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 September 17th 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 & 5-Year Bonds
The COT bond market speculator bets were lower this week as three out of the nine bond markets we cover had higher positioning while the other six markets had lower speculator contracts.
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Leading the gains for the bond markets was the Fed Funds (235,228 contracts) with the 5-Year Bonds (126,136 contracts) and the Ultra 10-Year Bonds (10,506 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-77,632 contracts), the 10-Year Bonds (-71,921 contracts), the SOFR 1-Month (-44,450 contracts), the US Treasury Bonds (-45,481 contracts), the 2-Year Bonds (-20,204 contracts) and with the Ultra Treasury Bonds (-15,145 contracts) also registering lower bets on the week.
Bonds Net Speculators Leaderboard
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)
Strength Scores led by Fed Funds & 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 Fed Funds (100 percent) and the SOFR 3-Months (95 percent) lead the bond markets this week. The Ultra Treasury Bonds (84 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 10-Year Bond (0 percent), the 5-Year Bonds (9 percent) and the SOFR 1-Month (19 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 (29 percent) and the US Treasury Bonds (45 percent).
Strength Statistics:
Fed Funds (100.0 percent) vs Fed Funds previous week (50.4 percent)
2-Year Bond (28.7 percent) vs 2-Year Bond previous week (30.0 percent)
5-Year Bond (8.8 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (5.6 percent)
Ultra 10-Year Bond (48.4 percent) vs Ultra 10-Year Bond previous week (46.2 percent)
US Treasury Bond (45.3 percent) vs US Treasury Bond previous week (61.1 percent)
Ultra US Treasury Bond (84.2 percent) vs Ultra US Treasury Bond previous week (91.2 percent)
SOFR 1-Month (18.7 percent) vs SOFR 1-Month previous week (30.4 percent)
SOFR 3-Months (94.7 percent) vs SOFR 3-Months previous week (98.7 percent)
Fed Funds & 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 Fed Funds (55 percent) and the Ultra Treasury Bonds (47 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (25 percent) was the next highest positive movers in the latest trends data.
The SOFR 1-Month (-45.7 percent), the 10-Year Bonds (-25 percent) and the US Treasury Bonds (-18 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (54.7 percent) vs Fed Funds previous week (32.6 percent)
2-Year Bond (5.0 percent) vs 2-Year Bond previous week (6.2 percent)
5-Year Bond (5.8 percent) vs 5-Year Bond previous week (-3.9 percent)
10-Year Bond (-24.9 percent) vs 10-Year Bond previous week (-23.0 percent)
Ultra 10-Year Bond (24.7 percent) vs Ultra 10-Year Bond previous week (11.4 percent)
US Treasury Bond (-18.1 percent) vs US Treasury Bond previous week (-6.4 percent)
Ultra US Treasury Bond (47.3 percent) vs Ultra US Treasury Bond previous week (73.0 percent)
SOFR 1-Month (-45.7 percent) vs SOFR 1-Month previous week (-41.4 percent)
SOFR 3-Months (15.5 percent) vs SOFR 3-Months previous week (29.2 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week totaled a net position of 178,807 contracts in the data reported through Tuesday. This was a weekly boost of 235,228 contracts from the previous week which had a total of -56,421 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-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bearish with a score of 43.0 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: | 24.9 | 53.6 | 1.8 |
| – Percent of Open Interest Shorts: | 17.0 | 60.5 | 2.8 |
| – Net Position: | 178,807 | -155,837 | -22,970 |
| – Gross Longs: | 564,701 | 1,215,899 | 40,036 |
| – Gross Shorts: | 385,894 | 1,371,736 | 63,006 |
| – Long to Short Ratio: | 1.5 to 1 | 0.9 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 100.0 | 0.0 | 43.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 54.7 | -52.3 | -20.8 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 666,595 contracts in the data reported through Tuesday. This was a weekly reduction of -77,632 contracts from the previous week which had a total of 744,227 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 94.7 percent. The commercials are Bearish-Extreme with a score of 4.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.8 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: | 16.9 | 54.5 | 0.4 |
| – Percent of Open Interest Shorts: | 11.3 | 60.2 | 0.4 |
| – Net Position: | 666,595 | -675,562 | 8,967 |
| – Gross Longs: | 2,000,550 | 6,449,299 | 50,395 |
| – Gross Shorts: | 1,333,955 | 7,124,861 | 41,428 |
| – Long to Short Ratio: | 1.5 to 1 | 0.9 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 94.7 | 4.6 | 92.8 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.5 | -16.2 | 7.0 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of -180,527 contracts in the data reported through Tuesday. This was a weekly decrease of -44,450 contracts from the previous week which had a total of -136,077 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 18.7 percent. The commercials are Bullish-Extreme with a score of 82.4 percent and the small traders (not shown in chart) are Bearish with a score of 23.7 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.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 16.5 | 64.5 | 0.0 |
| – Percent of Open Interest Shorts: | 30.1 | 50.6 | 0.3 |
| – Net Position: | -180,527 | 184,536 | -4,009 |
| – Gross Longs: | 219,572 | 856,650 | 379 |
| – Gross Shorts: | 400,099 | 672,114 | 4,388 |
| – Long to Short Ratio: | 0.5 to 1 | 1.3 to 1 | 0.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 18.7 | 82.4 | 23.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -45.7 | 46.4 | -24.0 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week totaled a net position of -1,026,420 contracts in the data reported through Tuesday. This was a weekly reduction of -20,204 contracts from the previous week which had a total of -1,006,216 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 28.7 percent. The commercials are Bullish with a score of 65.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 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: | 14.8 | 77.0 | 6.5 |
| – Percent of Open Interest Shorts: | 38.6 | 56.9 | 2.8 |
| – Net Position: | -1,026,420 | 867,872 | 158,548 |
| – Gross Longs: | 637,164 | 3,321,163 | 279,299 |
| – Gross Shorts: | 1,663,584 | 2,453,291 | 120,751 |
| – Long to Short Ratio: | 0.4 to 1 | 1.4 to 1 | 2.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 28.7 | 65.7 | 86.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.0 | -4.9 | -3.9 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week totaled a net position of -1,593,860 contracts in the data reported through Tuesday. This was a weekly lift of 126,136 contracts from the previous week which had a total of -1,719,996 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 8.8 percent. The commercials are Bullish-Extreme with a score of 91.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.2 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.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.5 | 82.2 | 7.1 |
| – Percent of Open Interest Shorts: | 34.4 | 60.5 | 4.0 |
| – Net Position: | -1,593,860 | 1,391,327 | 202,533 |
| – Gross Longs: | 607,540 | 5,260,229 | 455,505 |
| – Gross Shorts: | 2,201,400 | 3,868,902 | 252,972 |
| – Long to Short Ratio: | 0.3 to 1 | 1.4 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 8.8 | 91.7 | 91.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.8 | -3.8 | -8.8 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week totaled a net position of -1,094,026 contracts in the data reported through Tuesday. This was a weekly lowering of -71,921 contracts from the previous week which had a total of -1,022,105 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 98.2 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: | 8.8 | 79.8 | 9.8 |
| – Percent of Open Interest Shorts: | 31.1 | 60.6 | 6.7 |
| – Net Position: | -1,094,026 | 943,854 | 150,172 |
| – Gross Longs: | 431,039 | 3,910,709 | 479,362 |
| – Gross Shorts: | 1,525,065 | 2,966,855 | 329,190 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 98.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -24.9 | 36.5 | 2.5 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week totaled a net position of -45,640 contracts in the data reported through Tuesday. This was a weekly advance of 10,506 contracts from the previous week which had a total of -56,146 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 48.4 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.0 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: | 15.4 | 73.8 | 10.1 |
| – Percent of Open Interest Shorts: | 17.6 | 68.8 | 12.9 |
| – Net Position: | -45,640 | 105,997 | -60,357 |
| – Gross Longs: | 325,963 | 1,559,701 | 212,603 |
| – Gross Shorts: | 371,603 | 1,453,704 | 272,960 |
| – Long to Short Ratio: | 0.9 to 1 | 1.1 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 48.4 | 33.9 | 77.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 24.7 | -21.5 | -23.0 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week totaled a net position of -109,711 contracts in the data reported through Tuesday. This was a weekly lowering of -45,481 contracts from the previous week which had a total of -64,230 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 45.3 percent. The commercials are Bearish with a score of 27.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 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.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 20.4 | 65.0 | 14.1 |
| – Percent of Open Interest Shorts: | 26.6 | 65.2 | 7.7 |
| – Net Position: | -109,711 | -2,942 | 112,653 |
| – Gross Longs: | 358,317 | 1,142,280 | 247,909 |
| – Gross Shorts: | 468,028 | 1,145,222 | 135,256 |
| – Long to Short Ratio: | 0.8 to 1 | 1.0 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 45.3 | 27.9 | 96.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.1 | 11.2 | 12.7 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -274,303 contracts in the data reported through Tuesday. This was a weekly reduction of -15,145 contracts from the previous week which had a total of -259,158 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 84.2 percent. The commercials are Bearish-Extreme with a score of 8.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.8 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.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.2 | 77.4 | 11.6 |
| – Percent of Open Interest Shorts: | 26.1 | 64.2 | 9.0 |
| – Net Position: | -274,303 | 228,728 | 45,575 |
| – Gross Longs: | 176,456 | 1,335,723 | 200,411 |
| – Gross Shorts: | 450,759 | 1,106,995 | 154,836 |
| – 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): | 84.2 | 8.0 | 72.8 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 47.3 | -64.6 | 34.5 |
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.
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