COT Bonds Charts: Speculator Bets led by 10-Year Bonds & 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 October 8th 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 10-Year Bonds & US Treasury Bonds

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

Leading the gains for the bond markets was the 10-Year Bonds (183,760 contracts) with the US Treasury Bonds (20,403 contracts) also showing a positive week.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-225,896 contracts), the 2-Year Bonds (-46,817 contracts), the Fed Funds (-54,222 contracts), the 5-Year Bonds (-49,535 contracts), the SOFR 1-Month (-27,938 contracts), the Ultra Treasury Bonds (-19,033 contracts) and with the Ultra 10-Year Bonds (-1,918 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 Fed Funds & Ultra 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 Fed Funds (90 percent) and the Ultra Treasury Bonds (81 percent) lead the bond markets this week. The SOFR 3-Months (79 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (8 percent), the SOFR 1-Month (8 percent), the 10-Year Bonds (16 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).

Strength Statistics:
Fed Funds (90.0 percent) vs Fed Funds previous week (100.0 percent)
2-Year Bond (16.0 percent) vs 2-Year Bond previous week (19.0 percent)
5-Year Bond (8.4 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (16.1 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (40.7 percent) vs Ultra 10-Year Bond previous week (41.1 percent)
US Treasury Bond (57.0 percent) vs US Treasury Bond previous week (49.8 percent)
Ultra US Treasury Bond (80.6 percent) vs Ultra US Treasury Bond previous week (89.4 percent)
SOFR 1-Month (7.7 percent) vs SOFR 1-Month previous week (15.0 percent)
SOFR 3-Months (79.3 percent) vs SOFR 3-Months previous week (91.0 percent)

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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 Fed Funds (70 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (5 percent) and the 5-Year Bonds (3 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-22 percent) and the 2-Year Bonds (-13 percent) lead the downside trend scores currently with the SOFR 3-Months (-9 percent) and the Ultra Treasury Bonds (-6 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (69.8 percent) vs Fed Funds previous week (70.6 percent)
2-Year Bond (-12.5 percent) vs 2-Year Bond previous week (-1.6 percent)
5-Year Bond (3.4 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (-4.0 percent) vs 10-Year Bond previous week (-9.3 percent)
Ultra 10-Year Bond (5.3 percent) vs Ultra 10-Year Bond previous week (11.5 percent)
US Treasury Bond (-21.6 percent) vs US Treasury Bond previous week (-22.0 percent)
Ultra US Treasury Bond (-5.8 percent) vs Ultra US Treasury Bond previous week (28.9 percent)
SOFR 1-Month (-47.6 percent) vs SOFR 1-Month previous week (-50.9 percent)
SOFR 3-Months (-9.4 percent) vs SOFR 3-Months previous week (11.0 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week reached a net position of 191,471 contracts in the data reported through Tuesday. This was a weekly reduction of -54,222 contracts from the previous week which had a total of 245,693 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 90.0 percent. The commercials are Bearish-Extreme with a score of 9.5 percent and the small traders (not shown in chart) are Bullish with a score of 62.4 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:	23.1	50.9	4.1
– Percent of Open Interest Shorts:	13.9	59.5	4.6
– Net Position:	191,471	-179,097	-12,374
– Gross Longs:	481,131	1,059,607	84,379
– Gross Shorts:	289,660	1,238,704	96,753
– Long to Short Ratio:	1.7 to 1	0.9 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	90.0	9.5	62.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	69.8	-68.4	-4.2

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of 368,420 contracts in the data reported through Tuesday. This was a weekly lowering of -225,896 contracts from the previous week which had a total of 594,316 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 Bullish with a score of 79.3 percent. The commercials are Bearish with a score of 20.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 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:	15.9	55.7	1.0
– Percent of Open Interest Shorts:	12.3	59.4	0.9
– Net Position:	368,420	-373,123	4,703
– Gross Longs:	1,630,441	5,720,105	100,511
– Gross Shorts:	1,262,021	6,093,228	95,808
– 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):	79.3	20.3	90.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.4	9.1	3.4

 

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Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

The Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -222,460 contracts in the data reported through Tuesday. This was a weekly lowering of -27,938 contracts from the previous week which had a total of -194,522 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 7.7 percent. The commercials are Bullish-Extreme with a score of 92.5 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.2	66.4	0.8
– Percent of Open Interest Shorts:	29.7	46.8	0.9
– Net Position:	-222,460	223,071	-611
– Gross Longs:	115,999	755,402	9,260
– Gross Shorts:	338,459	532,331	9,871
– Long to Short Ratio:	0.3 to 1	1.4 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	7.7	92.5	51.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-47.6	47.5	1.5

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week reached a net position of -1,225,036 contracts in the data reported through Tuesday. This was a weekly reduction of -46,817 contracts from the previous week which had a total of -1,178,219 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 16.0 percent. The commercials are Bullish with a score of 78.0 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.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.3	77.6	6.6
– Percent of Open Interest Shorts:	41.9	54.3	2.3
– Net Position:	-1,225,036	1,034,896	190,140
– Gross Longs:	635,254	3,446,184	292,339
– Gross Shorts:	1,860,290	2,411,288	102,199
– Long to Short Ratio:	0.3 to 1	1.4 to 1	2.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	16.0	78.0	96.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.5	13.8	2.5

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week reached a net position of -1,600,325 contracts in the data reported through Tuesday. This was a weekly reduction of -49,535 contracts from the previous week which had a total of -1,550,790 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 8.4 percent. The commercials are Bullish-Extreme with a score of 92.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.9 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.8	83.4	7.4
– Percent of Open Interest Shorts:	33.4	61.0	4.3
– Net Position:	-1,600,325	1,404,836	195,489
– Gross Longs:	488,596	5,223,372	463,588
– Gross Shorts:	2,088,921	3,818,536	268,099
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	8.4	92.8	89.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.4	-4.2	-0.9

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week reached a net position of -960,129 contracts in the data reported through Tuesday. This was a weekly gain of 183,760 contracts from the previous week which had a total of -1,143,889 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 16.1 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.1	77.6	9.8
– Percent of Open Interest Shorts:	30.0	60.9	6.6
– Net Position:	-960,129	805,589	154,540
– Gross Longs:	489,605	3,746,029	475,440
– Gross Shorts:	1,449,734	2,940,440	320,900
– 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):	16.1	77.4	99.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.0	6.2	-0.9

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week reached a net position of -82,467 contracts in the data reported through Tuesday. This was a weekly reduction of -1,918 contracts from the previous week which had a total of -80,549 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 40.7 percent. The commercials are Bearish with a score of 47.3 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 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:	16.0	73.9	9.6
– Percent of Open Interest Shorts:	19.7	66.9	12.9
– Net Position:	-82,467	155,448	-72,981
– Gross Longs:	352,173	1,630,033	211,286
– Gross Shorts:	434,640	1,474,585	284,267
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	40.7	47.3	69.6
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.3	3.0	-21.3

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week reached a net position of -76,175 contracts in the data reported through Tuesday. This was a weekly advance of 20,403 contracts from the previous week which had a total of -96,578 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 57.0 percent. The commercials are Bearish with a score of 20.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.6	65.1	13.5
– Percent of Open Interest Shorts:	24.9	66.6	7.7
– Net Position:	-76,175	-25,386	101,561
– Gross Longs:	362,540	1,148,669	237,597
– Gross Shorts:	438,715	1,174,055	136,036
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	57.0	20.3	88.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.6	19.4	3.0

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week reached a net position of -282,251 contracts in the data reported through Tuesday. This was a weekly fall of -19,033 contracts from the previous week which had a total of -263,218 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 80.6 percent. The commercials are Bearish with a score of 26.6 percent and the small traders (not shown in chart) are Bearish with a score of 28.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.1	79.2	10.6
– Percent of Open Interest Shorts:	26.7	63.6	9.6
– Net Position:	-282,251	265,926	16,325
– Gross Longs:	172,856	1,351,055	180,774
– Gross Shorts:	455,107	1,085,129	164,449
– 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):	80.6	26.6	28.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.8	6.1	0.4

 

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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.