COT Bonds Charts: Speculator Bets led by SOFR 3-Months & US Treasury 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 August 13th 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 & US Treasury Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (77,916 contracts) with the US Treasury Bonds (31,525 contracts), the Ultra Treasury Bonds (27,529 contracts), the Ultra 10-Year Bonds (13,624 contracts) and the the 2-Year Bonds (605 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-84,035 contracts), the 5-Year Bonds (-6,996 contracts) and with the Fed Funds (-10,447 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 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 (83 percent) and the US Treasury Bonds (74 percent) lead the bond markets this week. The Ultra Treasury Bonds (53 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the 10-Year Bonds (3 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 (24 percent) and the Ultra 10-Year Bonds (27 percent).

Strength Statistics:
Fed Funds (46.2 percent) vs Fed Funds previous week (48.5 percent)
2-Year Bond (23.8 percent) vs 2-Year Bond previous week (23.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.4 percent)
10-Year Bond (2.7 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (26.5 percent) vs Ultra 10-Year Bond previous week (23.7 percent)
US Treasury Bond (74.3 percent) vs US Treasury Bond previous week (63.3 percent)
Ultra US Treasury Bond (53.0 percent) vs Ultra US Treasury Bond previous week (39.4 percent)
SOFR 3-Months (83.3 percent) vs SOFR 3-Months previous week (79.2 percent)

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SOFR 3-Months & Ultra 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 SOFR 3-Months (36 percent) and the Ultra Treasury Bonds (22 percent) lead the past six weeks trends for bonds. The Fed Funds (16 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-48 percent) and the 5-Year Bonds (-9 percent) lead the downside trend scores currently with the US Treasury Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (15.5 percent) vs Fed Funds previous week (13.4 percent)
2-Year Bond (7.4 percent) vs 2-Year Bond previous week (10.0 percent)
5-Year Bond (-8.8 percent) vs 5-Year Bond previous week (-11.3 percent)
10-Year Bond (-48.1 percent) vs 10-Year Bond previous week (-42.6 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (-2.2 percent)
US Treasury Bond (-1.6 percent) vs US Treasury Bond previous week (-2.4 percent)
Ultra US Treasury Bond (21.8 percent) vs Ultra US Treasury Bond previous week (-4.1 percent)
SOFR 3-Months (36.5 percent) vs SOFR 3-Months previous week (29.1 percent)

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of 445,064 contracts in the data reported through Tuesday. This was a weekly advance of 77,916 contracts from the previous week which had a total of 367,148 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-Extreme with a score of 83.3 percent. The commercials are Bearish-Extreme with a score of 16.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.7 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:	17.5	55.1	0.4
– Percent of Open Interest Shorts:	13.3	59.2	0.4
– Net Position:	445,064	-446,620	1,556
– Gross Longs:	1,861,252	5,869,854	40,261
– Gross Shorts:	1,416,188	6,316,474	38,705
– Long to Short Ratio:	1.3 to 1	0.9 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	83.3	16.5	88.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	36.5	-36.9	3.3

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week equaled a net position of -91,291 contracts in the data reported through Tuesday. This was a weekly fall of -10,447 contracts from the previous week which had a total of -80,844 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 46.2 percent. The commercials are Bullish with a score of 52.6 percent and the small traders (not shown in chart) are Bullish with a score of 66.2 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:	11.2	72.1	1.7
– Percent of Open Interest Shorts:	16.7	66.0	2.3
– Net Position:	-91,291	101,606	-10,315
– Gross Longs:	188,069	1,208,291	28,895
– Gross Shorts:	279,360	1,106,685	39,210
– 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):	46.2	52.6	66.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	15.5	-12.4	-21.9

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,104,606 contracts in the data reported through Tuesday. This was a weekly gain of 605 contracts from the previous week which had a total of -1,105,211 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 23.8 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 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:	15.9	75.9	6.9
– Percent of Open Interest Shorts:	40.7	55.6	2.4
– Net Position:	-1,104,606	901,536	203,070
– Gross Longs:	708,892	3,382,762	309,592
– Gross Shorts:	1,813,498	2,481,226	106,522
– Long to Short Ratio:	0.4 to 1	1.4 to 1	2.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.8	68.2	100.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.4	-12.9	18.7

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,695,072 contracts in the data reported through Tuesday. This was a weekly decrease of -6,996 contracts from the previous week which had a total of -1,688,076 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 99.3 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.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.8	82.6	7.1
– Percent of Open Interest Shorts:	33.7	61.3	3.5
– Net Position:	-1,695,072	1,447,942	247,130
– Gross Longs:	599,507	5,622,352	485,484
– Gross Shorts:	2,294,579	4,174,410	238,354
– Long to Short Ratio:	0.3 to 1	1.3 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	99.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.8	3.7	19.3

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -860,243 contracts in the data reported through Tuesday. This was a weekly reduction of -84,035 contracts from the previous week which had a total of -776,208 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 2.7 percent. The commercials are Bullish-Extreme with a score of 85.3 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:	9.1	78.8	9.6
– Percent of Open Interest Shorts:	26.2	64.5	6.7
– Net Position:	-860,243	715,466	144,777
– Gross Longs:	458,121	3,960,745	481,134
– Gross Shorts:	1,318,364	3,245,279	336,357
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	2.7	85.3	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-48.1	55.7	22.3

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week equaled a net position of -150,633 contracts in the data reported through Tuesday. This was a weekly advance of 13,624 contracts from the previous week which had a total of -164,257 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 26.5 percent. The commercials are Bullish with a score of 55.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.2 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:	12.3	76.3	10.2
– Percent of Open Interest Shorts:	19.2	67.7	11.8
– Net Position:	-150,633	184,945	-34,312
– Gross Longs:	266,938	1,656,652	221,951
– Gross Shorts:	417,571	1,471,707	256,263
– 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):	26.5	55.3	92.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.3	-2.8	5.2

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week equaled a net position of -26,330 contracts in the data reported through Tuesday. This was a weekly rise of 31,525 contracts from the previous week which had a total of -57,855 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 74.3 percent. The commercials are Bearish-Extreme with a score of 1.8 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.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.1	64.0	13.5
– Percent of Open Interest Shorts:	21.6	68.3	7.7
– Net Position:	-26,330	-73,703	100,033
– Gross Longs:	347,997	1,110,611	234,318
– Gross Shorts:	374,327	1,184,314	134,285
– Long to Short Ratio:	0.9 to 1	0.9 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.3	1.8	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.6	-14.2	35.6

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -349,133 contracts in the data reported through Tuesday. This was a weekly gain of 27,529 contracts from the previous week which had a total of -376,662 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 53.0 percent. The commercials are Bearish with a score of 49.0 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 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.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.2	77.4	10.7
– Percent of Open Interest Shorts:	29.8	58.6	8.9
– Net Position:	-349,133	318,838	30,295
– Gross Longs:	156,813	1,314,725	182,390
– Gross Shorts:	505,946	995,887	152,095
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.0	49.0	53.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	21.8	-36.3	29.5

 

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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.