the data reported. This was a weekly fall of -3,260 contracts from the previous week which had a total of -195,816 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 19.8 percent. The commercials are Bullish with a score of 72.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.4 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.880.314.1
– Percent of Open Interest Shorts:21.066.211.9
– Net Position:-199,076172,83526,241
– Gross Longs:58,575984,869172,662
– Gross Shorts:257,651812,034146,421
– Long to Short Ratio:0.2 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.872.273.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.823.6-6.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing for the week recorded a net position of -433,360 contracts in the data reported. This was a weekly fall of -17,997 contracts from the previous week which had a total of -415,363 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 66.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.485.211.2
– Percent of Open Interest Shorts:33.358.08.5
– Net Position:-433,360393,87839,482
– Gross Longs:48,9541,234,463162,321
– Gross Shorts:482,314840,585122,839
– Long to Short Ratio:0.1 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.066.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.939.8-8.5

 

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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