COT Bonds Charts: Speculator Bets led lower 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 June 4th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Bets led lower by 5-Year Bonds

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

Leading the gains for the bond markets was the Ultra 10-Year Bonds with an increase by 33,731 contracts for the week.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-195,920 contracts), the SOFR 3-Months (-77,320 contracts), Fed Funds (-77,263 contracts), the 10-Year Bonds (-66,580 contracts), the US Treasury Bonds (-59,326 contracts), the 2-Year Bonds (-55,603 contracts) and the Ultra Treasury Bonds (-12,463 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 & Fed Funds

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 (78 percent) and the Fed Funds (64 percent) lead the bond markets this week. The Ultra Treasury Bonds (52 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the Ultra 10-Year Bonds (16 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 2-Year Bonds (28 percent) and the SOFR 3-Months (31 percent).

Strength Statistics:
Fed Funds (63.8 percent) vs Fed Funds previous week (81.3 percent)
2-Year Bond (28.2 percent) vs 2-Year Bond previous week (31.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.7 percent)
10-Year Bond (40.6 percent) vs 10-Year Bond previous week (46.8 percent)
Ultra 10-Year Bond (16.4 percent) vs Ultra 10-Year Bond previous week (9.6 percent)
US Treasury Bond (78.1 percent) vs US Treasury Bond previous week (98.8 percent)
Ultra US Treasury Bond (52.4 percent) vs Ultra US Treasury Bond previous week (57.6 percent)
SOFR 3-Months (31.1 percent) vs SOFR 3-Months previous week (35.1 percent)

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Ultra 10-Year Bonds & US Treasury 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 (9 percent) and the US Treasury Bonds (2 percent) lead the past six weeks trends and are the only positive movers for bonds.

The 5-Year Bonds (-29 percent), the SOFR 3-Months (-17 percent) and the Fed Funds (-16 percent) lead the downside trend scores currently with the Ultra Treasury Bonds (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-16.3 percent) vs Fed Funds previous week (1.3 percent)
2-Year Bond (-3.5 percent) vs 2-Year Bond previous week (-2.1 percent)
5-Year Bond (-28.9 percent) vs 5-Year Bond previous week (-11.0 percent)
10-Year Bond (-9.4 percent) vs 10-Year Bond previous week (-2.4 percent)
Ultra 10-Year Bond (8.6 percent) vs Ultra 10-Year Bond previous week (-3.5 percent)
US Treasury Bond (2.0 percent) vs US Treasury Bond previous week (20.8 percent)
Ultra US Treasury Bond (-13.3 percent) vs Ultra US Treasury Bond previous week (-9.7 percent)
SOFR 3-Months (-17.2 percent) vs SOFR 3-Months previous week (-18.6 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -564,728 contracts in the data reported through Tuesday. This was a weekly fall of -77,320 contracts from the previous week which had a total of -487,408 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 31.1 percent. The commercials are Bullish with a score of 69.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 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:	12.9	60.9	0.3
– Percent of Open Interest Shorts:	18.2	55.6	0.4
– Net Position:	-564,728	567,744	-3,016
– Gross Longs:	1,375,680	6,478,978	34,529
– Gross Shorts:	1,940,408	5,911,234	37,545
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.1	69.0	86.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.2	17.1	0.9

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -12,980 contracts in the data reported through Tuesday. This was a weekly reduction of -77,263 contracts from the previous week which had a total of 64,283 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 63.8 percent. The commercials are Bearish with a score of 33.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.1 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:	14.2	63.5	2.5
– Percent of Open Interest Shorts:	15.1	62.6	2.5
– Net Position:	-12,980	12,406	574
– Gross Longs:	196,856	880,751	34,967
– Gross Shorts:	209,836	868,345	34,393
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	63.8	33.2	92.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.3	15.2	4.8

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -1,035,422 contracts in the data reported through Tuesday. This was a weekly decline of -55,603 contracts from the previous week which had a total of -979,819 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 28.2 percent. The commercials are Bullish with a score of 68.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 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.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.4	78.0	7.0
– Percent of Open Interest Shorts:	40.4	54.7	3.4
– Net Position:	-1,035,422	895,943	139,479
– Gross Longs:	516,364	2,997,360	268,526
– Gross Shorts:	1,551,786	2,101,417	129,047
– Long to Short Ratio:	0.3 to 1	1.4 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.2	68.2	94.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.5	2.9	5.3

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,573,037 contracts in the data reported through Tuesday. This was a weekly decrease of -195,920 contracts from the previous week which had a total of -1,377,117 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 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.1 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.2	85.0	6.8
– Percent of Open Interest Shorts:	31.4	61.9	4.7
– Net Position:	-1,573,037	1,439,949	133,088
– Gross Longs:	389,117	5,308,600	427,677
– Gross Shorts:	1,962,154	3,868,651	294,589
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	91.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.9	33.4	2.9

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -454,755 contracts in the data reported through Tuesday. This was a weekly fall of -66,580 contracts from the previous week which had a total of -388,175 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 40.6 percent. The commercials are Bullish with a score of 51.8 percent and the small traders (not shown in chart) are Bullish with a score of 75.9 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.1	77.4	9.2
– Percent of Open Interest Shorts:	20.4	67.3	9.0
– Net Position:	-454,755	443,655	11,100
– Gross Longs:	447,213	3,415,649	406,545
– Gross Shorts:	901,968	2,971,994	395,445
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	40.6	51.8	75.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.4	11.0	3.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -197,034 contracts in the data reported through Tuesday. This was a weekly boost of 33,731 contracts from the previous week which had a total of -230,765 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 16.4 percent. The commercials are Bullish-Extreme with a score of 80.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.5 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.5	77.0	9.7
– Percent of Open Interest Shorts:	21.2	63.8	13.2
– Net Position:	-197,034	268,521	-71,487
– Gross Longs:	233,540	1,560,564	196,579
– Gross Shorts:	430,574	1,292,043	268,066
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	16.4	80.2	71.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.6	-12.1	4.2

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -15,490 contracts in the data reported through Tuesday. This was a weekly decline of -59,326 contracts from the previous week which had a total of 43,836 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 78.1 percent. The commercials are Bearish-Extreme with a score of 14.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.5	68.5	12.7
– Percent of Open Interest Shorts:	18.5	70.7	9.6
– Net Position:	-15,490	-36,259	51,749
– Gross Longs:	288,078	1,126,050	209,030
– Gross Shorts:	303,568	1,162,309	157,281
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	78.1	14.7	82.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.0	-7.6	15.0

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -330,531 contracts in the data reported through Tuesday. This was a weekly decrease of -12,463 contracts from the previous week which had a total of -318,068 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 52.4 percent. The commercials are Bullish with a score of 55.8 percent and the small traders (not shown in chart) are Bearish with a score of 22.2 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:	8.6	78.7	10.5
– Percent of Open Interest Shorts:	27.9	59.8	10.1
– Net Position:	-330,531	325,013	5,518
– Gross Longs:	147,782	1,351,715	179,644
– Gross Shorts:	478,313	1,026,702	174,126
– 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):	52.4	55.8	22.2
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-13.3	11.4	12.1

 

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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.