COT Bonds Charts: Speculators bets led Fed Funds & 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 Tuesday December 5th 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 & 10-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (50,336 contracts) with the 10-Year Bonds (48,898 contracts) and the Ultra Treasury Bonds (12,603 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-30,927 contracts), the 2-Year Bonds (-187,185 contracts), the US Treasury Bonds (-27,903 contracts), the SOFR 3-Months (-15,457 contracts) and the Ultra 10-Year Bonds (-9,960 contracts) also having 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 (99 percent) and the Ultra Treasury Bonds (56 percent) were leading the bond markets this week.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the 5-Year Bonds (3 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (35.8 percent) vs Fed Funds previous week (25.1 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (12.0 percent)
5-Year Bond (2.5 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (20.7 percent) vs 10-Year Bond previous week (16.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.8 percent)
US Treasury Bond (38.2 percent) vs US Treasury Bond previous week (47.9 percent)
Ultra US Treasury Bond (56.5 percent) vs Ultra US Treasury Bond previous week (51.4 percent)
SOFR 3-Months (99.1 percent) vs SOFR 3-Months previous week (100.0 percent)

 

Ultra Treasury Bonds & SOFR 3-Months 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 (19 percent) and the SOFR 3-Months (13 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-27 percent) and the 10-Year Bonds (-7 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-3 percent) and the 2-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (11.3 percent) vs Fed Funds previous week (19.7 percent)
2-Year Bond (-3.3 percent) vs 2-Year Bond previous week (4.2 percent)
5-Year Bond (-26.9 percent) vs 5-Year Bond previous week (-17.1 percent)
10-Year Bond (-7.1 percent) vs 10-Year Bond previous week (2.5 percent)
Ultra 10-Year Bond (-3.3 percent) vs Ultra 10-Year Bond previous week (-3.1 percent)
US Treasury Bond (2.1 percent) vs US Treasury Bond previous week (28.0 percent)
Ultra US Treasury Bond (18.9 percent) vs Ultra US Treasury Bond previous week (13.0 percent)
SOFR 3-Months (13.5 percent) vs SOFR 3-Months previous week (18.1 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 511,780 contracts in the data reported through Tuesday. This was a weekly lowering of -15,457 contracts from the previous week which had a total of 527,237 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 99.1 percent. The commercials are Bearish-Extreme with a score of 1.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 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:	20.2	53.7	0.7
– Percent of Open Interest Shorts:	15.5	58.3	0.8
– Net Position:	511,780	-508,691	-3,089
– Gross Longs:	2,213,085	5,890,360	79,464
– Gross Shorts:	1,701,305	6,399,051	82,553
– Long to Short Ratio:	1.3 to 1	0.9 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	99.1	1.0	86.2
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	13.5	-13.3	-1.8

 

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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 -153,154 contracts in the data reported through Tuesday. This was a weekly increase of 50,336 contracts from the previous week which had a total of -203,490 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 35.8 percent. The commercials are Bullish with a score of 64.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 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:	9.4	74.5	2.0
– Percent of Open Interest Shorts:	19.7	63.4	2.8
– Net Position:	-153,154	165,097	-11,943
– Gross Longs:	138,769	1,104,260	30,097
– Gross Shorts:	291,923	939,163	42,040
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.8	64.8	67.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.3	-13.2	18.0

 

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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 -1,476,016 contracts in the data reported through Tuesday. This was a weekly reduction of -187,185 contracts from the previous week which had a total of -1,288,831 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 97.7 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.6	82.4	6.6
– Percent of Open Interest Shorts:	45.5	49.9	3.1
– Net Position:	-1,476,016	1,334,625	141,391
– Gross Longs:	392,729	3,387,065	269,898
– Gross Shorts:	1,868,745	2,052,440	128,507
– Long to Short Ratio:	0.2 to 1	1.7 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	97.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.3	2.7	5.7

 

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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 -1,429,427 contracts in the data reported through Tuesday. This was a weekly reduction of -30,927 contracts from the previous week which had a total of -1,398,500 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 2.5 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.8 percent.

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

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:	7.2	84.2	7.6
– Percent of Open Interest Shorts:	31.9	61.8	5.2
– Net Position:	-1,429,427	1,292,579	136,848
– Gross Longs:	413,024	4,864,463	438,764
– Gross Shorts:	1,842,451	3,571,884	301,916
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	2.5	96.9	96.8
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-26.9	25.4	16.7

 

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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 -636,456 contracts in the data reported through Tuesday. This was a weekly gain of 48,898 contracts from the previous week which had a total of -685,354 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 20.7 percent. The commercials are Bullish with a score of 76.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

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

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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.6	78.3	9.2
– Percent of Open Interest Shorts:	24.7	65.4	8.0
– Net Position:	-636,456	584,114	52,342
– Gross Longs:	482,555	3,552,088	415,343
– Gross Shorts:	1,119,011	2,967,974	363,001
– 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):	20.7	76.2	84.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.1	15.0	-9.6

 

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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 -267,855 contracts in the data reported through Tuesday. This was a weekly reduction of -9,960 contracts from the previous week which had a total of -257,895 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 with a score of 72.3 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.5	78.8	9.9
– Percent of Open Interest Shorts:	24.0	61.8	13.4
– Net Position:	-267,855	338,116	-70,261
– Gross Longs:	209,338	1,569,511	196,892
– Gross Shorts:	477,193	1,231,395	267,153
– Long to Short Ratio:	0.4 to 1	1.3 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	72.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.3	6.9	-9.6

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -130,079 contracts in the data reported through Tuesday. This was a weekly reduction of -27,903 contracts from the previous week which had a total of -102,176 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 38.2 percent. The commercials are Bearish with a score of 41.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.8 percent.

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

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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.6	76.1	14.8
– Percent of Open Interest Shorts:	18.6	69.7	11.1
– Net Position:	-130,079	82,852	47,227
– Gross Longs:	111,684	989,196	192,050
– Gross Shorts:	241,763	906,344	144,823
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	38.2	41.9	82.8
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.1	-3.5	2.3

 

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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 -316,662 contracts in the data reported through Tuesday. This was a weekly increase of 12,603 contracts from the previous week which had a total of -329,265 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 56.5 percent. The commercials are Bearish with a score of 40.1 percent and the small traders (not shown in chart) are Bullish with a score of 58.8 percent.

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

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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.3	82.3	11.0
– Percent of Open Interest Shorts:	26.3	63.8	9.6
– Net Position:	-316,662	293,770	22,892
– Gross Longs:	99,089	1,304,089	174,300
– Gross Shorts:	415,751	1,010,319	151,408
– 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):	56.5	40.1	58.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	18.9	-22.7	-1.7

 

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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.