COT Bonds Charts: Speculator Bets led higher by 5-Year & 2-Year Treasuries

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 February 20th 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 & 2-Year Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (82,993 contracts) with the 2-Year Bonds (78,890 contracts), the Ultra 10-Year Bonds (39,667 contracts), the 10-Year Bonds (31,453 contracts), the US Treasury Bonds (18,577 contracts) and the Ultra Treasury Bonds (12,116 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-218,152 contracts) and the Fed Funds (-20,549 contracts).

---

Bonds Net Speculators Leaderboard

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

---

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 (79 percent) and the Ultra Treasury Bonds (56 percent) lead the bond markets this week. The US Treasury Bonds (50 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (15 percent), the 10-Year Bonds (15 percent) and the Ultra 10-Year Bonds (16 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (33.8 percent) vs Fed Funds previous week (38.2 percent)
2-Year Bond (23.5 percent) vs 2-Year Bond previous week (18.4 percent)
5-Year Bond (15.0 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (15.0 percent) vs 10-Year Bond previous week (12.0 percent)
Ultra 10-Year Bond (15.8 percent) vs Ultra 10-Year Bond previous week (8.6 percent)
US Treasury Bond (50.5 percent) vs US Treasury Bond previous week (44.0 percent)
Ultra US Treasury Bond (55.7 percent) vs Ultra US Treasury Bond previous week (50.6 percent)
SOFR 3-Months (79.3 percent) vs SOFR 3-Months previous week (90.6 percent)

---

US Treasury Bonds & 2-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 US Treasury Bonds (21 percent) and the 2-Year Bonds (8 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (5 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-16 percent), the Fed Funds (-6 percent), the Ultra Treasury Bonds (-4 percent) and the 5-Year Bonds (-4 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-5.6 percent) vs Fed Funds previous week (-2.3 percent)
2-Year Bond (8.3 percent) vs 2-Year Bond previous week (3.5 percent)
5-Year Bond (-4.0 percent) vs 5-Year Bond previous week (-1.7 percent)
10-Year Bond (5.4 percent) vs 10-Year Bond previous week (6.7 percent)
Ultra 10-Year Bond (-3.1 percent) vs Ultra 10-Year Bond previous week (3.4 percent)
US Treasury Bond (21.2 percent) vs US Treasury Bond previous week (9.5 percent)
Ultra US Treasury Bond (-4.0 percent) vs Ultra US Treasury Bond previous week (-13.3 percent)
SOFR 3-Months (-16.4 percent) vs SOFR 3-Months previous week (4.2 percent)

---

Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of 368,390 contracts in the data reported through Tuesday. This was a weekly lowering of -218,152 contracts from the previous week which had a total of 586,542 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 79.3 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 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:	16.2	53.5	0.3
– Percent of Open Interest Shorts:	12.8	56.9	0.3
– Net Position:	368,390	-362,195	-6,195
– Gross Longs:	1,725,366	5,681,651	28,747
– Gross Shorts:	1,356,976	6,043,846	34,942
– Long to Short Ratio:	1.3 to 1	0.9 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	79.3	20.8	84.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.4	16.2	2.4

 

---

30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week reached a net position of -162,530 contracts in the data reported through Tuesday. This was a weekly reduction of -20,549 contracts from the previous week which had a total of -141,981 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 33.8 percent. The commercials are Bullish with a score of 65.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.7 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.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.8	70.8	1.8
– Percent of Open Interest Shorts:	22.1	62.2	2.1
– Net Position:	-162,530	167,802	-5,272
– Gross Longs:	271,668	1,388,807	35,047
– Gross Shorts:	434,198	1,221,005	40,319
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.8	65.4	80.7
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.6	5.4	2.3

 

---

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week reached a net position of -1,109,124 contracts in the data reported through Tuesday. This was a weekly increase of 78,890 contracts from the previous week which had a total of -1,188,014 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 23.5 percent. The commercials are Bullish with a score of 74.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 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.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.5	80.6	6.6
– Percent of Open Interest Shorts:	37.0	56.3	3.4
– Net Position:	-1,109,124	980,154	128,970
– Gross Longs:	381,752	3,249,920	266,793
– Gross Shorts:	1,490,876	2,269,766	137,823
– Long to Short Ratio:	0.3 to 1	1.4 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.5	74.3	93.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.3	-9.4	-0.0

 

---

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week reached a net position of -1,233,300 contracts in the data reported through Tuesday. This was a weekly rise of 82,993 contracts from the previous week which had a total of -1,316,293 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 15.0 percent. The commercials are Bullish-Extreme with a score of 85.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.0	83.6	6.4
– Percent of Open Interest Shorts:	27.6	64.5	5.0
– Net Position:	-1,233,300	1,146,260	87,040
– Gross Longs:	423,001	5,017,564	386,235
– Gross Shorts:	1,656,301	3,871,304	299,195
– 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):	15.0	85.7	81.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.0	10.5	-15.8

 

---

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week reached a net position of -729,066 contracts in the data reported through Tuesday. This was a weekly boost of 31,453 contracts from the previous week which had a total of -760,519 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 15.0 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.9 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.9	77.3	8.9
– Percent of Open Interest Shorts:	25.0	63.6	7.4
– Net Position:	-729,066	658,453	70,613
– Gross Longs:	477,012	3,724,770	428,886
– Gross Shorts:	1,206,078	3,066,317	358,273
– 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):	15.0	79.1	88.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.4	-8.7	2.2

 

---

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week reached a net position of -191,039 contracts in the data reported through Tuesday. This was a weekly advance of 39,667 contracts from the previous week which had a total of -230,706 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 15.8 percent. The commercials are Bullish-Extreme with a score of 88.0 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 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:	12.1	75.6	8.9
– Percent of Open Interest Shorts:	20.7	62.8	13.1
– Net Position:	-191,039	283,638	-92,599
– Gross Longs:	267,786	1,672,832	196,088
– Gross Shorts:	458,825	1,389,194	288,687
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	15.8	88.0	59.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.1	7.8	-12.9

 

---

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week reached a net position of -94,794 contracts in the data reported through Tuesday. This was a weekly advance of 18,577 contracts from the previous week which had a total of -113,371 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 50.5 percent. The commercials are Bearish with a score of 28.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.5 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:	13.1	71.2	14.6
– Percent of Open Interest Shorts:	19.8	68.1	11.0
– Net Position:	-94,794	43,899	50,895
– Gross Longs:	185,825	1,008,905	206,932
– Gross Shorts:	280,619	965,006	156,037
– Long to Short Ratio:	0.7 to 1	1.0 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	50.5	28.1	85.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	21.2	-19.9	-6.4

 

---

Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week reached a net position of -322,760 contracts in the data reported through Tuesday. This was a weekly lift of 12,116 contracts from the previous week which had a total of -334,876 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 55.7 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 56.1 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 US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.4	79.0	10.0
– Percent of Open Interest Shorts:	28.5	61.0	8.8
– Net Position:	-322,760	302,669	20,091
– Gross Longs:	158,142	1,333,231	168,395
– Gross Shorts:	480,902	1,030,562	148,304
– 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):	55.7	44.6	56.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.0	6.3	-2.7

 

---

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.