COT Bonds Charts: Speculator Bets led higher by Fed Funds & SOFR 3-Months

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 January 16th 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 & SOFR 3-Months

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

Leading the gains for the bond markets was the Fed Funds (70,133 contracts) with the SOFR 3-Months (65,855 contracts), the 2-Year Bonds (36,150 contracts), the US Treasury Bonds (28,000 contracts) and the Ultra 10-Year Bonds (13,627 contracts) also showing positive weeks.

The bond markets with decreases in speculator bets for the week were the 10-Year Bonds (-102,365 contracts), the 5-Year Bonds (-26,655 contracts) and the Ultra Treasury Bonds (-9,423 contracts) also registering lower bets on the week.

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Bonds – Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

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Strength Scores led by SOFR 3-Months & Fed Funds

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 (100 percent) leads the bond markets this week. The Ultra Treasury Bonds (54 percent) and the Fed Funds (54 percent) come in as the next highest in the weekly strength scores.

On the downside, the 10-Year Bonds (0 percent), the 5-Year Bonds (17 percent) and the 2-Year Bonds (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the Ultra 10-Year Bonds (21 percent).

Strength Statistics:
Fed Funds (54.4 percent) vs Fed Funds previous week (39.5 percent)
2-Year Bond (17.5 percent) vs 2-Year Bond previous week (15.2 percent)
5-Year Bond (17.4 percent) vs 5-Year Bond previous week (19.1 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (9.6 percent)
Ultra 10-Year Bond (21.4 percent) vs Ultra 10-Year Bond previous week (18.9 percent)
US Treasury Bond (39.0 percent) vs US Treasury Bond previous week (29.2 percent)
Ultra US Treasury Bond (54.1 percent) vs Ultra US Treasury Bond previous week (57.9 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (96.6 percent)

 

Ultra 10-Year Bonds & Fed Funds 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 10-Year Bonds (20 percent) and the Fed Funds (19 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (17 percent) are the next highest positive mover in the latest trends data.

The 10-Year Bonds (-24 percent) and the Ultra Treasury Bonds (-2 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (18.6 percent) vs Fed Funds previous week (14.4 percent)
2-Year Bond (17.5 percent) vs 2-Year Bond previous week (3.2 percent)
5-Year Bond (14.9 percent) vs 5-Year Bond previous week (14.6 percent)
10-Year Bond (-23.6 percent) vs 10-Year Bond previous week (-9.5 percent)
Ultra 10-Year Bond (19.5 percent) vs Ultra 10-Year Bond previous week (15.2 percent)
US Treasury Bond (0.8 percent) vs US Treasury Bond previous week (-18.7 percent)
Ultra US Treasury Bond (-2.4 percent) vs Ultra US Treasury Bond previous week (6.5 percent)
SOFR 3-Months (12.5 percent) vs SOFR 3-Months previous week (8.2 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of 751,218 contracts in the data reported through Tuesday. This was a weekly increase of 65,855 contracts from the previous week which had a total of 685,363 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 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:	19.7	50.0	0.3
– Percent of Open Interest Shorts:	12.2	57.4	0.4
– Net Position:	751,218	-744,978	-6,240
– Gross Longs:	1,980,330	5,041,095	32,482
– Gross Shorts:	1,229,112	5,786,073	38,722
– Long to Short Ratio:	1.6 to 1	0.9 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	100.0	0.0	84.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	12.5	-12.4	-1.7

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week resulted in a net position of -66,060 contracts in the data reported through Tuesday. This was a weekly increase of 70,133 contracts from the previous week which had a total of -136,193 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 54.4 percent. The commercials are Bearish with a score of 47.7 percent and the small traders (not shown in chart) are Bullish with a score of 54.5 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.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.6	65.9	2.0
– Percent of Open Interest Shorts:	17.2	61.2	3.1
– Net Position:	-66,060	84,651	-18,591
– Gross Longs:	245,775	1,193,992	36,694
– Gross Shorts:	311,835	1,109,341	55,285
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	54.4	47.7	54.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	18.6	-17.1	-13.0

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,202,507 contracts in the data reported through Tuesday. This was a weekly lift of 36,150 contracts from the previous week which had a total of -1,238,657 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 17.5 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: 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:	11.2	80.9	6.4
– Percent of Open Interest Shorts:	42.0	52.9	3.4
– Net Position:	-1,202,507	1,088,522	113,985
– Gross Longs:	437,046	3,153,891	248,329
– Gross Shorts:	1,639,553	2,065,369	134,344
– 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):	17.5	82.2	87.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.5	-17.8	-10.4

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,196,837 contracts in the data reported through Tuesday. This was a weekly lowering of -26,655 contracts from the previous week which had a total of -1,170,182 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 17.4 percent. The commercials are Bullish with a score of 78.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.0	83.5	7.3
– Percent of Open Interest Shorts:	28.2	65.8	4.8
– Net Position:	-1,196,837	1,045,883	150,954
– Gross Longs:	470,260	4,939,008	432,568
– Gross Shorts:	1,667,097	3,893,125	281,614
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	17.4	78.8	94.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	14.9	-18.1	3.0

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week resulted in a net position of -889,385 contracts in the data reported through Tuesday. This was a weekly lowering of -102,365 contracts from the previous week which had a total of -787,020 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 88.0 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.9	80.9	8.7
– Percent of Open Interest Shorts:	27.6	63.5	7.3
– Net Position:	-889,385	822,775	66,610
– Gross Longs:	421,532	3,836,497	411,684
– Gross Shorts:	1,310,917	3,013,722	345,074
– 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):	0.0	100.0	88.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-23.6	30.4	3.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -160,172 contracts in the data reported through Tuesday. This was a weekly gain of 13,627 contracts from the previous week which had a total of -173,799 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 21.4 percent. The commercials are Bullish with a score of 78.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.8 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:	15.9	73.5	9.7
– Percent of Open Interest Shorts:	23.5	62.2	13.3
– Net Position:	-160,172	236,238	-76,066
– Gross Longs:	332,232	1,539,371	203,162
– Gross Shorts:	492,404	1,303,133	279,228
– Long to Short Ratio:	0.7 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.4	78.5	68.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.5	-20.3	-3.4

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week resulted in a net position of -127,752 contracts in the data reported through Tuesday. This was a weekly boost of 28,000 contracts from the previous week which had a total of -155,752 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 39.0 percent. The commercials are Bearish with a score of 37.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.6	73.3	13.6
– Percent of Open Interest Shorts:	21.4	68.4	9.6
– Net Position:	-127,752	70,146	57,606
– Gross Longs:	181,558	1,056,607	195,609
– Gross Shorts:	309,310	986,461	138,003
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	39.0	37.2	90.4
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.8	-4.7	7.6

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -322,618 contracts in the data reported through Tuesday. This was a weekly decrease of -9,423 contracts from the previous week which had a total of -313,195 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 54.1 percent. The commercials are Bearish with a score of 46.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.8 percent.

Price Trend-Following Model: Uptrend

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.8	79.8	10.1
– Percent of Open Interest Shorts:	29.0	61.5	9.1
– Net Position:	-322,618	306,074	16,544
– Gross Longs:	165,101	1,339,541	170,046
– Gross Shorts:	487,719	1,033,467	153,502
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	54.1	46.3	52.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.4	6.2	-6.0

 

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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.