Speculators drop their 10-Year Bonds bets to lowest level on record

May 27, 2023

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 May 23rd 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 SOFR 3-Months & Ultra 10-Year Bonds

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


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Leading the gains for the bond markets was the SOFR 3-Months (65,278 contracts) with the Ultra 10-Year Bonds (28,348 contracts) and the US Treasury Bonds (18,345 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-79,196 contracts), the 2-Year Bonds (-36,627 contracts), the Fed Funds (-20,924 contracts), the Ultra Treasury Bonds (-20,128 contracts), the 5-Year Bonds (-10,156 contracts) and the Eurodollar (-4,665 contracts) also registering lower bets on the week.

10-Year Bonds Speculator bets hit lowest level on record

Highlighting the COT bond’s data this week is the record weakness in the 10-Year Treasury Bond contracts. The 10-Year Bond contract dropped this week by -79,196 contracts and fell for the sixth time out of the past eight weeks which has added a total of -300,060 contracts to the bearish level.

This weakness has pushed the 10-Year speculative positions to hit their most bearish level on record this week at a total of -771,638 contracts, according to CFTC data that stretches back to 1986. This eclipses the previous record of -756,316 contracts that was reached on September of 2018.

The 10-Year now joins both the 2-Year and 5-Year Treasury Bonds with current record low levels in speculator positions.

The 2-Year speculator positions fell again this week for the fourth straight week and has a new record low level position at -890,202 contracts. The 2-Year speculators have added a total of -343,895 contracts to the bearish standing in just the past four weeks.

Meanwhile, the 5-Year speculator positioning dropped again for the fifth consecutive week and hit a new record bearish position of -934,069 contracts. A total of-179,567 contracts has been added to the bearish position in the past five weeks.

The 10-Year futures price is back on the downtrend over the past three weeks after rising to touch a 7-month high in March. The futures price closed this week at 112.13 which still remains about 3.30 percent above the most recent low-point (and approximately 15-year low) that was hit in October.


Data Snapshot of Bond Market Traders | Columns Legend
May-23-2023 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 556,278 0 -41,549 73 43,737 23 -2,188 99
FedFunds 1,735,674 66 -88,495 29 107,292 73 -18,797 54
2-Year 3,266,610 100 -890,202 0 800,371 100 89,831 99
Long T-Bond 1,299,274 83 -43,236 71 3,696 12 39,540 77
10-Year 4,902,288 100 -771,638 0 682,402 95 89,236 93
5-Year 5,105,531 100 -934,069 0 882,607 100 51,462 95

 


Strength Scores led by SOFR 3-Months & 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 SOFR 3-Months (86 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (71 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 2-Year Bonds (0 percent) and the Ultra 10-Year Bonds (12 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.8 percent) vs Fed Funds previous week (31.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (8.3 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (6.5 percent)
US Treasury Bond (70.5 percent) vs US Treasury Bond previous week (64.5 percent)
Ultra US Treasury Bond (14.8 percent) vs Ultra US Treasury Bond previous week (23.4 percent)
Eurodollar (73.0 percent) vs Eurodollar previous week (73.1 percent)
SOFR 3-Months (86.3 percent) vs SOFR 3-Months previous week (81.0 percent)

 

US 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 US Treasury Bonds (29 percent) and the Eurodollar (16 percent) lead the past six weeks trends for bonds.

The 2-Year Bonds (-40 percent) and the 5-Year Bonds (-17 percent) lead the downside trend scores currently with the 10-Year Bonds (-14 percent) and the Ultra Treasury Bonds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (9.8 percent) vs Fed Funds previous week (9.9 percent)
2-Year Bond (-40.2 percent) vs 2-Year Bond previous week (-35.9 percent)
5-Year Bond (-16.7 percent) vs 5-Year Bond previous week (-13.9 percent)
10-Year Bond (-13.9 percent) vs 10-Year Bond previous week (-7.5 percent)
Ultra 10-Year Bond (7.9 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (29.1 percent) vs US Treasury Bond previous week (22.1 percent)
Ultra US Treasury Bond (-4.2 percent) vs Ultra US Treasury Bond previous week (8.0 percent)
Eurodollar (15.6 percent) vs Eurodollar previous week (15.7 percent)
SOFR 3-Months (4.7 percent) vs SOFR 3-Months previous week (2.8 percent)


Individual Bond Markets:

3-Month Eurodollars Futures:

The 3-Month Eurodollars large speculator standing this week reached a net position of -41,549 contracts in the data reported through Tuesday. This was a weekly decrease of -4,665 contracts from the previous week which had a total of -36,884 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 73.0 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.8 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 28.1 61.0 9.9
– Percent of Open Interest Shorts: 35.6 53.1 10.3
– Net Position: -41,549 43,737 -2,188
– Gross Longs: 156,341 339,284 55,303
– Gross Shorts: 197,890 295,547 57,491
– Long to Short Ratio: 0.8 to 1 1.1 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 73.0 22.8 98.8
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 15.6 -18.0 31.2

 


Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -101,543 contracts in the data reported through Tuesday. This was a weekly increase of 65,278 contracts from the previous week which had a total of -166,821 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 Bullish-Extreme with a score of 86.3 percent. The commercials are Bearish-Extreme with a score of 14.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

SOFR 3-Months Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.1 61.1 0.5
– Percent of Open Interest Shorts: 17.1 59.9 0.5
– Net Position: -101,543 108,863 -7,320
– Gross Longs: 1,568,592 5,953,387 45,538
– Gross Shorts: 1,670,135 5,844,524 52,858
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 86.3 14.2 83.8
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.7 -4.1 -4.1

 


30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week reached a net position of -88,495 contracts in the data reported through Tuesday. This was a weekly decrease of -20,924 contracts from the previous week which had a total of -67,571 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 28.8 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.8 76.5 1.9
– Percent of Open Interest Shorts: 10.9 70.3 3.0
– Net Position: -88,495 107,292 -18,797
– Gross Longs: 100,027 1,327,988 33,520
– Gross Shorts: 188,522 1,220,696 52,317
– Long to Short Ratio: 0.5 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 28.8 72.7 54.1
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.8 -8.4 -20.0

 


2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week reached a net position of -890,202 contracts in the data reported through Tuesday. This was a weekly lowering of -36,627 contracts from the previous week which had a total of -853,575 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 98.8 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.3 82.4 7.5
– Percent of Open Interest Shorts: 35.5 57.9 4.7
– Net Position: -890,202 800,371 89,831
– Gross Longs: 270,465 2,690,719 244,689
– Gross Shorts: 1,160,667 1,890,348 154,858
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 98.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -40.2 40.2 25.6

 


5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week reached a net position of -934,069 contracts in the data reported through Tuesday. This was a weekly fall of -10,156 contracts from the previous week which had a total of -923,913 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 95.1 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.3 82.0 7.8
– Percent of Open Interest Shorts: 26.6 64.7 6.8
– Net Position: -934,069 882,607 51,462
– Gross Longs: 423,353 4,186,028 396,832
– Gross Shorts: 1,357,422 3,303,421 345,370
– 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 95.1
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.7 16.6 3.3

 


10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week reached a net position of -771,638 contracts in the data reported through Tuesday. This was a weekly reduction of -79,196 contracts from the previous week which had a total of -692,442 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 94.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.9 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.8 77.5 9.3
– Percent of Open Interest Shorts: 25.5 63.5 7.5
– Net Position: -771,638 682,402 89,236
– Gross Longs: 480,032 3,797,760 454,534
– Gross Shorts: 1,251,670 3,115,358 365,298
– Long to Short Ratio: 0.4 to 1 1.2 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 94.9 92.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.9 6.5 15.9

 


Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week reached a net position of -158,079 contracts in the data reported through Tuesday. This was a weekly increase of 28,348 contracts from the previous week which had a total of -186,427 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 12.2 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.0 76.0 10.8
– Percent of Open Interest Shorts: 19.1 62.5 15.2
– Net Position: -158,079 234,828 -76,749
– Gross Longs: 174,270 1,319,934 186,701
– Gross Shorts: 332,349 1,085,106 263,450
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 12.2 84.5 68.4
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.9 -9.8 4.0

 


US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week reached a net position of -43,236 contracts in the data reported through Tuesday. This was a weekly increase of 18,345 contracts from the previous week which had a total of -61,581 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 70.5 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.2 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.6 74.4 14.8
– Percent of Open Interest Shorts: 12.0 74.1 11.8
– Net Position: -43,236 3,696 39,540
– Gross Longs: 112,271 966,329 192,516
– Gross Shorts: 155,507 962,633 152,976
– Long to Short Ratio: 0.7 to 1 1.0 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 70.5 11.9 77.2
– Strength Index Reading (3 Year Range): Bullish Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 29.1 -23.5 -17.2

 


Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week reached a net position of -409,108 contracts in the data reported through Tuesday. This was a weekly fall of -20,128 contracts from the previous week which had a total of -388,980 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 14.8 percent. The commercials are Bullish with a score of 76.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.5 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 80.7 12.2
– Percent of Open Interest Shorts: 32.1 57.9 8.4
– Net Position: -409,108 350,435 58,673
– Gross Longs: 84,063 1,239,774 187,318
– Gross Shorts: 493,171 889,339 128,645
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 14.8 76.0 98.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.2 0.9 8.1

 


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*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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