COT Bonds Charts: Speculator Bets led by Fed Funds & 2-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 July 16th 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 by Fed Funds & 2-Year Bonds

The COT bond market speculator bets were mixed evenly 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 Fed Funds (48,140 contracts) with the 2-Year Bonds (47,328 contracts), the SOFR 3-Months (28,119 contracts) and the Ultra 10-Year Bonds (6,777 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-219,582 contracts), the Ultra Treasury Bonds (-13,438 contracts), the US Treasury Bonds (-12,729 contracts) and with the 5-Year Bonds (-9,573 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 & SOFR 3-Months

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 (67 percent) and the SOFR 3-Months (54 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent), the Ultra Treasury Bonds (17 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (47.5 percent) vs Fed Funds previous week (36.6 percent)
2-Year Bond (18.6 percent) vs 2-Year Bond previous week (15.6 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.6 percent)
10-Year Bond (23.5 percent) vs 10-Year Bond previous week (44.0 percent)
Ultra 10-Year Bond (31.5 percent) vs Ultra 10-Year Bond previous week (30.1 percent)
US Treasury Bond (67.1 percent) vs US Treasury Bond previous week (71.5 percent)
Ultra US Treasury Bond (16.7 percent) vs Ultra US Treasury Bond previous week (22.8 percent)
SOFR 3-Months (54.0 percent) vs SOFR 3-Months previous week (52.5 percent)

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SOFR 3-Months & Ultra 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 SOFR 3-Months (23 percent) and the Ultra 10-Year Bonds (15 percent) lead the past six weeks trends for bonds.

The Ultra Treasury Bonds (-40 percent) leads the downside trend scores currently with the 10-Year Bonds (-17 percent) and the Fed Funds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-16.4 percent) vs Fed Funds previous week (-44.7 percent)
2-Year Bond (-9.6 percent) vs 2-Year Bond previous week (-16.1 percent)
5-Year Bond (-0.2 percent) vs 5-Year Bond previous week (-11.3 percent)
10-Year Bond (-17.1 percent) vs 10-Year Bond previous week (-2.8 percent)
Ultra 10-Year Bond (14.7 percent) vs Ultra 10-Year Bond previous week (20.3 percent)
US Treasury Bond (-11.0 percent) vs US Treasury Bond previous week (-27.3 percent)
Ultra US Treasury Bond (-40.1 percent) vs Ultra US Treasury Bond previous week (-39.7 percent)
SOFR 3-Months (22.9 percent) vs SOFR 3-Months previous week (17.4 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 -122,278 contracts in the data reported through Tuesday. This was a weekly lift of 28,119 contracts from the previous week which had a total of -150,397 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 54.0 percent. The commercials are Bearish with a score of 46.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 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:	16.1	57.5	0.3
– Percent of Open Interest Shorts:	17.3	56.2	0.4
– Net Position:	-122,278	128,027	-5,749
– Gross Longs:	1,592,676	5,689,601	31,635
– Gross Shorts:	1,714,954	5,561,574	37,384
– 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):	54.0	46.2	84.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	22.9	-22.7	-1.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -85,414 contracts in the data reported through Tuesday. This was a weekly lift of 48,140 contracts from the previous week which had a total of -133,554 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 47.5 percent. The commercials are Bearish with a score of 47.3 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:	14.9	66.6	2.2
– Percent of Open Interest Shorts:	19.5	62.5	1.8
– Net Position:	-85,414	77,305	8,109
– Gross Longs:	277,410	1,240,805	41,240
– Gross Shorts:	362,824	1,163,500	33,131
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	47.5	47.3	100.0
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.4	14.2	13.8

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -1,184,987 contracts in the data reported through Tuesday. This was a weekly advance of 47,328 contracts from the previous week which had a total of -1,232,315 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 18.6 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	15.6	75.7	6.6
– Percent of Open Interest Shorts:	42.4	52.9	2.7
– Net Position:	-1,184,987	1,011,202	173,785
– Gross Longs:	693,099	3,355,786	294,011
– Gross Shorts:	1,878,086	2,344,584	120,226
– Long to Short Ratio:	0.4 to 1	1.4 to 1	2.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	18.6	76.6	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.6	8.3	11.8

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,576,174 contracts in the data reported through Tuesday. This was a weekly decline of -9,573 contracts from the previous week which had a total of -1,566,601 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 98.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong 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:	7.6	84.0	6.8
– Percent of Open Interest Shorts:	31.8	62.2	4.4
– Net Position:	-1,576,174	1,420,117	156,057
– Gross Longs:	494,873	5,464,162	444,751
– Gross Shorts:	2,071,047	4,044,045	288,694
– 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	98.6	95.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.2	-1.4	4.9

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -637,486 contracts in the data reported through Tuesday. This was a weekly decrease of -219,582 contracts from the previous week which had a total of -417,904 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 63.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.2 percent.

Price Trend-Following Model: Strong Uptrend

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.3	79.3	10.1
– Percent of Open Interest Shorts:	22.3	67.5	8.0
– Net Position:	-637,486	537,647	99,839
– Gross Longs:	378,531	3,614,914	462,170
– Gross Shorts:	1,016,017	3,077,267	362,331
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.5	63.7	95.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.1	12.0	19.3

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -126,580 contracts in the data reported through Tuesday. This was a weekly gain of 6,777 contracts from the previous week which had a total of -133,357 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 31.5 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.4	76.4	9.8
– Percent of Open Interest Shorts:	18.5	67.2	12.9
– Net Position:	-126,580	191,888	-65,308
– Gross Longs:	258,126	1,592,656	203,687
– Gross Shorts:	384,706	1,400,768	268,995
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.5	57.2	75.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	14.7	-20.8	3.7

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -47,150 contracts in the data reported through Tuesday. This was a weekly reduction of -12,729 contracts from the previous week which had a total of -34,421 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 67.1 percent. The commercials are Bearish-Extreme with a score of 18.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.2 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	18.1	67.9	13.1
– Percent of Open Interest Shorts:	20.9	69.4	8.9
– Net Position:	-47,150	-25,466	72,616
– Gross Longs:	307,574	1,153,768	223,318
– Gross Shorts:	354,724	1,179,234	150,702
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	67.1	18.4	99.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.0	3.7	20.5

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -419,398 contracts in the data reported through Tuesday. This was a weekly decline of -13,438 contracts from the previous week which had a total of -405,960 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 16.7 percent. The commercials are Bullish-Extreme with a score of 96.3 percent and the small traders (not shown in chart) are Bearish with a score of 31.5 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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.7	80.5	10.5
– Percent of Open Interest Shorts:	33.6	56.4	9.7
– Net Position:	-419,398	405,635	13,763
– Gross Longs:	146,603	1,357,495	176,513
– Gross Shorts:	566,001	951,860	162,750
– Long to Short Ratio:	0.3 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	16.7	96.3	31.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-40.1	42.6	10.7

 

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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.