23 Nov

Speculator Extremes: Ultra T-Bonds, AUD, 5-Year & USD Index lead Bullish & Bearish Positions

November 23, 2024

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on November 19th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

Here Are This Week’s Most Bullish Speculator Positions:

Ultra U.S. Treasury Bonds


The Ultra U.S. Treasury Bonds speculator position comes in as the most bullish extreme standing this week. The Ultra U.S. Treasury Bonds speculator level is currently at a 100.0 percent score of its 3-year range.

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The six-week trend for the percent strength score totaled a positive 24.6 this week. The overall net speculator position was a total of -225,304 net contracts this week with an increase by 15,980 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

Australian Dollar


The Australian Dollar speculator position comes next in the extreme standings this week. The Australian Dollar speculator level is now at a 98.7 percent score of its 3-year range.

The six-week trend for the percent strength score has tailed off a bit and was -1.3 this week. The speculator position registered 31,598 net contracts this week with a weekly gain of 1,803 contracts in speculator bets.

Lean Hogs


The Lean Hogs speculator position comes in third this week in the extreme standings. The Lean Hogs speculator level resides at a 96.4 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at 34.5 this week. The overall speculator position was 71,982 net contracts this week with a decline of -4,000 contracts in the weekly speculator bets.

Coffee


The Coffee speculator position comes up number four in the extreme standings this week and continues to see strong speculator sentiment. The Coffee speculator level is at a 93.0 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a modest change of 6.0 this week. The overall speculator position was 68,918 net contracts this week with a small rise of 450 contracts in the speculator bets.

Steel


The Steel speculator position rounds out the top five in this week’s bullish extreme standings. The Steel speculator level sits at a 91.4 percent score of its 3-year range. The six-week trend for the speculator strength score was 1.9 this week.

The speculator position leveled at -1,297 net contracts this week with a dip of -489 contracts in the weekly speculator bets.

This Week’s Most Bearish Speculator Positions:

5-Year Bond


The 5-Year Bond speculator position comes in as the most bearish extreme standing this week. The 5-Year Bond speculator level is at the lowest level in 3 years or a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -20.4 this week. The overall speculator position was -1,983,026 net contracts this week with a shortfall of -113,816 contracts in the speculator bets.

US Dollar Index


The US Dollar Index speculator position comes in tied for the most bearish extreme standing on the week. The US Dollar Index speculator level is at a 0.0 percent score of its 3-year range despite a rising price.

The six-week trend for the speculator strength score was -1.7 this week. The speculator position was -2,713 net contracts this week and had a decrease by -401 contracts in the weekly speculator bets.

Heating Oil


The Heating Oil speculator position comes in as third most bearish extreme standing of the week. The Heating Oil speculator level resides at just 0.5 percent score of its 3-year range.

The six-week trend for the speculator strength score was -24.5 this week. The overall speculator position is standing at -16,138 net contracts this week with a drop of -6,622 contracts in the speculator bets.

2-Year Bond


The 2-Year Bond speculator position comes in as this week’s fourth most bearish extreme standing. The 2-Year Bond speculator level is at a 2.5 percent score of its 3-year range.

The six-week trend for the speculator strength score was -14.1 this week. The speculator position was -1,447,344 net contracts this week with a decline of -23,473 contracts in the weekly speculator bets.

Euro


Finally, the Euro speculator position comes in as the fifth most bearish extreme standing for this week. The Euro speculator level is at a 3.3 percent score of its 3-year range.

The six-week trend for the speculator strength score showed a strong negative sentiment at -34.4 this week. The speculator position was -42,557 net contracts this week with a huge drop of -35,120 contracts in the weekly speculator bets.

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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