Bonds Speculators push their 5-Year Bond bets to most bearish on record

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 April 25th 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 Fed Funds & 2-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (28,607 contracts) with the Fed Funds (28,111 contracts), the US Treasury Bonds (19,560 contracts), the Ultra 10-Year Bonds (15,667 contracts), the Eurodollar (8,395 contracts) and the Ultra Treasury Bonds (1,016 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-114,786 contracts), the SOFR 3-Months (-89,967 contracts) and the 10-Year Bonds (-60,180 contracts) seeing lower bets on the week.

Speculators push their 5-Year Bond bets to most bearish on record

Highlighting the COT bond’s data this week is the historic weakness in the 5-Year Bonds speculator net contracts. Large speculative 5-Year Bond positions dropped sharply this week by over -114,000 net contracts, marking the largest decline in 20 weeks and have now decreased in four out of the past six weeks. The 5-Year net positions have fallen by a total of -312,076 contracts over the past six-week period, going from a total of -557,212 contracts on March 14th to a total net position of -869,288 contracts this week.

This bearishness has pushed the net position to the most bearish level in history, according to CFTC data that goes back to 1988. The previous record bearish position was a total of -867,556 contracts that took place on August 7th of 2018 and coincided with an almost exact bottom in the 5-Year Bond futures price (see image below comparing the price on dates of record bearish levels).

The 5-Year Bond futures price has not followed along lately with the extreme bearishness of the speculators in this case and has potentially already bottomed with a low of 105.14 in October and a more recent dip to 106.02 in March. The 5-Year futures closed this week higher near the 109.24 level and about 3.25 percent higher than the most recent low in March. In terms of bond yields, the 5-Year yield is currently trading at the 3.48 percent level and also down from a recent high of 4.37 percent in March. Only time will tell if the 5-Year Bond price has bottomed (and yields have topped out) with the future paths of the US Federal Reserve and the US economy likely weighing heavily on the future direction.

Chart by TradingView

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Strength Scores led by Eurodollar & US 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 Eurodollar (73 percent) and the US Treasury Bonds (53 percent) lead the bond markets this week. The SOFR 3-Months (36 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the Ultra 10-Year Bonds (3 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.4 percent) vs Fed Funds previous week (25.0 percent)
2-Year Bond (19.2 percent) vs 2-Year Bond previous week (15.5 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.9 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (6.5 percent)
Ultra 10-Year Bond (3.3 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (52.9 percent) vs US Treasury Bond previous week (46.5 percent)
Ultra US Treasury Bond (19.6 percent) vs Ultra US Treasury Bond previous week (19.1 percent)
Eurodollar (72.9 percent) vs Eurodollar previous week (72.7 percent)
SOFR 3-Months (36.5 percent) vs SOFR 3-Months previous week (43.8 percent)

 

Ultra Treasury Bonds & US Treasury 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 Ultra Treasury Bonds (19 percent) and the US Treasury Bonds (17 percent) lead the past six weeks trends for bonds.

The 5-Year Bond (-32.3 percent) leads the downside trend scores currently with the SOFR 3-Months (-31 percent) and the 10-Year Bonds (-25 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.2 percent) vs Fed Funds previous week (15.2 percent)
2-Year Bond (-1.9 percent) vs 2-Year Bond previous week (5.5 percent)
5-Year Bond (-32.3 percent) vs 5-Year Bond previous week (-10.2 percent)
10-Year Bond (-25.3 percent) vs 10-Year Bond previous week (-13.5 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (-3.0 percent)
US Treasury Bond (17.1 percent) vs US Treasury Bond previous week (18.3 percent)
Ultra US Treasury Bond (19.4 percent) vs Ultra US Treasury Bond previous week (11.3 percent)
Eurodollar (15.9 percent) vs Eurodollar previous week (23.1 percent)
SOFR 3-Months (-31.3 percent) vs SOFR 3-Months previous week (43.8 percent)

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Individual Bond Markets:

3-Month Eurodollars Futures:

The 3-Month Eurodollars large speculator standing this week was a net position of -42,836 contracts in the data reported through Tuesday. This was a weekly lift of 8,395 contracts from the previous week which had a total of -51,231 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 72.9 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.2 percent.

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	26.8	62.2	9.5
– Percent of Open Interest Shorts:	33.9	53.5	11.2
– Net Position:	-42,836	52,682	-9,846
– Gross Longs:	162,210	375,924	57,705
– Gross Shorts:	205,046	323,242	67,551
– Long to Short Ratio:	0.8 to 1	1.2 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	72.9	23.0	97.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	15.9	-20.7	52.8

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -716,355 contracts in the data reported through Tuesday. This was a weekly decrease of -89,967 contracts from the previous week which had a total of -626,388 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 36.5 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 percent.

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.2	64.0	0.4
– Percent of Open Interest Shorts:	21.7	56.4	0.5
– Net Position:	-716,355	722,508	-6,153
– Gross Longs:	1,351,648	6,105,246	41,555
– Gross Shorts:	2,068,003	5,382,738	47,708
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	36.5	63.9	84.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-31.3	18.9	84.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -90,608 contracts in the data reported through Tuesday. This was a weekly boost of 28,111 contracts from the previous week which had a total of -118,719 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 28.4 percent. The commercials are Bullish with a score of 72.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	3.7	79.7	2.2
– Percent of Open Interest Shorts:	8.4	74.3	2.8
– Net Position:	-90,608	103,006	-12,398
– Gross Longs:	70,441	1,520,816	41,850
– Gross Shorts:	161,049	1,417,810	54,248
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.4	72.4	66.7
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.2	-3.9	66.7

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -546,307 contracts in the data reported through Tuesday. This was a weekly increase of 28,607 contracts from the previous week which had a total of -574,914 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 19.2 percent. The commercials are Bullish with a score of 75.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.3 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.8	81.0	8.2
– Percent of Open Interest Shorts:	29.9	63.1	6.0
– Net Position:	-546,307	486,757	59,550
– Gross Longs:	265,711	2,203,465	221,675
– Gross Shorts:	812,018	1,716,708	162,125
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	19.2	75.8	84.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.9	-3.4	18.5

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -869,288 contracts in the data reported through Tuesday. This was a weekly decline of -114,786 contracts from the previous week which had a total of -754,502 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-Extreme with a score of 89.8 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.7	84.1	7.9
– Percent of Open Interest Shorts:	25.7	65.8	7.2
– Net Position:	-869,288	837,209	32,079
– Gross Longs:	307,640	3,846,432	359,672
– Gross Shorts:	1,176,928	3,009,223	327,593
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	89.8
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-32.3	27.5	16.4

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -740,261 contracts in the data reported through Tuesday. This was a weekly decline of -60,180 contracts from the previous week which had a total of -680,081 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 95.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.9 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.9	79.4	9.2
– Percent of Open Interest Shorts:	25.9	63.7	7.9
– Net Position:	-740,261	685,216	55,045
– Gross Longs:	389,728	3,462,741	400,768
– Gross Shorts:	1,129,989	2,777,525	345,723
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	95.2	96.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-25.3	11.8	30.8

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -190,916 contracts in the data reported through Tuesday. This was a weekly advance of 15,667 contracts from the previous week which had a total of -206,583 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 3.3 percent. The commercials are Bullish-Extreme with a score of 91.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.6	80.0	10.0
– Percent of Open Interest Shorts:	20.5	63.2	14.9
– Net Position:	-190,916	269,304	-78,388
– Gross Longs:	137,531	1,281,853	160,380
– Gross Shorts:	328,447	1,012,549	238,768
– Long to Short Ratio:	0.4 to 1	1.3 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	3.3	91.9	67.4
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.3	11.5	-32.6

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -97,368 contracts in the data reported through Tuesday. This was a weekly advance of 19,560 contracts from the previous week which had a total of -116,928 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 52.9 percent. The commercials are Bearish with a score of 20.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.8	77.9	14.8
– Percent of Open Interest Shorts:	15.0	75.7	8.8
– Net Position:	-97,368	26,698	70,670
– Gross Longs:	81,222	929,608	176,053
– Gross Shorts:	178,590	902,910	105,383
– Long to Short Ratio:	0.5 to 1	1.0 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	52.9	20.1	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.1	-30.1	23.2

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -397,985 contracts in the data reported through Tuesday. This was a weekly rise of 1,016 contracts from the previous week which had a total of -399,001 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 19.6 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.8	82.0	12.0
– Percent of Open Interest Shorts:	33.7	57.7	8.4
– Net Position:	-397,985	347,575	50,410
– Gross Longs:	83,053	1,171,201	170,666
– Gross Shorts:	481,038	823,626	120,256
– 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):	19.6	76.7	90.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.4	-23.2	2.5

 

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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.