COT Bonds Charts: Speculator bets led by 10-Year Bonds & Fed Funds

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 June 25th 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 & Fed Funds

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 (47,762 contracts) with the Fed Funds (10,305 contracts), the Ultra 10-Year Bonds (5,441 contracts) and the 2-Year Bonds (2,132 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-32,797 contracts), the US Treasury Bonds (-17,661 contracts), the Ultra Treasury Bonds (-14,105 contracts) and with the SOFR 3-Months (-2,447 contracts) also registering lower bets on the week.

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Bonds 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 US Treasury Bonds & 10-Year 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 US Treasury Bonds (66 percent) and the 10-Year Bonds (53 percent) lead the bond markets this week. The SOFR 3-Months (50 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (5 percent) and the 2-Year Bonds (14 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (26 percent) and the Fed Funds (35 percent).

Strength Statistics:
Fed Funds (35.1 percent) vs Fed Funds previous week (32.8 percent)
2-Year Bond (13.7 percent) vs 2-Year Bond previous week (13.6 percent)
5-Year Bond (5.2 percent) vs 5-Year Bond previous week (7.2 percent)
10-Year Bond (53.2 percent) vs 10-Year Bond previous week (48.7 percent)
Ultra 10-Year Bond (25.9 percent) vs Ultra 10-Year Bond previous week (24.8 percent)
US Treasury Bond (65.7 percent) vs US Treasury Bond previous week (71.9 percent)
Ultra US Treasury Bond (38.3 percent) vs Ultra US Treasury Bond previous week (44.5 percent)
SOFR 3-Months (50.2 percent) vs SOFR 3-Months previous week (50.3 percent)

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Ultra 10-Year Bonds & SOFR 3-Months 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 (26 percent) and the SOFR 3-Months (11 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (3 percent) is the next highest positive mover in the latest trends data.

The Fed Funds (-53 percent) leads the downside trend scores currently with the US Treasury Bonds (-19 percent), the 2-Year Bonds (-19 percent) and the Ultra Treasury Bonds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-53.3 percent) vs Fed Funds previous week (-64.9 percent)
2-Year Bond (-19.0 percent) vs 2-Year Bond previous week (-15.4 percent)
5-Year Bond (-9.6 percent) vs 5-Year Bond previous week (-17.4 percent)
10-Year Bond (2.6 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (25.6 percent) vs Ultra 10-Year Bond previous week (11.5 percent)
US Treasury Bond (-19.3 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (-16.2 percent) vs Ultra US Treasury Bond previous week (-16.6 percent)
SOFR 3-Months (10.8 percent) vs SOFR 3-Months previous week (7.6 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -195,837 contracts in the data reported through Tuesday. This was a weekly fall of -2,447 contracts from the previous week which had a total of -193,390 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 50.2 percent. The commercials are Bearish with a score of 49.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 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:	15.0	59.1	0.2
– Percent of Open Interest Shorts:	17.1	57.0	0.3
– Net Position:	-195,837	198,662	-2,825
– Gross Longs:	1,417,167	5,579,165	22,337
– Gross Shorts:	1,613,004	5,380,503	25,162
– 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):	50.2	49.9	86.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.8	-10.8	0.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -140,133 contracts in the data reported through Tuesday. This was a weekly gain of 10,305 contracts from the previous week which had a total of -150,438 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 35.1 percent. The commercials are Bullish with a score of 59.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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:	9.0	70.1	2.6
– Percent of Open Interest Shorts:	17.3	62.0	2.3
– Net Position:	-140,133	134,927	5,206
– Gross Longs:	150,656	1,177,839	43,053
– Gross Shorts:	290,789	1,042,912	37,847
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.1	59.9	100.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-53.3	48.0	30.9

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week came in at a net position of -1,261,457 contracts in the data reported through Tuesday. This was a weekly advance of 2,132 contracts from the previous week which had a total of -1,263,589 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 13.7 percent. The commercials are Bullish-Extreme with a score of 83.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak 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:	14.5	77.9	6.6
– Percent of Open Interest Shorts:	44.9	51.2	2.9
– Net Position:	-1,261,457	1,109,570	151,887
– Gross Longs:	603,469	3,236,642	272,091
– Gross Shorts:	1,864,926	2,127,072	120,204
– Long to Short Ratio:	0.3 to 1	1.5 to 1	2.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	13.7	83.7	99.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.0	20.1	7.2

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week came in at a net position of -1,486,197 contracts in the data reported through Tuesday. This was a weekly lowering of -32,797 contracts from the previous week which had a total of -1,453,400 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 5.2 percent. The commercials are Bullish-Extreme with a score of 90.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.6 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak 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:	6.9	84.6	7.4
– Percent of Open Interest Shorts:	30.9	63.4	4.6
– Net Position:	-1,486,197	1,312,975	173,222
– Gross Longs:	428,361	5,246,055	458,883
– Gross Shorts:	1,914,558	3,933,080	285,661
– Long to Short Ratio:	0.2 to 1	1.3 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	5.2	90.9	99.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.6	5.0	19.0

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week came in at a net position of -319,844 contracts in the data reported through Tuesday. This was a weekly rise of 47,762 contracts from the previous week which had a total of -367,606 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 53.2 percent. The commercials are Bearish with a score of 30.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak 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:	10.0	78.2	9.6
– Percent of Open Interest Shorts:	17.4	71.7	8.7
– Net Position:	-319,844	279,162	40,682
– Gross Longs:	432,627	3,385,365	416,843
– Gross Shorts:	752,471	3,106,203	376,161
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.2	30.8	82.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.6	-9.2	9.7

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week came in at a net position of -153,702 contracts in the data reported through Tuesday. This was a weekly boost of 5,441 contracts from the previous week which had a total of -159,143 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 25.9 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bullish with a score of 76.9 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:	12.2	76.8	9.7
– Percent of Open Interest Shorts:	19.7	66.3	12.8
– Net Position:	-153,702	216,236	-62,534
– Gross Longs:	251,270	1,577,581	200,003
– Gross Shorts:	404,972	1,361,345	262,537
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	25.9	63.8	76.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	25.6	-36.0	5.8

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -50,998 contracts in the data reported through Tuesday. This was a weekly reduction of -17,661 contracts from the previous week which had a total of -33,337 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 65.7 percent. The commercials are Bearish-Extreme with a score of 19.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.2	69.1	13.0
– Percent of Open Interest Shorts:	20.3	70.4	8.5
– Net Position:	-50,998	-22,466	73,464
– Gross Longs:	282,898	1,136,639	213,802
– Gross Shorts:	333,896	1,159,105	140,338
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	65.7	19.5	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.3	8.2	30.8

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -368,340 contracts in the data reported through Tuesday. This was a weekly lowering of -14,105 contracts from the previous week which had a total of -354,235 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 38.3 percent. The commercials are Bullish with a score of 67.3 percent and the small traders (not shown in chart) are Bearish with a score of 40.3 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak 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:	8.4	79.8	10.8
– Percent of Open Interest Shorts:	30.2	59.2	9.6
– Net Position:	-368,340	347,830	20,510
– Gross Longs:	141,829	1,347,454	181,733
– Gross Shorts:	510,169	999,624	161,223
– 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):	38.3	67.3	40.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.2	14.3	11.4

 

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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.