COT Bonds Charts: Speculator Bets led by SOFR 3-Months & 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 December 17th 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 & 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (218,551 contracts) with the 10-Year Bonds (142,799 contracts), the Fed Funds (52,914 contracts), the SOFR 1-Month (29,668 contracts) and the 5-Year Bonds (28,113 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the US Treasury Bonds (-6,810 contracts), the Ultra 10-Year Bonds (-6,403 contracts), the 2-Year Bonds (-4,349 contracts) and with the Ultra Treasury Bonds (-2,932 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 Ultra Treasury Bonds & 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 Ultra Treasury Bonds (91 percent) and the US Treasury Bonds (67 percent) lead the bond markets this week. The SOFR 1-Month (59 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (14 percent) and 5-Year Bonds (12 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (48.0 percent) vs Fed Funds previous week (38.3 percent)
2-Year Bond (14.4 percent) vs 2-Year Bond previous week (14.7 percent)
5-Year Bond (11.7 percent) vs 5-Year Bond previous week (10.3 percent)
10-Year Bond (38.8 percent) vs 10-Year Bond previous week (25.3 percent)
Ultra 10-Year Bond (42.2 percent) vs Ultra 10-Year Bond previous week (43.9 percent)
US Treasury Bond (67.4 percent) vs US Treasury Bond previous week (69.7 percent)
Ultra US Treasury Bond (90.6 percent) vs Ultra US Treasury Bond previous week (91.7 percent)
SOFR 1-Month (58.7 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (54.6 percent) vs SOFR 3-Months previous week (43.4 percent)

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SOFR 1-Month & 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 1-Month (27 percent) and the Ultra Treasury Bonds (17 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (14 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-11.0 percent) leads the downside trend scores currently with the US Treasury Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-11.0 percent) vs Fed Funds previous week (-44.7 percent)
2-Year Bond (14.4 percent) vs 2-Year Bond previous week (14.3 percent)
5-Year Bond (0.3 percent) vs 5-Year Bond previous week (-5.9 percent)
10-Year Bond (8.1 percent) vs 10-Year Bond previous week (2.4 percent)
Ultra 10-Year Bond (7.1 percent) vs Ultra 10-Year Bond previous week (-0.8 percent)
US Treasury Bond (-3.0 percent) vs US Treasury Bond previous week (5.3 percent)
Ultra US Treasury Bond (17.2 percent) vs Ultra US Treasury Bond previous week (35.8 percent)
SOFR 1-Month (26.9 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (-0.7 percent) vs SOFR 3-Months previous week (-14.2 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week equaled a net position of -35,557 contracts in the data reported through Tuesday. This was a weekly gain of 52,914 contracts from the previous week which had a total of -88,471 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 48.0 percent. The commercials are Bearish with a score of 49.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

Price Trend-Following Model: Weak Downtrend

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.9	68.6	2.0
– Percent of Open Interest Shorts:	16.9	66.4	2.2
– Net Position:	-35,557	39,263	-3,706
– Gross Longs:	266,577	1,226,907	35,971
– Gross Shorts:	302,134	1,187,644	39,677
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.0	49.2	78.3
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.0	10.3	4.9

 

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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 -108,925 contracts in the data reported through Tuesday. This was a weekly gain of 218,551 contracts from the previous week which had a total of -327,476 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 54.6 percent. The commercials are Bearish with a score of 45.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.2 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.9	59.3	0.5
– Percent of Open Interest Shorts:	14.8	58.3	0.6
– Net Position:	-108,925	117,411	-8,486
– Gross Longs:	1,543,408	6,609,849	56,269
– Gross Shorts:	1,652,333	6,492,438	64,755
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	54.6	45.7	83.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.7	1.0	-3.1

 

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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 equaled a net position of -39,662 contracts in the data reported through Tuesday. This was a weekly increase of 29,668 contracts from the previous week which had a total of -69,330 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 58.7 percent. The commercials are Bearish with a score of 41.4 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 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:	25.5	62.2	0.0
– Percent of Open Interest Shorts:	28.1	59.6	0.0
– Net Position:	-39,662	40,010	-348
– Gross Longs:	392,112	954,943	141
– Gross Shorts:	431,774	914,933	489
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	58.7	41.4	53.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	26.9	-26.9	0.7

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,259,273 contracts in the data reported through Tuesday. This was a weekly reduction of -4,349 contracts from the previous week which had a total of -1,254,924 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 14.4 percent. The commercials are Bullish-Extreme with a score of 84.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.0 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.6	78.2	5.9
– Percent of Open Interest Shorts:	41.4	51.4	2.8
– Net Position:	-1,259,273	1,129,720	129,553
– Gross Longs:	487,339	3,297,104	248,447
– Gross Shorts:	1,746,612	2,167,384	118,894
– Long to Short Ratio:	0.3 to 1	1.5 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	14.4	84.9	77.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	14.4	-15.0	-7.2

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,762,317 contracts in the data reported through Tuesday. This was a weekly advance of 28,113 contracts from the previous week which had a total of -1,790,430 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 11.7 percent. The commercials are Bullish-Extreme with a score of 87.8 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.2	84.8	6.5
– Percent of Open Interest Shorts:	36.2	57.2	5.0
– Net Position:	-1,762,317	1,670,044	92,273
– Gross Longs:	435,419	5,139,765	395,530
– Gross Shorts:	2,197,736	3,469,721	303,257
– Long to Short Ratio:	0.2 to 1	1.5 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	11.7	87.8	70.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.3	3.5	-11.2

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -732,917 contracts in the data reported through Tuesday. This was a weekly rise of 142,799 contracts from the previous week which had a total of -875,716 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 38.8 percent. The commercials are Bullish with a score of 58.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.6 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.0	77.2	9.7
– Percent of Open Interest Shorts:	27.4	62.6	7.8
– Net Position:	-732,917	651,759	81,158
– Gross Longs:	492,529	3,448,078	431,228
– Gross Shorts:	1,225,446	2,796,319	350,070
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	38.8	58.6	82.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.1	-6.8	-6.6

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week equaled a net position of -112,485 contracts in the data reported through Tuesday. This was a weekly decline of -6,403 contracts from the previous week which had a total of -106,082 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 42.2 percent. The commercials are Bearish with a score of 34.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.3	72.9	10.9
– Percent of Open Interest Shorts:	20.5	66.2	12.4
– Net Position:	-112,485	145,015	-32,530
– Gross Longs:	332,600	1,582,159	237,065
– Gross Shorts:	445,085	1,437,144	269,595
– 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):	42.2	34.6	93.0
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.1	-19.0	19.1

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week equaled a net position of -46,303 contracts in the data reported through Tuesday. This was a weekly decrease of -6,810 contracts from the previous week which had a total of -39,493 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 67.4 percent. The commercials are Bearish-Extreme with a score of 17.4 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	21.9	65.7	11.5
– Percent of Open Interest Shorts:	24.4	67.6	7.1
– Net Position:	-46,303	-34,197	80,500
– Gross Longs:	407,771	1,224,408	213,331
– Gross Shorts:	454,074	1,258,605	132,831
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	67.4	17.4	74.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.0	0.8	4.2

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -219,304 contracts in the data reported through Tuesday. This was a weekly decline of -2,932 contracts from the previous week which had a total of -216,372 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 90.6 percent. The commercials are Bearish-Extreme with a score of 4.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.1 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.1	79.9	10.3
– Percent of Open Interest Shorts:	20.3	68.8	9.1
– Net Position:	-219,304	198,644	20,660
– Gross Longs:	144,952	1,432,440	184,033
– Gross Shorts:	364,256	1,233,796	163,373
– 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):	90.6	4.6	35.1
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.2	-28.9	28.0

 

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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.