COT Bonds Charts: Speculator Bets led by 2-Year Bonds & SOFR 3-Months

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 January 21st 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 2-Year Bonds & SOFR 3-Months

The COT bond market speculator bets were 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 2-Year Bonds (82,829 contracts) with the SOFR 3-Months (48,520 contracts), the SOFR 1-Month (43,118 contracts), the US Treasury Bonds (24,404 contracts) and the Ultra Treasury Bonds (12,434 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-32,292 contracts), the 5-Year Bonds (-18,570 contracts), the 10-Year Bonds (-12,310 contracts) and with the Fed Funds (-4,075 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 US Treasury Bonds & 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 US Treasury Bonds (92 percent) and the Ultra Treasury Bonds (87 percent) lead the bond markets this week. The SOFR 1-Month (77 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (19 percent) and the 5-Year Bonds (10 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (19.4 percent) vs Fed Funds previous week (20.1 percent)
2-Year Bond (20.3 percent) vs 2-Year Bond previous week (14.9 percent)
5-Year Bond (9.9 percent) vs 5-Year Bond previous week (10.9 percent)
10-Year Bond (53.3 percent) vs 10-Year Bond previous week (54.4 percent)
Ultra 10-Year Bond (29.7 percent) vs Ultra 10-Year Bond previous week (38.8 percent)
US Treasury Bond (92.0 percent) vs US Treasury Bond previous week (83.5 percent)
Ultra US Treasury Bond (86.5 percent) vs Ultra US Treasury Bond previous week (81.8 percent)
SOFR 1-Month (77.3 percent) vs SOFR 1-Month previous week (66.6 percent)
SOFR 3-Months (25.5 percent) vs SOFR 3-Months previous week (23.0 percent)

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10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (28 percent) and the SOFR 1-Month (26 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (22 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-19 percent) and the SOFR 3-Months (-18 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-18.9 percent) vs Fed Funds previous week (-29.2 percent)
2-Year Bond (5.3 percent) vs 2-Year Bond previous week (-3.5 percent)
5-Year Bond (-0.3 percent) vs 5-Year Bond previous week (4.4 percent)
10-Year Bond (27.9 percent) vs 10-Year Bond previous week (30.6 percent)
Ultra 10-Year Bond (-18.7 percent) vs Ultra 10-Year Bond previous week (6.5 percent)
US Treasury Bond (22.3 percent) vs US Treasury Bond previous week (20.5 percent)
Ultra US Treasury Bond (-5.2 percent) vs Ultra US Treasury Bond previous week (-10.7 percent)
SOFR 1-Month (25.8 percent) vs SOFR 1-Month previous week (26.9 percent)
SOFR 3-Months (-17.8 percent) vs SOFR 3-Months previous week (-9.5 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 -190,795 contracts in the data reported through Tuesday. This was a weekly lowering of -4,075 contracts from the previous week which had a total of -186,720 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 19.4 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish with a score of 78.7 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:	10.0	70.9	1.8
– Percent of Open Interest Shorts:	20.2	60.6	2.0
– Net Position:	-190,795	194,312	-3,517
– Gross Longs:	187,401	1,329,527	33,875
– Gross Shorts:	378,196	1,135,215	37,392
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	19.4	77.4	78.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-18.9	18.0	5.8

 

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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 -672,329 contracts in the data reported through Tuesday. This was a weekly lift of 48,520 contracts from the previous week which had a total of -720,849 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 25.5 percent. The commercials are Bullish with a score of 74.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.9 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.

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.3	62.6	0.3
– Percent of Open Interest Shorts:	18.9	56.0	0.2
– Net Position:	-672,329	664,938	7,391
– Gross Longs:	1,234,111	6,304,510	28,896
– Gross Shorts:	1,906,440	5,639,572	21,505
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	25.5	74.0	91.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.8	17.0	9.4

 

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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 35,594 contracts in the data reported through Tuesday. This was a weekly advance of 43,118 contracts from the previous week which had a total of -7,524 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 77.3 percent. The commercials are Bearish with a score of 22.9 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	24.8	59.6	0.0
– Percent of Open Interest Shorts:	22.4	62.1	0.0
– Net Position:	35,594	-35,351	-243
– Gross Longs:	360,259	866,138	165
– Gross Shorts:	324,665	901,489	408
– Long to Short Ratio:	1.1 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	77.3	22.9	54.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	25.8	-25.8	0.6

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week reached a net position of -1,174,377 contracts in the data reported through Tuesday. This was a weekly advance of 82,829 contracts from the previous week which had a total of -1,257,206 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 20.3 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.1 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.2	76.8	6.3
– Percent of Open Interest Shorts:	41.4	51.9	2.9
– Net Position:	-1,174,377	1,034,903	139,474
– Gross Longs:	547,540	3,191,555	260,164
– Gross Shorts:	1,721,917	2,156,652	120,690
– Long to Short Ratio:	0.3 to 1	1.5 to 1	2.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	20.3	76.6	80.1
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.3	-6.2	-0.6

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week reached a net position of -1,796,191 contracts in the data reported through Tuesday. This was a weekly decline of -18,570 contracts from the previous week which had a total of -1,777,621 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 9.9 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish with a score of 76.6 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.9	85.0	6.9
– Percent of Open Interest Shorts:	35.0	57.9	4.9
– Net Position:	-1,796,191	1,671,310	124,881
– Gross Longs:	362,768	5,245,706	424,184
– Gross Shorts:	2,158,959	3,574,396	299,303
– Long to Short Ratio:	0.2 to 1	1.5 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	9.9	87.9	76.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.3	-0.7	3.1

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week reached a net position of -580,245 contracts in the data reported through Tuesday. This was a weekly lowering of -12,310 contracts from the previous week which had a total of -567,935 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 53.3 percent. The commercials are Bearish with a score of 48.0 percent and the small traders (not shown in chart) are Bullish with a score of 67.9 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.8	75.3	8.9
– Percent of Open Interest Shorts:	26.0	63.4	8.6
– Net Position:	-580,245	565,040	15,205
– Gross Longs:	654,181	3,575,799	422,956
– Gross Shorts:	1,234,426	3,010,759	407,751
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.3	48.0	67.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	27.9	-30.6	-10.1

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week reached a net position of -172,524 contracts in the data reported through Tuesday. This was a weekly decline of -32,292 contracts from the previous week which had a total of -140,232 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 29.7 percent. The commercials are Bearish with a score of 49.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.7 percent.

Price Trend-Following Model: Weak Downtrend

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

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.5	75.8	9.8
– Percent of Open Interest Shorts:	21.1	66.0	12.0
– Net Position:	-172,524	221,503	-48,979
– Gross Longs:	306,092	1,721,192	223,196
– Gross Shorts:	478,616	1,499,689	272,175
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.7	49.5	81.7
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-18.7	23.7	4.1

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week reached a net position of 24,456 contracts in the data reported through Tuesday. This was a weekly boost of 24,404 contracts from the previous week which had a total of 52 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 92.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 64.4 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	23.7	64.0	11.2
– Percent of Open Interest Shorts:	22.5	68.7	7.7
– Net Position:	24,456	-90,699	66,243
– Gross Longs:	456,188	1,230,439	214,843
– Gross Shorts:	431,732	1,321,138	148,600
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	92.0	0.0	64.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	22.3	-19.7	-3.2

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week reached a net position of -229,988 contracts in the data reported through Tuesday. This was a weekly lift of 12,434 contracts from the previous week which had a total of -242,422 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 86.5 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.5 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.2	81.4	9.8
– Percent of Open Interest Shorts:	21.0	68.6	9.8
– Net Position:	-229,988	229,344	644
– Gross Longs:	147,411	1,459,353	175,998
– Gross Shorts:	377,399	1,230,009	175,354
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	86.5	18.3	11.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.2	16.8	-32.3

 

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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.