COT Bonds Charts: Speculator Weekly Changes led by 5-Year & 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 April 23th 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 & 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 5-Year Bonds (103,933 contracts) with the 10-Year Bonds (8,119 contracts) and the Fed Funds (536 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-104,410 contracts), the 2-Year Bonds (-34,423 contracts), the Ultra 10-Year Bonds (-25,928 contracts), the US Treasury Bonds (-5,407 contracts) and the Ultra Treasury Bonds (-3,700 contracts) also seeing 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 Fed Funds & US 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 Fed Funds (81 percent) and the US Treasury Bonds (76 percent) lead the bond markets this week. The Ultra Treasury Bonds (66 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (8 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 5-Year Bonds (24 percent) and the 2-Year Bonds (32 percent).

Strength Statistics:
Fed Funds (81.2 percent) vs Fed Funds previous week (81.1 percent)
2-Year Bond (31.7 percent) vs 2-Year Bond previous week (33.9 percent)
5-Year Bond (24.2 percent) vs 5-Year Bond previous week (17.5 percent)
10-Year Bond (50.0 percent) vs 10-Year Bond previous week (49.3 percent)
Ultra 10-Year Bond (7.8 percent) vs Ultra 10-Year Bond previous week (13.1 percent)
US Treasury Bond (76.1 percent) vs US Treasury Bond previous week (78.0 percent)
Ultra US Treasury Bond (65.8 percent) vs Ultra US Treasury Bond previous week (67.3 percent)
SOFR 3-Months (48.3 percent) vs SOFR 3-Months previous week (53.7 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 (54 percent) and the 10-Year Bonds (23 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (12 percent) is the next highest positive movers in the latest trends data.

The SOFR 3-Months (-34 percent) and the Ultra 10-Year Bonds (-21 percent) lead the downside trend scores currently with the 2-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (54.5 percent) vs Fed Funds previous week (52.2 percent)
2-Year Bond (-2.7 percent) vs 2-Year Bond previous week (3.4 percent)
5-Year Bond (11.0 percent) vs 5-Year Bond previous week (6.2 percent)
10-Year Bond (23.3 percent) vs 10-Year Bond previous week (32.8 percent)
Ultra 10-Year Bond (-21.5 percent) vs Ultra 10-Year Bond previous week (-5.7 percent)
US Treasury Bond (11.6 percent) vs US Treasury Bond previous week (14.7 percent)
Ultra US Treasury Bond (7.7 percent) vs Ultra US Treasury Bond previous week (11.2 percent)
SOFR 3-Months (-34.1 percent) vs SOFR 3-Months previous week (-12.5 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 -232,377 contracts in the data reported through Tuesday. This was a weekly decline of -104,410 contracts from the previous week which had a total of -127,967 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 48.3 percent. The commercials are Bullish with a score of 51.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 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:	14.5	58.3	0.3
– Percent of Open Interest Shorts:	16.8	56.0	0.4
– Net Position:	-232,377	237,071	-4,694
– Gross Longs:	1,467,240	5,894,339	33,941
– Gross Shorts:	1,699,617	5,657,268	38,635
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.3	51.8	85.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-34.1	34.0	0.9

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week totaled a net position of 59,264 contracts in the data reported through Tuesday. This was a weekly lift of 536 contracts from the previous week which had a total of 58,728 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 81.2 percent. The commercials are Bearish-Extreme with a score of 17.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 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:	21.2	61.8	2.1
– Percent of Open Interest Shorts:	18.0	64.8	2.2
– Net Position:	59,264	-57,401	-1,863
– Gross Longs:	397,936	1,161,610	40,379
– Gross Shorts:	338,672	1,219,011	42,242
– Long to Short Ratio:	1.2 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.2	17.5	87.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	54.5	-53.5	-6.5

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week totaled a net position of -980,726 contracts in the data reported through Tuesday. This was a weekly decrease of -34,423 contracts from the previous week which had a total of -946,303 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 31.7 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.6 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.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.8	79.1	6.5
– Percent of Open Interest Shorts:	37.0	58.0	3.4
– Net Position:	-980,726	855,608	125,118
– Gross Longs:	518,847	3,206,411	264,099
– Gross Shorts:	1,499,573	2,350,803	138,981
– 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):	31.7	65.3	91.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.7	2.7	2.1

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week totaled a net position of -1,090,289 contracts in the data reported through Tuesday. This was a weekly boost of 103,933 contracts from the previous week which had a total of -1,194,222 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 24.2 percent. The commercials are Bullish with a score of 72.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.1 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:	7.7	83.0	7.2
– Percent of Open Interest Shorts:	26.0	66.7	5.2
– Net Position:	-1,090,289	970,956	119,333
– Gross Longs:	458,988	4,946,205	426,940
– Gross Shorts:	1,549,277	3,975,249	307,607
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	24.2	72.0	88.1
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.0	-13.7	1.3

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week totaled a net position of -353,920 contracts in the data reported through Tuesday. This was a weekly increase of 8,119 contracts from the previous week which had a total of -362,039 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 50.0 percent. The commercials are Bearish with a score of 40.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.2	75.9	9.0
– Percent of Open Interest Shorts:	20.1	67.9	9.1
– Net Position:	-353,920	356,954	-3,034
– Gross Longs:	546,367	3,404,137	405,097
– Gross Shorts:	900,287	3,047,183	408,131
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	50.0	40.7	72.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	23.3	-26.0	-9.9

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week totaled a net position of -239,527 contracts in the data reported through Tuesday. This was a weekly fall of -25,928 contracts from the previous week which had a total of -213,599 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 7.8 percent. The commercials are Bullish-Extreme with a score of 93.6 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.4	76.7	10.2
– Percent of Open Interest Shorts:	23.0	61.3	14.0
– Net Position:	-239,527	318,016	-78,489
– Gross Longs:	234,270	1,578,675	209,370
– Gross Shorts:	473,797	1,260,659	287,859
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	7.8	93.6	67.4
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.5	27.7	-3.6

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week totaled a net position of -21,171 contracts in the data reported through Tuesday. This was a weekly reduction of -5,407 contracts from the previous week which had a total of -15,764 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 76.1 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 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:	16.3	70.1	12.8
– Percent of Open Interest Shorts:	17.7	71.1	10.5
– Net Position:	-21,171	-14,335	35,506
– Gross Longs:	252,737	1,086,997	198,692
– Gross Shorts:	273,908	1,101,332	163,186
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	76.1	9.1	74.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.6	-5.3	-14.8

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -298,500 contracts in the data reported through Tuesday. This was a weekly decline of -3,700 contracts from the previous week which had a total of -294,800 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 65.8 percent. The commercials are Bearish with a score of 44.5 percent and the small traders (not shown in chart) are Bearish with a score of 33.4 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:	8.8	80.1	10.7
– Percent of Open Interest Shorts:	27.2	61.4	11.0
– Net Position:	-298,500	302,463	-3,963
– Gross Longs:	142,473	1,297,057	173,986
– Gross Shorts:	440,973	994,594	177,949
– 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):	65.8	44.5	33.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.7	-0.3	-16.7

 

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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.