COT Bonds Charts: Speculator Bets led by Fed Funds & Ultra Treasury 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 October 31st 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 & Ultra Treasury Bonds

The COT bond market speculator bets were lower this week as just two out of the eight 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 Fed Funds (27,807 contracts) with the Ultra Treasury Bonds (27,106 contracts) also recording a positive week.

The bond markets with declines in speculator bets were the 5-Year Bonds (-182,686 contracts), the 10-Year Bonds (-64,336 contracts), the SOFR 3-Months (-38,841 contracts), the US Treasury Bonds (-19,143 contracts), the 2-Year Bonds (-11,136 contracts) and the Ultra 10-Year Bonds (-2,438 contracts) also registering lower bets on the week.

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Strength Scores led by SOFR 3-Months & Ultra 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 (85 percent) leads the bond markets this week and the only market over 50 percent currently.

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

Strength Statistics:
Fed Funds (30.5 percent) vs Fed Funds previous week (24.6 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (0.7 percent)
5-Year Bond (4.8 percent) vs 5-Year Bond previous week (18.3 percent)
10-Year Bond (21.6 percent) vs 10-Year Bond previous week (27.8 percent)
Ultra 10-Year Bond (0.2 percent) vs Ultra 10-Year Bond previous week (0.7 percent)
US Treasury Bond (29.4 percent) vs US Treasury Bond previous week (36.0 percent)
Ultra US Treasury Bond (48.5 percent) vs Ultra US Treasury Bond previous week (37.5 percent)
SOFR 3-Months (84.7 percent) vs SOFR 3-Months previous week (87.1 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 (22 percent) and the US Treasury Bonds (16 percent) lead the past six weeks trends for bonds. The 10-Year Bond (7 percent) and the Fed Funds (7 percent) are the next positive movers in the latest trends data.

The Ultra 10-Year Bonds (-22 percent) and the SOFR 3-Months (-15 percent) lead the downside trend scores currently with the 5-Year Bonds (-14 percent) and the 2-Year Bonds (-13 percent) following next.

Strength Trend Statistics:
Fed Funds (6.9 percent) vs Fed Funds previous week (-4.5 percent)
2-Year Bond (-12.7 percent) vs 2-Year Bond previous week (-12.1 percent)
5-Year Bond (-13.7 percent) vs 5-Year Bond previous week (1.6 percent)
10-Year Bond (7.2 percent) vs 10-Year Bond previous week (17.5 percent)
Ultra 10-Year Bond (-21.9 percent) vs Ultra 10-Year Bond previous week (-19.6 percent)
US Treasury Bond (15.9 percent) vs US Treasury Bond previous week (19.7 percent)
Ultra US Treasury Bond (22.3 percent) vs Ultra US Treasury Bond previous week (5.4 percent)
SOFR 3-Months (-15.3 percent) vs SOFR 3-Months previous week (-2.0 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of 244,972 contracts in the data reported through Tuesday. This was a weekly decline of -38,841 contracts from the previous week which had a total of 283,813 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 84.7 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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:	20.6	56.6	0.4
– Percent of Open Interest Shorts:	18.3	58.9	0.4
– Net Position:	244,972	-244,907	-65
– Gross Longs:	2,164,995	5,947,333	42,010
– Gross Shorts:	1,920,023	6,192,240	42,075
– Long to Short Ratio:	1.1 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	84.7	14.9	87.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-15.3	14.9	3.4

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week reached a net position of -178,027 contracts in the data reported through Tuesday. This was a weekly advance of 27,807 contracts from the previous week which had a total of -205,834 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 30.5 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 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:	7.8	76.0	1.4
– Percent of Open Interest Shorts:	16.6	66.0	2.6
– Net Position:	-178,027	201,942	-23,915
– Gross Longs:	158,853	1,540,620	28,230
– Gross Shorts:	336,880	1,338,678	52,145
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	30.5	72.7	44.1
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.9	-7.3	3.9

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week reached a net position of -1,435,448 contracts in the data reported through Tuesday. This was a weekly decline of -11,136 contracts from the previous week which had a total of -1,424,312 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 94.7 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:	9.8	82.5	6.4
– Percent of Open Interest Shorts:	44.0	51.1	3.4
– Net Position:	-1,435,448	1,312,083	123,365
– Gross Longs:	408,762	3,453,960	266,889
– Gross Shorts:	1,844,210	2,141,877	143,524
– Long to Short Ratio:	0.2 to 1	1.6 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	94.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.7	13.6	3.5

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week reached a net position of -1,191,589 contracts in the data reported through Tuesday. This was a weekly fall of -182,686 contracts from the previous week which had a total of -1,008,903 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 4.8 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 91.0 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.2	83.4	7.0
– Percent of Open Interest Shorts:	28.9	64.0	5.6
– Net Position:	-1,191,589	1,110,941	80,648
– Gross Longs:	469,045	4,790,920	403,102
– Gross Shorts:	1,660,634	3,679,979	322,454
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	4.8	92.0	91.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-13.7	13.7	3.6

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week reached a net position of -627,698 contracts in the data reported through Tuesday. This was a weekly fall of -64,336 contracts from the previous week which had a total of -563,362 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 21.6 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.3 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.2	76.1	9.8
– Percent of Open Interest Shorts:	25.6	64.7	7.8
– Net Position:	-627,698	531,947	95,751
– Gross Longs:	572,295	3,568,418	461,152
– Gross Shorts:	1,199,993	3,036,471	365,401
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.6	72.7	94.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.2	-14.6	11.5

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week reached a net position of -252,307 contracts in the data reported through Tuesday. This was a weekly lowering of -2,438 contracts from the previous week which had a total of -249,869 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 0.2 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 95.5 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.8	77.3	11.0
– Percent of Open Interest Shorts:	22.3	63.2	12.6
– Net Position:	-252,307	283,428	-31,121
– Gross Longs:	196,655	1,555,303	222,295
– Gross Shorts:	448,962	1,271,875	253,416
– Long to Short Ratio:	0.4 to 1	1.2 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.2	94.9	95.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.9	9.2	43.3

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week reached a net position of -155,381 contracts in the data reported through Tuesday. This was a weekly fall of -19,143 contracts from the previous week which had a total of -136,238 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 29.4 percent. The commercials are Bearish with a score of 47.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.9 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.3	76.2	14.7
– Percent of Open Interest Shorts:	18.6	68.8	10.7
– Net Position:	-155,381	101,237	54,144
– Gross Longs:	100,784	1,049,386	202,248
– Gross Shorts:	256,165	948,149	148,104
– Long to Short Ratio:	0.4 to 1	1.1 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.4	47.1	87.9
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	15.9	-20.1	7.4

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week reached a net position of -336,440 contracts in the data reported through Tuesday. This was a weekly advance of 27,106 contracts from the previous week which had a total of -363,546 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 48.5 percent. The commercials are Bearish with a score of 48.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.0 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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.8	82.7	11.3
– Percent of Open Interest Shorts:	27.4	63.0	9.4
– Net Position:	-336,440	307,001	29,439
– Gross Longs:	90,876	1,290,048	176,509
– Gross Shorts:	427,316	983,047	147,070
– Long to Short Ratio:	0.2 to 1	1.3 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.5	48.8	65.0
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	22.3	-22.0	-9.2

 

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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.