COT Bonds Charts:Speculator bets led by SOFR 3-Months, 2-Year & 10-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 August 27th 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, 2-Year & 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (168,911 contracts) with the 2-Year Bonds (123,470 contracts), the 10-Year Bonds (123,675 contracts), the 5-Year Bonds (80,553 contracts), the Ultra Treasury Bonds (55,916 contracts), the Ultra 10-Year Bonds (27,769 contracts) and the US Treasury Bonds (19,261 contracts) also showing positive weeks.

The only bond market with declines in speculator bets for the week was the Fed Funds with a decline by -50,153 contracts 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 Ultra 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 Ultra Treasury Bonds (98 percent) and the SOFR 3-Months (89 percent) lead the bond markets this week. The US Treasury Bonds (79 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (5 percent) and the 10-Year Bonds (10 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 Fed Funds (25 percent) and the 2-Year Bonds (29 percent).

Strength Statistics:
Fed Funds (24.6 percent) vs Fed Funds previous week (35.9 percent)
2-Year Bond (28.6 percent) vs 2-Year Bond previous week (20.7 percent)
5-Year Bond (4.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (10.1 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (35.5 percent) vs Ultra 10-Year Bond previous week (29.7 percent)
US Treasury Bond (78.5 percent) vs US Treasury Bond previous week (71.8 percent)
Ultra US Treasury Bond (98.2 percent) vs Ultra US Treasury Bond previous week (68.8 percent)
SOFR 3-Months (88.7 percent) vs SOFR 3-Months previous week (80.0 percent)

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Ultra Treasury 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 Treasury Bonds (79 percent) and the SOFR 3-Months (35 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (11 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-23 percent) and the 10-Year Bonds (-23 percent) lead the downside trend scores currently with the 5-Year Bonds (-5 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-22.9 percent) vs Fed Funds previous week (-0.7 percent)
2-Year Bond (10.0 percent) vs 2-Year Bond previous week (5.1 percent)
5-Year Bond (-4.7 percent) vs 5-Year Bond previous week (-9.9 percent)
10-Year Bond (-22.7 percent) vs 10-Year Bond previous week (-50.9 percent)
Ultra 10-Year Bond (3.9 percent) vs Ultra 10-Year Bond previous week (-0.5 percent)
US Treasury Bond (11.5 percent) vs US Treasury Bond previous week (0.3 percent)
Ultra US Treasury Bond (78.7 percent) vs Ultra US Treasury Bond previous week (42.2 percent)
SOFR 3-Months (34.8 percent) vs SOFR 3-Months previous week (27.5 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 550,764 contracts in the data reported through Tuesday. This was a weekly boost of 168,911 contracts from the previous week which had a total of 381,853 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 88.7 percent. The commercials are Bearish-Extreme with a score of 11.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.1 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	53.7	0.4
– Percent of Open Interest Shorts:	11.3	58.5	0.4
– Net Position:	550,764	-549,341	-1,423
– Gross Longs:	1,831,307	6,096,953	41,694
– Gross Shorts:	1,280,543	6,646,294	43,117
– Long to Short Ratio:	1.4 to 1	0.9 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	88.7	11.2	87.1
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	34.8	-35.0	2.4

 

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week equaled a net position of -186,665 contracts in the data reported through Tuesday. This was a weekly fall of -50,153 contracts from the previous week which had a total of -136,512 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 Bearish with a score of 24.6 percent. The commercials are Bullish with a score of 73.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 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:	10.3	72.0	1.7
– Percent of Open Interest Shorts:	19.3	62.5	2.2
– Net Position:	-186,665	196,735	-10,070
– Gross Longs:	211,045	1,481,802	34,377
– Gross Shorts:	397,710	1,285,067	44,447
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	24.6	73.4	66.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-22.9	26.1	-33.4

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,029,110 contracts in the data reported through Tuesday. This was a weekly rise of 123,470 contracts from the previous week which had a total of -1,152,580 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 28.6 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 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: Hold – Maintain Long Position.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.0	76.2	7.2
– Percent of Open Interest Shorts:	37.8	56.6	3.0
– Net Position:	-1,029,110	847,010	182,100
– Gross Longs:	604,289	3,296,807	309,945
– Gross Shorts:	1,633,399	2,449,797	127,845
– Long to Short Ratio:	0.4 to 1	1.3 to 1	2.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.6	64.2	93.4
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.0	-12.1	2.6

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,656,257 contracts in the data reported through Tuesday. This was a weekly rise of 80,553 contracts from the previous week which had a total of -1,736,810 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 4.7 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 90.8 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:	7.9	80.9	7.6
– Percent of Open Interest Shorts:	31.9	59.8	4.7
– Net Position:	-1,656,257	1,455,628	200,629
– Gross Longs:	545,315	5,581,154	524,097
– Gross Shorts:	2,201,572	4,125,526	323,468
– 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):	4.7	97.7	90.8
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.7	2.7	8.2

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -914,437 contracts in the data reported through Tuesday. This was a weekly lift of 123,675 contracts from the previous week which had a total of -1,038,112 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 10.1 percent. The commercials are Bullish-Extreme with a score of 82.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: 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:	7.7	72.7	11.6
– Percent of Open Interest Shorts:	24.5	58.8	8.6
– Net Position:	-914,437	755,196	159,241
– Gross Longs:	421,807	3,961,978	630,292
– Gross Shorts:	1,336,244	3,206,782	471,051
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	10.1	82.3	100.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-22.7	27.0	11.9

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week equaled a net position of -107,791 contracts in the data reported through Tuesday. This was a weekly advance of 27,769 contracts from the previous week which had a total of -135,560 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 35.5 percent. The commercials are Bearish with a score of 44.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.9 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:	13.5	72.7	10.5
– Percent of Open Interest Shorts:	18.4	66.1	12.1
– Net Position:	-107,791	144,379	-36,588
– Gross Longs:	297,395	1,597,169	229,945
– Gross Shorts:	405,186	1,452,790	266,533
– 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):	35.5	44.3	90.9
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.9	-12.9	16.8

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week equaled a net position of -14,234 contracts in the data reported through Tuesday. This was a weekly increase of 19,261 contracts from the previous week which had a total of -33,495 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 78.5 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.7 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: 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:	19.5	63.5	14.3
– Percent of Open Interest Shorts:	20.3	68.2	8.9
– Net Position:	-14,234	-82,871	97,105
– Gross Longs:	347,170	1,132,220	255,324
– Gross Shorts:	361,404	1,215,091	158,219
– Long to Short Ratio:	1.0 to 1	0.9 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	78.5	0.0	97.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.5	-19.6	19.0

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -269,698 contracts in the data reported through Tuesday. This was a weekly increase of 55,916 contracts from the previous week which had a total of -325,614 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 98.2 percent. The commercials are Bearish-Extreme with a score of 13.6 percent and the small traders (not shown in chart) are Bearish with a score of 34.5 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:	8.7	78.8	11.1
– Percent of Open Interest Shorts:	23.5	64.8	10.2
– Net Position:	-269,698	253,669	16,029
– Gross Longs:	157,927	1,431,263	202,059
– Gross Shorts:	427,625	1,177,594	186,030
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	98.2	13.6	34.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	78.7	-82.7	2.9

 

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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.