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 November 14th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.
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.
Free Reports:
Leading the gains for the bond markets was the 2-Year Bonds (65,612 contracts) with the SOFR 3-Months (30,097 contracts), the 5-Year Bonds (7,144 contracts) and the US Treasury Bonds (2,059 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the Fed Funds (-71,074 contracts), the 10-Year Bonds (-57,267 contracts), the Ultra Treasury Bonds (-396 contracts) and the Ultra 10-Year Bonds (-1,256 contracts) also having lower bets on the week.
| Nov-14-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| SOFR-3-Months | 10,540,400 | 99 | 416,726 | 95 | -417,795 | 5 | 1,069 | 88 |
| FedFunds | 1,766,824 | 69 | -150,121 | 36 | 172,717 | 66 | -22,596 | 47 |
| 2-Year | 4,208,593 | 100 | -1,388,094 | 4 | 1,256,356 | 95 | 131,738 | 98 |
| Long T-Bond | 1,354,137 | 76 | -128,739 | 39 | 64,754 | 34 | 63,985 | 95 |
| 10-Year | 4,743,217 | 90 | -661,766 | 18 | 595,655 | 79 | 66,111 | 88 |
| 5-Year | 6,084,468 | 100 | -1,416,240 | 0 | 1,291,283 | 97 | 124,957 | 100 |
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 (95 percent) and the Ultra Treasury Bonds (53 percent) lead the bond markets this week. The US Treasury Bonds (39 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Ultra 10-Year Bonds (0 percent), the 5-Year Bonds (0 percent), the 2-Year Bonds (4 percent) and the 10-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (36.5 percent) vs Fed Funds previous week (51.7 percent)
2-Year Bond (4.3 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (0.5 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (18.3 percent) vs 10-Year Bond previous week (23.8 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (0.2 percent)
US Treasury Bond (38.6 percent) vs US Treasury Bond previous week (37.9 percent)
Ultra US Treasury Bond (52.8 percent) vs Ultra US Treasury Bond previous week (53.0 percent)
SOFR 3-Months (95.0 percent) vs SOFR 3-Months previous week (93.2 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (39 percent), the Ultra Treasury Bonds (17 percent) and the Fed Funds (17 percent) lead the past six weeks trends for bonds.
The 5-Year Bonds (-21 percent), the 2-Year Bonds (-7 percent) and the Ultra 10-Year Bonds (-4 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (16.9 percent) vs Fed Funds previous week (24.8 percent)
2-Year Bond (-7.1 percent) vs 2-Year Bond previous week (-15.8 percent)
5-Year Bond (-21.3 percent) vs 5-Year Bond previous week (-26.2 percent)
10-Year Bond (7.0 percent) vs 10-Year Bond previous week (12.4 percent)
Ultra 10-Year Bond (-3.8 percent) vs Ultra 10-Year Bond previous week (-12.3 percent)
US Treasury Bond (38.6 percent) vs US Treasury Bond previous week (35.5 percent)
Ultra US Treasury Bond (17.1 percent) vs Ultra US Treasury Bond previous week (19.4 percent)
SOFR 3-Months (7.5 percent) vs SOFR 3-Months previous week (4.2 percent)
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 95.0 percent. The commercials are Bearish-Extreme with a score of 4.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.5 percent.
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: | 21.0 | 54.6 | 0.3 |
| – Percent of Open Interest Shorts: | 17.0 | 58.5 | 0.3 |
| – Net Position: | 416,726 | -417,795 | 1,069 |
| – Gross Longs: | 2,213,604 | 5,752,667 | 35,163 |
| – Gross Shorts: | 1,796,878 | 6,170,462 | 34,094 |
| – Long to Short Ratio: | 1.2 to 1 | 0.9 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 95.0 | 4.5 | 88.5 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 7.5 | -7.6 | 0.8 |
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 36.5 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bearish with a score of 46.7 percent.
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: | 8.1 | 76.2 | 1.9 |
| – Percent of Open Interest Shorts: | 16.6 | 66.4 | 3.2 |
| – Net Position: | -150,121 | 172,717 | -22,596 |
| – Gross Longs: | 142,411 | 1,346,353 | 34,086 |
| – Gross Shorts: | 292,532 | 1,173,636 | 56,682 |
| – 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): | 36.5 | 66.4 | 46.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 16.9 | -15.3 | -13.9 |
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 4.3 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 98.0 percent.
Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.4 | 81.6 | 6.3 |
| – Percent of Open Interest Shorts: | 43.3 | 51.7 | 3.1 |
| – Net Position: | -1,388,094 | 1,256,356 | 131,738 |
| – Gross Longs: | 435,839 | 3,432,176 | 264,080 |
| – Gross Shorts: | 1,823,933 | 2,175,820 | 132,342 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 4.3 | 94.9 | 98.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.1 | 8.4 | -2.0 |
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 96.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.
Our weekly trend-following model classifies the current market price position as: Weak 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: | 7.4 | 83.1 | 7.2 |
| – Percent of Open Interest Shorts: | 30.7 | 61.9 | 5.1 |
| – Net Position: | -1,416,240 | 1,291,283 | 124,957 |
| – Gross Longs: | 448,867 | 5,057,978 | 436,788 |
| – Gross Shorts: | 1,865,107 | 3,766,695 | 311,831 |
| – Long to Short Ratio: | 0.2 to 1 | 1.3 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.5 | 96.8 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -21.3 | 19.4 | 14.0 |
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 18.3 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.9 percent.
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: | 10.8 | 77.7 | 9.2 |
| – Percent of Open Interest Shorts: | 24.8 | 65.1 | 7.8 |
| – Net Position: | -661,766 | 595,655 | 66,111 |
| – Gross Longs: | 514,109 | 3,684,382 | 435,784 |
| – Gross Shorts: | 1,175,875 | 3,088,727 | 369,673 |
| – 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): | 18.3 | 79.4 | 87.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 7.0 | -8.6 | 0.2 |
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 98.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.1 percent.
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: | 9.6 | 78.2 | 10.5 |
| – Percent of Open Interest Shorts: | 22.6 | 62.8 | 12.8 |
| – Net Position: | -265,436 | 314,068 | -48,632 |
| – Gross Longs: | 195,468 | 1,597,398 | 213,588 |
| – Gross Shorts: | 460,904 | 1,283,330 | 262,220 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 98.9 | 85.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.8 | 5.9 | -4.6 |
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 38.6 percent. The commercials are Bearish with a score of 34.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.0 percent.
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: | 8.1 | 75.3 | 15.2 |
| – Percent of Open Interest Shorts: | 17.6 | 70.5 | 10.5 |
| – Net Position: | -128,739 | 64,754 | 63,985 |
| – Gross Longs: | 109,797 | 1,019,283 | 206,287 |
| – Gross Shorts: | 238,536 | 954,529 | 142,302 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 38.6 | 34.0 | 95.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 38.6 | -52.4 | 25.3 |
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 52.8 percent. The commercials are Bearish with a score of 44.4 percent and the small traders (not shown in chart) are Bullish with a score of 63.5 percent.
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: | 5.6 | 82.4 | 10.9 |
| – Percent of Open Interest Shorts: | 26.2 | 63.6 | 9.1 |
| – Net Position: | -325,761 | 297,854 | 27,907 |
| – Gross Longs: | 89,069 | 1,306,531 | 172,720 |
| – Gross Shorts: | 414,830 | 1,008,677 | 144,813 |
| – 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): | 52.8 | 44.4 | 63.5 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 17.1 | -17.0 | -6.8 |
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.
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