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 August 6th 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 just 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 (188,386 contracts) with the Fed Funds (130,472 contracts) and the Ultra Treasury Bonds (40,384 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-53,266 contracts), the 10-Year Bonds (-47,738 contracts), the 5-Year Bonds (-32,038 contracts), the US Treasury Bonds (-11,936 contracts) and with the 2-Year Bonds (-1,539 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 SOFR 3-Months & 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 SOFR 3-Months (79 percent) and the US Treasury Bonds (63 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent) and the 10-Year Bonds (11 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 (24 percent) and the 2-Year Bonds (24 percent).

Strength Statistics:
Fed Funds (48.5 percent) vs Fed Funds previous week (19.0 percent)
2-Year Bond (23.7 percent) vs 2-Year Bond previous week (23.8 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.8 percent)
10-Year Bond (10.6 percent) vs 10-Year Bond previous week (15.0 percent)
Ultra 10-Year Bond (23.7 percent) vs Ultra 10-Year Bond previous week (34.8 percent)
US Treasury Bond (63.3 percent) vs US Treasury Bond previous week (67.5 percent)
Ultra US Treasury Bond (38.2 percent) vs Ultra US Treasury Bond previous week (18.8 percent)
SOFR 3-Months (79.2 percent) vs SOFR 3-Months previous week (69.5 percent)

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SOFR 3-Months & Fed Funds 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 (29 percent) and the Fed Funds (13 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (10 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-43 percent) leads the downside trend scores currently with the 5-Year Bonds (-11 percent), the Ultra Treasury Bonds (-4 percent) and the Ultra 10-Year Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (13.4 percent) vs Fed Funds previous week (-13.7 percent)
2-Year Bond (10.0 percent) vs 2-Year Bond previous week (10.2 percent)
5-Year Bond (-11.3 percent) vs 5-Year Bond previous week (-11.4 percent)
10-Year Bond (-42.6 percent) vs 10-Year Bond previous week (-33.7 percent)
Ultra 10-Year Bond (-2.2 percent) vs Ultra 10-Year Bond previous week (10.0 percent)
US Treasury Bond (-2.4 percent) vs US Treasury Bond previous week (-4.4 percent)
Ultra US Treasury Bond (-4.0 percent) vs Ultra US Treasury Bond previous week (-30.0 percent)
SOFR 3-Months (29.1 percent) vs SOFR 3-Months previous week (19.2 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 367,148 contracts in the data reported through Tuesday. This was a weekly increase of 188,386 contracts from the previous week which had a total of 178,762 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 79.2 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.8 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:	17.5	55.3	0.3
– Percent of Open Interest Shorts:	13.9	58.8	0.4
– Net Position:	367,148	-363,366	-3,782
– Gross Longs:	1,802,125	5,707,451	32,720
– Gross Shorts:	1,434,977	6,070,817	36,502
– Long to Short Ratio:	1.3 to 1	0.9 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	79.2	20.8	85.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	29.1	-29.1	-0.5

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -80,844 contracts in the data reported through Tuesday. This was a weekly gain of 130,472 contracts from the previous week which had a total of -211,316 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 48.5 percent. The commercials are Bullish with a score of 50.6 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 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:	11.5	71.9	1.6
– Percent of Open Interest Shorts:	16.3	66.3	2.3
– Net Position:	-80,844	92,469	-11,625
– Gross Longs:	192,047	1,202,589	26,862
– Gross Shorts:	272,891	1,110,120	38,487
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.5	50.6	63.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	13.4	-9.3	-30.9

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -1,105,211 contracts in the data reported through Tuesday. This was a weekly decrease of -1,539 contracts from the previous week which had a total of -1,103,672 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 23.7 percent. The commercials are Bullish with a score of 70.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 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:	16.2	75.7	6.7
– Percent of Open Interest Shorts:	41.2	54.6	2.8
– Net Position:	-1,105,211	934,125	171,086
– Gross Longs:	716,311	3,346,171	293,877
– Gross Shorts:	1,821,522	2,412,046	122,791
– 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):	23.7	70.9	93.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.0	-12.7	6.2

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,688,076 contracts in the data reported through Tuesday. This was a weekly reduction of -32,038 contracts from the previous week which had a total of -1,656,038 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 99.8 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.7	82.7	7.3
– Percent of Open Interest Shorts:	34.3	61.0	3.5
– Net Position:	-1,688,076	1,437,325	250,751
– Gross Longs:	578,521	5,469,735	485,210
– Gross Shorts:	2,266,597	4,032,410	234,459
– 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):	0.0	99.8	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.3	8.9	14.2

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -776,208 contracts in the data reported through Tuesday. This was a weekly decline of -47,738 contracts from the previous week which had a total of -728,470 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 10.6 percent. The commercials are Bullish with a score of 75.7 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.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.0	78.7	9.5
– Percent of Open Interest Shorts:	24.9	65.7	6.7
– Net Position:	-776,208	638,673	137,535
– Gross Longs:	441,721	3,848,733	464,829
– Gross Shorts:	1,217,929	3,210,060	327,294
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	10.6	75.7	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-42.6	47.5	20.4

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -164,257 contracts in the data reported through Tuesday. This was a weekly decline of -53,266 contracts from the previous week which had a total of -110,991 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 23.7 percent. The commercials are Bullish with a score of 55.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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:	12.2	75.6	10.7
– Percent of Open Interest Shorts:	19.9	66.9	11.7
– Net Position:	-164,257	185,201	-20,944
– Gross Longs:	258,600	1,603,637	226,243
– Gross Shorts:	422,857	1,418,436	247,187
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.7	55.4	100.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.2	-8.4	24.3

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of -57,855 contracts in the data reported through Tuesday. This was a weekly reduction of -11,936 contracts from the previous week which had a total of -45,919 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 63.3 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 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.2	66.3	13.3
– Percent of Open Interest Shorts:	22.5	68.3	7.9
– Net Position:	-57,855	-36,172	94,027
– Gross Longs:	339,271	1,169,182	233,863
– Gross Shorts:	397,126	1,205,354	139,836
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	63.3	14.7	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.4	-4.7	16.8

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -376,662 contracts in the data reported through Tuesday. This was a weekly rise of 40,384 contracts from the previous week which had a total of -417,046 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 38.2 percent. The commercials are Bullish with a score of 70.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.5	79.6	10.5
– Percent of Open Interest Shorts:	32.1	58.2	9.3
– Net Position:	-376,662	357,685	18,977
– Gross Longs:	159,683	1,330,555	174,995
– Gross Shorts:	536,345	972,870	156,018
– 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):	38.2	70.1	38.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.0	5.4	-2.0

 

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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.