COT Bonds Charts: Speculator bets led by 10-Year Bonds

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 Monday July 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 10-Year Bonds & Ultra 10-Year Bonds

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

The only market with gains for the bond category was the 10-Year Bonds with a total rise of 20,321 contracts.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-44,151 contracts), the 2-Year Bonds (-44,022 contracts), 5-Year Bonds (-31,326 contracts), the US Treasury Bonds (-24,681 contracts), the Ultra Treasury Bonds (-26,881 contracts), the Fed Funds (-17,553 contracts) and the Ultra 10-Year Bonds (-8,713 contracts) also registering lower bets on the week.

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Strength Scores led by SOFR 3-Months & 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 SOFR 3-Months (97 percent). The US Treasury Bonds (39 percent) and the Fed Funds (34 percent) come in as the next highest in the weekly strength scores.

On the downside, the Ultra Treasury Bonds (0 percent), the 5-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the 10-Year Bonds (7 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (33.5 percent) vs Fed Funds previous week (36.3 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.8 percent)
5-Year Bond (0.5 percent) vs 5-Year Bond previous week (3.3 percent)
10-Year Bond (6.8 percent) vs 10-Year Bond previous week (4.8 percent)
Ultra 10-Year Bond (15.9 percent) vs Ultra 10-Year Bond previous week (17.7 percent)
US Treasury Bond (39.1 percent) vs US Treasury Bond previous week (47.1 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (11.1 percent)
SOFR 3-Months (97.0 percent) vs SOFR 3-Months previous week (100.0 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 (24 percent) and the Ultra 10-Year Bonds (4 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (-1 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-31 percent), the Ultra Treasury Bonds (-17 percent) and the 2-Year Bonds (-15 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-2.9 percent) vs Fed Funds previous week (-3.4 percent)
2-Year Bond (-14.7 percent) vs 2-Year Bond previous week (-14.0 percent)
5-Year Bond (-8.5 percent) vs 5-Year Bond previous week (-6.6 percent)
10-Year Bond (-0.9 percent) vs 10-Year Bond previous week (-10.5 percent)
Ultra 10-Year Bond (3.7 percent) vs Ultra 10-Year Bond previous week (11.2 percent)
US Treasury Bond (-31.5 percent) vs US Treasury Bond previous week (-17.5 percent)
Ultra US Treasury Bond (-17.2 percent) vs Ultra US Treasury Bond previous week (-14.4 percent)
SOFR 3-Months (23.5 percent) vs SOFR 3-Months previous week (31.1 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 239,839 contracts in the data reported through Tuesday. This was a weekly decline of -44,151 contracts from the previous week which had a total of 283,990 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 97.0 percent. The commercials are Bearish-Extreme with a score of 2.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.2	58.6	0.3
– Percent of Open Interest Shorts:	17.6	61.1	0.4
– Net Position:	239,839	-233,436	-6,403
– Gross Longs:	1,880,577	5,453,300	28,213
– Gross Shorts:	1,640,738	5,686,736	34,616
– Long to Short Ratio:	1.1 to 1	1.0 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	97.0	2.1	84.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	23.5	-23.9	0.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -106,758 contracts in the data reported through Tuesday. This was a weekly reduction of -17,553 contracts from the previous week which had a total of -89,205 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 33.5 percent. The commercials are Bullish with a score of 66.3 percent and the small traders (not shown in chart) are Bullish with a score of 73.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.5	72.0	2.5
– Percent of Open Interest Shorts:	14.0	63.8	3.1
– Net Position:	-106,758	115,921	-9,163
– Gross Longs:	91,610	1,018,379	35,112
– Gross Shorts:	198,368	902,458	44,275
– Long to Short Ratio:	0.5 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.5	66.3	73.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.9	1.4	18.9

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week came in at a net position of -1,058,426 contracts in the data reported through Tuesday. This was a weekly reduction of -44,022 contracts from the previous week which had a total of -1,014,404 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 96.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.1	81.2	6.6
– Percent of Open Interest Shorts:	39.9	54.7	4.2
– Net Position:	-1,058,426	970,602	87,824
– Gross Longs:	405,459	2,977,688	241,676
– Gross Shorts:	1,463,885	2,007,086	153,852
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	96.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.7	16.7	-0.9

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week came in at a net position of -1,029,814 contracts in the data reported through Tuesday. This was a weekly reduction of -31,326 contracts from the previous week which had a total of -998,488 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 0.5 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 81.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: New Sell – Short Position.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.9	84.6	7.3
– Percent of Open Interest Shorts:	27.1	64.4	7.3
– Net Position:	-1,029,814	1,026,687	3,127
– Gross Longs:	348,230	4,297,985	373,393
– Gross Shorts:	1,378,044	3,271,298	370,266
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.5	100.0	81.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.5	13.0	-13.3

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week came in at a net position of -780,678 contracts in the data reported through Tuesday. This was a weekly boost of 20,321 contracts from the previous week which had a total of -800,999 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 6.8 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: New Sell – Short Position.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.2	80.2	8.8
– Percent of Open Interest Shorts:	25.6	65.0	7.6
– Net Position:	-780,678	719,909	60,769
– Gross Longs:	434,456	3,798,675	418,993
– Gross Shorts:	1,215,134	3,078,766	358,224
– 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):	6.8	95.9	86.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.9	4.0	-6.2

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week came in at a net position of -139,901 contracts in the data reported through Tuesday. This was a weekly lowering of -8,713 contracts from the previous week which had a total of -131,188 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 15.9 percent. The commercials are Bullish with a score of 76.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.9	76.8	11.8
– Percent of Open Interest Shorts:	18.1	65.2	15.2
– Net Position:	-139,901	197,302	-57,401
– Gross Longs:	168,089	1,304,780	201,280
– Gross Shorts:	307,990	1,107,478	258,681
– 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):	15.9	76.4	79.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.7	-8.1	11.5

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -139,929 contracts in the data reported through Tuesday. This was a weekly decrease of -24,681 contracts from the previous week which had a total of -115,248 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 39.1 percent. The commercials are Bearish with a score of 48.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.7	79.3	14.3
– Percent of Open Interest Shorts:	16.9	70.7	11.6
– Net Position:	-139,929	106,742	33,187
– Gross Longs:	70,648	985,219	177,299
– Gross Shorts:	210,577	878,477	144,112
– Long to Short Ratio:	0.3 to 1	1.1 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	39.1	48.7	72.6
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-31.5	36.7	-4.6

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -450,572 contracts in the data reported through Tuesday. This was a weekly decline of -26,881 contracts from the previous week which had a total of -423,691 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 99.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.6	83.6	11.5
– Percent of Open Interest Shorts:	34.2	57.7	7.8
– Net Position:	-450,572	394,354	56,218
– Gross Longs:	69,955	1,272,590	174,627
– Gross Shorts:	520,527	878,236	118,409
– Long to Short Ratio:	0.1 to 1	1.4 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	99.2	90.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.2	23.2	-2.3

 

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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.