COT Bonds Charts: Speculator bets led by 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 January 30th 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 5-Year Bonds & 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 5-Year Bonds (38,211 contracts) with the Ultra Treasury Bonds (641 contracts) also having a small positive week.

The bond markets with declines in speculator bets for the week were the Fed Funds (-80,701 contracts), the 10-Year Bonds (-74,337 contracts), the SOFR 3-Months (-64,042 contracts), the Ultra 10-Year Bonds (-40,595 contracts), the 2-Year Bonds (-38,116 contracts) and the US Treasury Bonds (-8,491 contracts) also registering lower bets on the week.

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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 & 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 (97 percent) and the Ultra Treasury Bonds (52 percent) led the bond markets this week.

On the downside, the 10-Year Bonds (3 percent), the 2-Year Bonds (11 percent), the Ultra 10-Year Bonds (18 percent) and the 5-Year Bonds (18 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (35.2 percent) vs Fed Funds previous week (52.5 percent)
2-Year Bond (10.8 percent) vs 2-Year Bond previous week (13.2 percent)
5-Year Bond (17.6 percent) vs 5-Year Bond previous week (15.2 percent)
10-Year Bond (2.8 percent) vs 10-Year Bond previous week (9.8 percent)
Ultra 10-Year Bond (17.9 percent) vs Ultra 10-Year Bond previous week (25.3 percent)
US Treasury Bond (35.6 percent) vs US Treasury Bond previous week (38.5 percent)
Ultra US Treasury Bond (52.2 percent) vs Ultra US Treasury Bond previous week (51.9 percent)
SOFR 3-Months (96.7 percent) vs SOFR 3-Months previous week (100.0 percent)

 

Ultra 10-Year Bonds & 5-Year 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 10-Year Bonds (16 percent) and the 5-Year Bonds (12 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (7 percent) and the  are the next highest positive movers in the latest trends data.

The Fed Funds (-24 percent), the Ultra Treasury Bonds (-16 percent) and the 10-Year Bonds (-16 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-24.0 percent) vs Fed Funds previous week (17.9 percent)
2-Year Bond (-1.0 percent) vs 2-Year Bond previous week (5.8 percent)
5-Year Bond (12.5 percent) vs 5-Year Bond previous week (7.0 percent)
10-Year Bond (-16.0 percent) vs 10-Year Bond previous week (-21.3 percent)
Ultra 10-Year Bond (15.6 percent) vs Ultra 10-Year Bond previous week (25.0 percent)
US Treasury Bond (0.2 percent) vs US Treasury Bond previous week (2.5 percent)
Ultra US Treasury Bond (-15.9 percent) vs Ultra US Treasury Bond previous week (-15.8 percent)
SOFR 3-Months (6.6 percent) vs SOFR 3-Months previous week (2.6 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 705,145 contracts in the data reported through Tuesday. This was a weekly decrease of -64,042 contracts from the previous week which had a total of 769,187 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 96.7 percent. The commercials are Bearish-Extreme with a score of 3.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.7 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:	19.3	50.7	0.3
– Percent of Open Interest Shorts:	12.6	57.5	0.3
– Net Position:	705,145	-701,186	-3,959
– Gross Longs:	2,012,056	5,282,698	28,810
– Gross Shorts:	1,306,911	5,983,884	32,769
– Long to Short Ratio:	1.5 to 1	0.9 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	96.7	3.3	85.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.6	-6.7	1.0

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week totaled a net position of -156,080 contracts in the data reported through Tuesday. This was a weekly fall of -80,701 contracts from the previous week which had a total of -75,379 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 35.2 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bullish with a score of 64.5 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:	10.5	70.1	1.4
– Percent of Open Interest Shorts:	18.2	61.7	2.0
– Net Position:	-156,080	169,562	-13,482
– Gross Longs:	213,115	1,419,260	27,738
– Gross Shorts:	369,195	1,249,698	41,220
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.2	65.8	64.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-24.0	23.9	0.4

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week totaled a net position of -1,307,001 contracts in the data reported through Tuesday. This was a weekly fall of -38,116 contracts from the previous week which had a total of -1,268,885 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 10.8 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.1 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:	9.2	83.1	6.6
– Percent of Open Interest Shorts:	42.5	53.4	3.1
– Net Position:	-1,307,001	1,167,338	139,663
– Gross Longs:	361,700	3,262,504	260,468
– Gross Shorts:	1,668,701	2,095,166	120,805
– Long to Short Ratio:	0.2 to 1	1.6 to 1	2.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	10.8	87.9	97.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.0	0.7	2.7

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week totaled a net position of -1,192,978 contracts in the data reported through Tuesday. This was a weekly advance of 38,211 contracts from the previous week which had a total of -1,231,189 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 17.6 percent. The commercials are Bullish with a score of 78.6 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	7.2
– Percent of Open Interest Shorts:	28.1	66.0	4.6
– Net Position:	-1,192,978	1,042,055	150,923
– Gross Longs:	474,604	4,958,885	426,265
– Gross Shorts:	1,667,582	3,916,830	275,342
– 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):	17.6	78.6	94.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	12.5	-14.6	0.8

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week totaled a net position of -859,015 contracts in the data reported through Tuesday. This was a weekly reduction of -74,337 contracts from the previous week which had a total of -784,678 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 2.8 percent. The commercials are Bullish-Extreme with a score of 98.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.0 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:	10.1	79.6	8.7
– Percent of Open Interest Shorts:	28.2	62.4	7.7
– Net Position:	-859,015	810,792	48,223
– Gross Longs:	476,861	3,765,976	411,708
– Gross Shorts:	1,335,876	2,955,184	363,485
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	2.8	98.5	84.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.0	21.9	-0.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week totaled a net position of -179,110 contracts in the data reported through Tuesday. This was a weekly decrease of -40,595 contracts from the previous week which had a total of -138,515 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 17.9 percent. The commercials are Bullish-Extreme with a score of 87.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.9 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:	14.2	75.6	8.9
– Percent of Open Interest Shorts:	22.7	62.3	13.7
– Net Position:	-179,110	280,254	-101,144
– Gross Longs:	298,951	1,591,383	186,641
– Gross Shorts:	478,061	1,311,129	287,785
– 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):	17.9	87.3	53.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	15.6	-12.1	-15.0

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week totaled a net position of -137,502 contracts in the data reported through Tuesday. This was a weekly reduction of -8,491 contracts from the previous week which had a total of -129,011 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 35.6 percent. The commercials are Bearish with a score of 40.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.8 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.2	72.3	14.5
– Percent of Open Interest Shorts:	21.9	66.9	10.2
– Net Position:	-137,502	76,626	60,876
– Gross Longs:	174,607	1,031,332	206,676
– Gross Shorts:	312,109	954,706	145,800
– 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):	35.6	40.6	92.8
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.2	-8.6	16.0

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -330,468 contracts in the data reported through Tuesday. This was a weekly rise of 641 contracts from the previous week which had a total of -331,109 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 52.2 percent. The commercials are Bullish with a score of 52.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.5 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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.7	80.0	10.0
– Percent of Open Interest Shorts:	29.8	60.8	9.2
– Net Position:	-330,468	317,381	13,087
– Gross Longs:	159,581	1,318,459	165,201
– Gross Shorts:	490,049	1,001,078	152,114
– 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):	52.2	52.0	49.5
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-15.9	23.5	-7.7

 

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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.