COT Bonds Charts: Speculator bets led by SOFR 3-Months & 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 July 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 SOFR 3-Months & Fed Funds

The COT bond market speculator bets were overall 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 SOFR 3-Months (111,115 contracts) with the Fed Funds (26,509 contracts) and the Ultra 10-Year Bonds (18,777 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-72,528 contracts), the 5-Year Bonds (-28,629 contracts), the Ultra Treasury Bonds (-12,743 contracts), the US Treasury Bonds (-12,815 contracts) and with the 2-Year Bonds (-11,932 contracts) also seeing 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 (72 percent) and the SOFR 3-Months (52 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent) and the 2-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 Ultra Treasury Bonds (22 percent) and the Ultra 10-Year Bonds (30 percent).

Strength Statistics:
Fed Funds (36.6 percent) vs Fed Funds previous week (30.6 percent)
2-Year Bond (15.6 percent) vs 2-Year Bond previous week (16.3 percent)
5-Year Bond (0.4 percent) vs 5-Year Bond previous week (2.1 percent)
10-Year Bond (44.0 percent) vs 10-Year Bond previous week (50.8 percent)
Ultra 10-Year Bond (30.1 percent) vs Ultra 10-Year Bond previous week (26.2 percent)
US Treasury Bond (71.5 percent) vs US Treasury Bond previous week (76.0 percent)
Ultra US Treasury Bond (22.0 percent) vs Ultra US Treasury Bond previous week (27.5 percent)
SOFR 3-Months (52.5 percent) vs SOFR 3-Months previous week (46.8 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 (20 percent) and the SOFR 3-Months (17 percent) lead the past six weeks trends for bonds.

The Fed Funds (-45 percent) and the Ultra Treasury Bonds (-38 percent) lead the downside trend scores currently with the US Treasury Bonds (-27 percent) and the 2-Year Bonds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-44.7 percent) vs Fed Funds previous week (-48.6 percent)
2-Year Bond (-16.1 percent) vs 2-Year Bond previous week (-14.5 percent)
5-Year Bond (-11.4 percent) vs 5-Year Bond previous week (-6.9 percent)
10-Year Bond (-2.8 percent) vs 10-Year Bond previous week (5.2 percent)
Ultra 10-Year Bond (20.3 percent) vs Ultra 10-Year Bond previous week (17.9 percent)
US Treasury Bond (-27.3 percent) vs US Treasury Bond previous week (-12.5 percent)
Ultra US Treasury Bond (-38.2 percent) vs Ultra US Treasury Bond previous week (-28.0 percent)
SOFR 3-Months (17.4 percent) vs SOFR 3-Months previous week (9.1 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 -150,397 contracts in the data reported through Tuesday. This was a weekly advance of 111,115 contracts from the previous week which had a total of -261,512 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 52.5 percent. The commercials are Bearish with a score of 47.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 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.

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.3	59.3	0.2
– Percent of Open Interest Shorts:	16.9	57.7	0.2
– Net Position:	-150,397	150,504	-107
– Gross Longs:	1,499,891	5,796,400	21,481
– Gross Shorts:	1,650,288	5,645,896	21,588
– 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):	52.5	47.4	87.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.4	-17.6	1.3

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -133,554 contracts in the data reported through Tuesday. This was a weekly increase of 26,509 contracts from the previous week which had a total of -160,063 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 36.6 percent. The commercials are Bullish with a score of 58.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.3 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:	14.4	66.0	2.4
– Percent of Open Interest Shorts:	22.1	58.6	2.2
– Net Position:	-133,554	128,691	4,863
– Gross Longs:	250,994	1,150,944	42,510
– Gross Shorts:	384,548	1,022,253	37,647
– Long to Short Ratio:	0.7 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	36.6	58.5	99.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-44.7	41.9	11.5

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -1,232,315 contracts in the data reported through Tuesday. This was a weekly lowering of -11,932 contracts from the previous week which had a total of -1,220,383 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 15.6 percent. The commercials are Bullish-Extreme with a score of 81.1 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: New Buy – Long Position.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.6	76.2	6.5
– Percent of Open Interest Shorts:	43.2	51.3	2.8
– Net Position:	-1,232,315	1,073,528	158,787
– Gross Longs:	629,962	3,283,900	278,977
– Gross Shorts:	1,862,277	2,210,372	120,190
– 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):	15.6	81.1	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-16.1	17.9	2.0

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,566,601 contracts in the data reported through Tuesday. This was a weekly fall of -28,629 contracts from the previous week which had a total of -1,537,972 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 0.4 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.4 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.1	84.5	6.9
– Percent of Open Interest Shorts:	31.8	62.3	4.4
– Net Position:	-1,566,601	1,408,198	158,403
– Gross Longs:	454,103	5,370,659	437,566
– Gross Shorts:	2,020,704	3,962,461	279,163
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.4	97.7	96.4
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.4	7.4	18.3

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -417,904 contracts in the data reported through Tuesday. This was a weekly reduction of -72,528 contracts from the previous week which had a total of -345,376 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 44.0 percent. The commercials are Bearish with a score of 39.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.2 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.3	76.7	9.6
– Percent of Open Interest Shorts:	20.6	68.9	8.1
– Net Position:	-417,904	350,466	67,438
– Gross Longs:	510,933	3,451,637	431,249
– Gross Shorts:	928,837	3,101,171	363,811
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	44.0	39.9	88.2
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.8	-0.3	7.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -133,357 contracts in the data reported through Tuesday. This was a weekly lift of 18,777 contracts from the previous week which had a total of -152,134 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 30.1 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.0 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:	12.1	77.0	9.6
– Percent of Open Interest Shorts:	18.5	67.4	12.7
– Net Position:	-133,357	197,256	-63,899
– Gross Longs:	250,797	1,595,197	199,983
– Gross Shorts:	384,154	1,397,941	263,882
– 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):	30.1	58.7	76.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.3	-30.8	9.5

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -34,421 contracts in the data reported through Tuesday. This was a weekly decrease of -12,815 contracts from the previous week which had a total of -21,606 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 71.5 percent. The commercials are Bearish-Extreme with a score of 16.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	18.2	68.0	12.6
– Percent of Open Interest Shorts:	20.3	70.0	8.6
– Net Position:	-34,421	-32,389	66,810
– Gross Longs:	304,975	1,138,051	211,512
– Gross Shorts:	339,396	1,170,440	144,702
– 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):	71.5	16.1	93.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-27.3	16.1	31.2

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -405,960 contracts in the data reported through Tuesday. This was a weekly reduction of -12,743 contracts from the previous week which had a total of -393,217 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 22.0 percent. The commercials are Bullish-Extreme with a score of 92.9 percent and the small traders (not shown in chart) are Bearish with a score of 23.2 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:	8.8	80.7	10.4
– Percent of Open Interest Shorts:	33.2	56.7	9.9
– Net Position:	-405,960	398,608	7,352
– Gross Longs:	145,579	1,342,054	172,216
– Gross Shorts:	551,539	943,446	164,864
– Long to Short Ratio:	0.3 to 1	1.4 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	22.0	92.9	23.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-38.2	48.3	-10.4

 

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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.