Bonds Charts: Speculator Bets led by SOFR 3-Months & 5-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 Tuesday August 15th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Bets led by SOFR 3-Months & 5-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (58,656 contracts) with the 5-Year Bonds (39,012 contracts), US Treasury Bonds (22,821 contracts) and the Ultra 10-Year Bonds (12,562 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-50,877 contracts) with the 10-Year Bonds (-55,202 contracts), the 2-Year Bonds (-8,266 contracts) and the Ultra Treasury Bonds (-409 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 (81 percent) leads the bond markets this week. The US Treasury Bonds (27 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (2 percent), the Ultra Treasury Bonds (4 percent), the 5-Year Bonds (5 percent), the 10-Year Bonds (10 percent), Fed Funds (14.0 percent) and the Ultra 10-Year Bonds (16 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
vs Fed Funds previous week (23.3 percent)
2-Year Bond (2.3 percent) vs 2-Year Bond previous week (3.0 percent)
5-Year Bond (4.9 percent) vs 5-Year Bond previous week (2.0 percent)
10-Year Bond (10.0 percent) vs 10-Year Bond previous week (15.4 percent)
Ultra 10-Year Bond (16.4 percent) vs Ultra 10-Year Bond previous week (13.9 percent)
US Treasury Bond (27.1 percent) vs US Treasury Bond previous week (19.7 percent)
Ultra US Treasury Bond (4.4 percent) vs Ultra US Treasury Bond previous week (4.6 percent)
SOFR 3-Months (80.7 percent) vs SOFR 3-Months previous week (76.7 percent)

 

10-Year Bonds & Ultra 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 10-Year Bonds (3 percent) and the Ultra Treasury Bonds (2 percent) lead the past six weeks trends for bonds.

The Fed Funds (-25 percent) and the SOFR 3-Months (-16 percent) leads the downside trend scores currently with the 5-Year Bonds (-12 percent) and the US Treasury Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-25.1 percent) vs Fed Funds previous week (-19.0 percent)
2-Year Bond (-4.8 percent) vs 2-Year Bond previous week (-7.7 percent)
5-Year Bond (-11.9 percent) vs 5-Year Bond previous week (-17.1 percent)
10-Year Bond (3.3 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (0.5 percent) vs Ultra 10-Year Bond previous week (-3.8 percent)
US Treasury Bond (-12.0 percent) vs US Treasury Bond previous week (-27.4 percent)
Ultra US Treasury Bond (2.1 percent) vs Ultra US Treasury Bond previous week (-8.6 percent)
SOFR 3-Months (-16.2 percent) vs SOFR 3-Months previous week (-23.3 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 4,543 contracts in the data reported through Tuesday. This was a weekly lift of 58,656 contracts from the previous week which had a total of -54,113 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 80.7 percent. The commercials are Bearish-Extreme with a score of 19.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.4 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:	16.7	59.8	0.3
– Percent of Open Interest Shorts:	16.7	59.7	0.4
– Net Position:	4,543	10,845	-15,388
– Gross Longs:	1,716,392	6,136,206	26,291
– Gross Shorts:	1,711,849	6,125,361	41,679
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	80.7	19.2	79.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.2	17.1	-4.9

 

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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 -244,218 contracts in the data reported through Tuesday. This was a weekly decline of -50,877 contracts from the previous week which had a total of -193,341 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 14.0 percent. The commercials are Bullish-Extreme with a score of 86.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.2 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:	2.3	78.3	2.0
– Percent of Open Interest Shorts:	18.3	61.5	2.9
– Net Position:	-244,218	257,379	-13,161
– Gross Longs:	35,930	1,200,176	31,331
– Gross Shorts:	280,148	942,797	44,492
– Long to Short Ratio:	0.1 to 1	1.3 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	14.0	86.8	65.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-25.1	25.5	-7.8

 

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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 -1,117,392 contracts in the data reported through Tuesday. This was a weekly lowering of -8,266 contracts from the previous week which had a total of -1,109,126 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 2.3 percent. The commercials are Bullish-Extreme with a score of 94.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.0	81.3	7.4
– Percent of Open Interest Shorts:	39.2	55.3	4.1
– Net Position:	-1,117,392	991,941	125,451
– Gross Longs:	380,265	3,105,026	282,436
– Gross Shorts:	1,497,657	2,113,085	156,985
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	2.3	94.6	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.8	1.9	15.5

 

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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 -1,191,295 contracts in the data reported through Tuesday. This was a weekly increase of 39,012 contracts from the previous week which had a total of -1,230,307 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 4.9 percent. The commercials are Bullish-Extreme with a score of 92.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.9	83.3	7.1
– Percent of Open Interest Shorts:	28.5	64.0	5.7
– Net Position:	-1,191,295	1,110,195	81,100
– Gross Longs:	453,025	4,804,142	411,812
– Gross Shorts:	1,644,320	3,693,947	330,712
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	4.9	92.0	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.9	6.7	20.7

 

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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 -746,928 contracts in the data reported through Tuesday. This was a weekly decrease of -55,202 contracts from the previous week which had a total of -691,726 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 10.0 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bullish with a score of 79.7 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: Hold – Maintain Short Position.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.2	78.7	8.9
– Percent of Open Interest Shorts:	25.6	63.9	8.3
– Net Position:	-746,928	718,304	28,624
– Gross Longs:	495,210	3,822,746	430,877
– Gross Shorts:	1,242,138	3,104,442	402,253
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	10.0	95.7	79.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.3	-0.2	-7.0

 

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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 -137,389 contracts in the data reported through Tuesday. This was a weekly boost of 12,562 contracts from the previous week which had a total of -149,951 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 16.4 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 55.9 percent.

Price Trend-Following Model: Downtrend

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 Short Position.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.5	76.7	9.1
– Percent of Open Interest Shorts:	19.9	63.9	14.4
– Net Position:	-137,389	235,155	-97,766
– Gross Longs:	230,163	1,416,246	168,833
– Gross Shorts:	367,552	1,181,091	266,599
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	16.4	84.5	55.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.5	8.1	-24.0

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -176,734 contracts in the data reported through Tuesday. This was a weekly lift of 22,821 contracts from the previous week which had a total of -199,555 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 27.1 percent. The commercials are Bullish with a score of 59.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.8 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:	6.9	75.9	14.3
– Percent of Open Interest Shorts:	19.8	65.9	11.4
– Net Position:	-176,734	137,703	39,031
– Gross Longs:	94,337	1,040,666	195,617
– Gross Shorts:	271,071	902,963	156,586
– 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):	27.1	59.7	76.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.0	11.0	4.3

 

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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 -445,497 contracts in the data reported through Tuesday. This was a weekly decline of -409 contracts from the previous week which had a total of -445,088 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 4.4 percent. The commercials are Bullish-Extreme with a score of 94.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 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:	5.5	79.9	11.0
– Percent of Open Interest Shorts:	33.0	55.2	8.2
– Net Position:	-445,497	401,243	44,254
– Gross Longs:	89,227	1,296,276	177,740
– Gross Shorts:	534,724	895,033	133,486
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	4.4	94.5	79.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.1	3.3	-11.3

 

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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.