COT Bonds Charts: Speculator Bets led by 10-Year & 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 April 9th 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 10-Year Bonds & 5-Year Bonds

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.

Leading the gains for the bond markets was the 10-Year Bonds (63,072 contracts) with the 5-Year Bonds (44,881 contracts), Fed Funds (42,519 contracts), and the Ultra Treasury Bonds (17,598 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-145,148 contracts), the US Treasury Bonds (-19,500 contracts), the Ultra 10-Year Bonds (-16,429 contracts) and the 2-Year Bonds (-11,716 contracts) also recording lower bets on the week.

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Net 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 (71 percent) and the Ultra Treasury Bonds (67 percent) lead the bond markets this week. The Fed Funds (62 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (15 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (24 percent), the 2-Year Bonds (34 percent) and the 10-Year Bonds (36 percent).

Strength Statistics:
Fed Funds (62.0 percent) vs Fed Funds previous week (52.9 percent)
2-Year Bond (33.9 percent) vs 2-Year Bond previous week (34.6 percent)
5-Year Bond (14.7 percent) vs 5-Year Bond previous week (11.8 percent)
10-Year Bond (35.7 percent) vs 10-Year Bond previous week (29.8 percent)
Ultra 10-Year Bond (24.1 percent) vs Ultra 10-Year Bond previous week (27.4 percent)
US Treasury Bond (57.3 percent) vs US Treasury Bond previous week (64.1 percent)
Ultra US Treasury Bond (66.9 percent) vs Ultra US Treasury Bond previous week (59.6 percent)
SOFR 3-Months (71.0 percent) vs SOFR 3-Months previous week (78.5 percent)

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Fed Funds & 10-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 Fed Funds (41 percent) and the 10-Year Bonds (15 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (10 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-21 percent) and the SOFR 3-Months (-9 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (40.7 percent) vs Fed Funds previous week (19.1 percent)
2-Year Bond (-0.2 percent) vs 2-Year Bond previous week (11.2 percent)
5-Year Bond (-2.8 percent) vs 5-Year Bond previous week (-3.3 percent)
10-Year Bond (14.8 percent) vs 10-Year Bond previous week (14.9 percent)
Ultra 10-Year Bond (6.2 percent) vs Ultra 10-Year Bond previous week (9.8 percent)
US Treasury Bond (-21.3 percent) vs US Treasury Bond previous week (13.6 percent)
Ultra US Treasury Bond (10.0 percent) vs Ultra US Treasury Bond previous week (3.9 percent)
SOFR 3-Months (-8.6 percent) vs SOFR 3-Months previous week (-0.8 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 207,937 contracts in the data reported through Tuesday. This was a weekly lowering of -145,148 contracts from the previous week which had a total of 353,085 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 71.0 percent. The commercials are Bearish with a score of 29.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 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:	16.9	55.7	0.3
– Percent of Open Interest Shorts:	14.9	57.7	0.3
– Net Position:	207,937	-205,509	-2,428
– Gross Longs:	1,737,995	5,712,438	31,071
– Gross Shorts:	1,530,058	5,917,947	33,499
– Long to Short Ratio:	1.1 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	71.0	29.0	86.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.6	8.4	2.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week totaled a net position of -30,696 contracts in the data reported through Tuesday. This was a weekly lift of 42,519 contracts from the previous week which had a total of -73,215 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 62.0 percent. The commercials are Bearish with a score of 38.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.2 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:	17.5	66.8	2.0
– Percent of Open Interest Shorts:	19.1	64.7	2.4
– Net Position:	-30,696	39,787	-9,091
– Gross Longs:	330,432	1,262,667	37,050
– Gross Shorts:	361,128	1,222,880	46,141
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	62.0	38.2	73.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	40.7	-39.0	-14.6

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week totaled a net position of -946,290 contracts in the data reported through Tuesday. This was a weekly decline of -11,716 contracts from the previous week which had a total of -934,574 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 33.9 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: New Sell – Short Position.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.5	79.2	6.6
– Percent of Open Interest Shorts:	37.0	57.5	3.7
– Net Position:	-946,290	835,258	111,032
– Gross Longs:	480,808	3,054,858	255,152
– Gross Shorts:	1,427,098	2,219,600	144,120
– Long to Short Ratio:	0.3 to 1	1.4 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.9	63.8	86.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.2	1.8	-8.7

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week totaled a net position of -1,239,420 contracts in the data reported through Tuesday. This was a weekly boost of 44,881 contracts from the previous week which had a total of -1,284,301 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 14.7 percent. The commercials are Bullish-Extreme with a score of 84.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	7.5	83.5	6.8
– Percent of Open Interest Shorts:	27.9	64.8	5.1
– Net Position:	-1,239,420	1,135,137	104,283
– Gross Longs:	453,736	5,069,821	414,045
– Gross Shorts:	1,693,156	3,934,684	309,762
– 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):	14.7	84.6	84.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.8	5.9	-6.9

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week totaled a net position of -506,885 contracts in the data reported through Tuesday. This was a weekly increase of 63,072 contracts from the previous week which had a total of -569,957 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 35.7 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	11.3	77.1	9.3
– Percent of Open Interest Shorts:	23.0	65.7	9.2
– Net Position:	-506,885	499,361	7,524
– Gross Longs:	494,910	3,362,732	407,654
– Gross Shorts:	1,001,795	2,863,371	400,130
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.7	58.8	75.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	14.8	-14.9	-9.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week totaled a net position of -159,423 contracts in the data reported through Tuesday. This was a weekly lowering of -16,429 contracts from the previous week which had a total of -142,994 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 24.1 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bullish with a score of 70.8 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:	14.1	73.8	10.5
– Percent of Open Interest Shorts:	21.9	62.4	14.0
– Net Position:	-159,423	232,177	-72,754
– Gross Longs:	287,329	1,507,019	214,044
– Gross Shorts:	446,752	1,274,842	286,798
– 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):	24.1	72.3	70.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.2	-7.3	-0.5

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week totaled a net position of -75,190 contracts in the data reported through Tuesday. This was a weekly decrease of -19,500 contracts from the previous week which had a total of -55,690 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 57.3 percent. The commercials are Bearish with a score of 33.0 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	15.0	71.5	12.4
– Percent of Open Interest Shorts:	19.9	68.6	10.4
– Net Position:	-75,190	44,815	30,375
– Gross Longs:	228,657	1,092,218	189,742
– Gross Shorts:	303,847	1,047,403	159,367
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	57.3	33.0	70.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.3	31.7	-12.4

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -295,855 contracts in the data reported through Tuesday. This was a weekly lift of 17,598 contracts from the previous week which had a total of -313,453 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 66.9 percent. The commercials are Bearish with a score of 41.7 percent and the small traders (not shown in chart) are Bearish with a score of 36.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	8.6	80.1	11.0
– Percent of Open Interest Shorts:	27.1	61.6	11.1
– Net Position:	-295,855	296,883	-1,028
– Gross Longs:	138,457	1,283,593	176,373
– Gross Shorts:	434,312	986,710	177,401
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	66.9	41.7	36.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.0	4.6	-31.2

 

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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.