COT Bonds Charts: Weekly Speculator Changes led by 10-Year Bonds & Eurodollar

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 June 6th 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 10-Year Bonds & Eurodollar

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.

Leading the gains for the bond markets was the 10-Year Bonds (96,720 contracts) with the Eurodollar (34,765 contracts) and the 2-Year Bonds (9,962 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-66,703 contracts), the Ultra 10-Year Bonds (-31,783 contracts), the 5-Year Bonds (-43,222 contracts), the US Treasury Bonds (-23,013 contracts), the Ultra Treasury Bonds (-7,099 contracts) and the SOFR 3-Months (-2,917 contracts) also registering lower bets on the week.

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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 (98 percent) and the Eurodollar (74 percent) lead the bond markets this week. The US Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 2-Year Bonds (1 percent), the 10-Year Bonds (9 percent), the Fed Funds (9 percent), the Ultra 10-Year Bond (15.4 percent) and the Ultra US Treasury Bond (15.7 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (9.4 percent) vs Fed Funds previous week (17.9 percent)
2-Year Bond (0.9 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (3.9 percent)
10-Year Bond (9.4 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (15.4 percent) vs Ultra 10-Year Bond previous week (21.9 percent)
US Treasury Bond (57.6 percent) vs US Treasury Bond previous week (65.1 percent)
Ultra US Treasury Bond (15.7 percent) vs Ultra US Treasury Bond previous week (18.7 percent)
Eurodollar (74.0 percent) vs Eurodollar previous week (73.1 percent)
SOFR 3-Months (97.8 percent) vs SOFR 3-Months previous week (98.0 percent)

 

SOFR 3-Months & Ultra 10-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 SOFR 3-Months (61 percent) and the Ultra 10-Year Bonds (10 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (5 percent) is the next highest positive mover in the latest trends data.

The 2-Year Bond (-39 percent), the Fed Funds (-20 percent) and the 5-Year Bonds (-14 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-19.8 percent) vs Fed Funds previous week (-7.8 percent)
2-Year Bond (-39.1 percent) vs 2-Year Bond previous week (-37.3 percent)
5-Year Bond (-14.1 percent) vs 5-Year Bond previous week (-20.4 percent)
10-Year Bond (-1.3 percent) vs 10-Year Bond previous week (-16.5 percent)
Ultra 10-Year Bond (9.8 percent) vs Ultra 10-Year Bond previous week (19.5 percent)
US Treasury Bond (4.7 percent) vs US Treasury Bond previous week (18.6 percent)
Ultra US Treasury Bond (-3.8 percent) vs Ultra US Treasury Bond previous week (-0.4 percent)
Eurodollar (1.0 percent) vs Eurodollar previous week (0.3 percent)
SOFR 3-Months (61.3 percent) vs SOFR 3-Months previous week (54.2 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 -3,045 contracts in the data reported through Tuesday. This was a weekly increase of 34,765 contracts from the previous week which had a total of -37,810 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 74.0 percent. The commercials are Bearish with a score of 22.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.1 percent.

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	26.8	63.6	9.6
– Percent of Open Interest Shorts:	27.4	61.1	11.5
– Net Position:	-3,045	13,104	-10,059
– Gross Longs:	141,397	335,311	50,675
– Gross Shorts:	144,442	322,207	60,734
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.0	22.0	97.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	1.0	-0.9	-0.0

 

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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 40,305 contracts in the data reported through Tuesday. This was a weekly decrease of -2,917 contracts from the previous week which had a total of 43,222 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 97.8 percent. The commercials are Bearish-Extreme with a score of 3.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.2 percent.

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.0	61.1	0.4
– Percent of Open Interest Shorts:	15.6	61.3	0.6
– Net Position:	40,305	-24,496	-15,809
– Gross Longs:	1,581,630	6,023,024	41,854
– Gross Shorts:	1,541,325	6,047,520	57,663
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	97.8	3.4	79.2
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	61.3	-60.5	-5.3

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -246,858 contracts in the data reported through Tuesday. This was a weekly reduction of -66,703 contracts from the previous week which had a total of -180,155 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 9.4 percent. The commercials are Bullish-Extreme with a score of 90.5 percent and the small traders (not shown in chart) are Bullish with a score of 74.9 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	3.6	78.7	2.3
– Percent of Open Interest Shorts:	20.2	61.5	2.9
– Net Position:	-246,858	255,064	-8,206
– Gross Longs:	52,857	1,167,235	34,401
– Gross Shorts:	299,715	912,171	42,607
– Long to Short Ratio:	0.2 to 1	1.3 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	9.4	90.5	74.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.8	19.1	8.2

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -959,901 contracts in the data reported through Tuesday. This was a weekly gain of 9,962 contracts from the previous week which had a total of -969,863 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 0.9 percent. The commercials are Bullish-Extreme with a score of 97.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.1	80.9	7.2
– Percent of Open Interest Shorts:	39.7	55.1	4.3
– Net Position:	-959,901	864,871	95,030
– Gross Longs:	370,970	2,712,847	240,315
– Gross Shorts:	1,330,871	1,847,976	145,285
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.9	97.8	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-39.1	40.6	16.8

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,027,059 contracts in the data reported through Tuesday. This was a weekly decline of -43,222 contracts from the previous week which had a total of -983,837 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 83.9 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.7	84.2	7.4
– Percent of Open Interest Shorts:	27.9	63.3	7.2
– Net Position:	-1,027,059	1,016,651	10,408
– Gross Longs:	326,795	4,085,049	359,182
– Gross Shorts:	1,353,854	3,068,398	348,774
– Long to Short Ratio:	0.2 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	83.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.1	16.4	-5.9

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -753,701 contracts in the data reported through Tuesday. This was a weekly advance of 96,720 contracts from the previous week which had a total of -850,421 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 9.4 percent. The commercials are Bullish-Extreme with a score of 93.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.6 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.0	80.3	8.7
– Percent of Open Interest Shorts:	25.4	65.1	7.4
– Net Position:	-753,701	693,419	60,282
– Gross Longs:	410,777	3,675,457	397,950
– Gross Shorts:	1,164,478	2,982,038	337,668
– 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):	9.4	93.1	86.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.3	0.9	1.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -142,577 contracts in the data reported through Tuesday. This was a weekly decline of -31,783 contracts from the previous week which had a total of -110,794 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 15.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bullish with a score of 69.2 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.5	76.8	10.9
– Percent of Open Interest Shorts:	19.1	63.7	15.5
– Net Position:	-142,577	218,066	-75,489
– Gross Longs:	174,272	1,275,948	181,822
– Gross Shorts:	316,849	1,057,882	257,311
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	15.4	80.9	69.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.8	-11.0	1.7

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -82,926 contracts in the data reported through Tuesday. This was a weekly fall of -23,013 contracts from the previous week which had a total of -59,913 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 Bullish with a score of 57.6 percent. The commercials are Bearish with a score of 25.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.2	75.6	14.0
– Percent of Open Interest Shorts:	14.8	72.2	10.7
– Net Position:	-82,926	41,862	41,064
– Gross Longs:	102,025	943,943	175,105
– Gross Shorts:	184,951	902,081	134,041
– Long to Short Ratio:	0.6 to 1	1.0 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	57.6	25.5	78.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.7	5.4	-21.6

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -406,999 contracts in the data reported through Tuesday. This was a weekly decrease of -7,099 contracts from the previous week which had a total of -399,900 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 15.7 percent. The commercials are Bullish with a score of 79.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.3 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.9	82.4	11.4
– Percent of Open Interest Shorts:	33.7	58.0	7.9
– Net Position:	-406,999	356,439	50,560
– Gross Longs:	85,791	1,205,231	166,525
– Gross Shorts:	492,790	848,792	115,965
– 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):	15.7	79.2	90.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.8	4.7	0.2

 

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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.