COT Bonds Charts: Weekly Speculator Changes led by 10-Year & 5-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 January 14th 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 & 5-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 10-Year Bonds (104,511 contracts) with the 5-Year Bonds (23,282 contracts), SOFR 1-Month (18,448 contracts), the US Treasury Bonds (16,879 contracts) and the Ultra Treasury Bonds (4,966 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-280,332 contracts), the 2-Year Bonds (-64,188 contracts), the Fed Funds (-19,504 contracts) and the Ultra 10-Year Bonds (-6,845 contracts) also seeing 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 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 (84 percent) and the Ultra Treasury Bonds (82 percent) lead the bond markets this week. The SOFR 1-Month (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (11 percent) and the 2-Year Bonds (15 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (20.1 percent) vs Fed Funds previous week (23.7 percent)
2-Year Bond (14.9 percent) vs 2-Year Bond previous week (19.1 percent)
5-Year Bond (10.9 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (54.4 percent) vs 10-Year Bond previous week (44.6 percent)
Ultra 10-Year Bond (37.0 percent) vs Ultra 10-Year Bond previous week (38.8 percent)
US Treasury Bond (83.5 percent) vs US Treasury Bond previous week (77.6 percent)
Ultra US Treasury Bond (81.8 percent) vs Ultra US Treasury Bond previous week (79.9 percent)
SOFR 1-Month (66.6 percent) vs SOFR 1-Month previous week (62.1 percent)
SOFR 3-Months (23.0 percent) vs SOFR 3-Months previous week (37.5 percent)

---

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 (31 percent) and the SOFR 1-Month (27 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (20 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-29 percent) and the SOFR 3-Months (-10 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-29.2 percent) vs Fed Funds previous week (-22.6 percent)
2-Year Bond (-3.5 percent) vs 2-Year Bond previous week (2.7 percent)
5-Year Bond (4.4 percent) vs 5-Year Bond previous week (-1.9 percent)
10-Year Bond (30.6 percent) vs 10-Year Bond previous week (24.0 percent)
Ultra 10-Year Bond (6.2 percent) vs Ultra 10-Year Bond previous week (-3.7 percent)
US Treasury Bond (20.5 percent) vs US Treasury Bond previous week (10.7 percent)
Ultra US Treasury Bond (-10.7 percent) vs Ultra US Treasury Bond previous week (-20.1 percent)
SOFR 1-Month (26.9 percent) vs SOFR 1-Month previous week (49.5 percent)
SOFR 3-Months (-9.5 percent) vs SOFR 3-Months previous week (-0.6 percent)

---

30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week equaled a net position of -186,720 contracts in the data reported through Tuesday. This was a weekly fall of -19,504 contracts from the previous week which had a total of -167,216 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 20.1 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish with a score of 77.6 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:	10.5	70.9	2.0
– Percent of Open Interest Shorts:	20.9	60.3	2.2
– Net Position:	-186,720	190,792	-4,072
– Gross Longs:	187,498	1,268,975	35,226
– Gross Shorts:	374,218	1,078,183	39,298
– 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):	20.1	76.7	77.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-29.2	29.7	-10.2

 

---

Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -720,849 contracts in the data reported through Tuesday. This was a weekly decline of -280,332 contracts from the previous week which had a total of -440,517 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 23.0 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 90.5 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:	11.9	61.1	0.2
– Percent of Open Interest Shorts:	18.9	54.1	0.2
– Net Position:	-720,849	716,108	4,741
– Gross Longs:	1,221,391	6,283,050	24,000
– Gross Shorts:	1,942,240	5,566,942	19,259
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.0	76.6	90.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.5	8.5	10.9

 

---

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 -7,524 contracts in the data reported through Tuesday. This was a weekly advance of 18,448 contracts from the previous week which had a total of -25,972 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 66.6 percent. The commercials are Bearish with a score of 33.5 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	61.3	0.0
– Percent of Open Interest Shorts:	25.3	60.7	0.0
– Net Position:	-7,524	7,757	-233
– Gross Longs:	343,490	849,795	143
– Gross Shorts:	351,014	842,038	376
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	66.6	33.5	54.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	26.9	-26.7	-3.0

 

---

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,257,206 contracts in the data reported through Tuesday. This was a weekly fall of -64,188 contracts from the previous week which had a total of -1,193,018 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 14.9 percent. The commercials are Bullish-Extreme with a score of 85.4 percent and the small traders (not shown in chart) are Bullish with a score of 71.7 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:	13.3	76.6	5.9
– Percent of Open Interest Shorts:	42.5	50.0	3.3
– Net Position:	-1,257,206	1,144,456	112,750
– Gross Longs:	570,377	3,295,697	252,707
– Gross Shorts:	1,827,583	2,151,241	139,957
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	14.9	85.4	71.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.5	6.3	-8.9

 

---

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,777,621 contracts in the data reported through Tuesday. This was a weekly advance of 23,282 contracts from the previous week which had a total of -1,800,903 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 10.9 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 73.4 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	85.1	6.7
– Percent of Open Interest Shorts:	35.0	57.8	4.9
– Net Position:	-1,777,621	1,669,604	108,017
– Gross Longs:	362,051	5,210,168	407,806
– Gross Shorts:	2,139,672	3,540,564	299,789
– 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):	10.9	87.8	73.4
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.4	-4.6	-2.2

 

---

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -567,935 contracts in the data reported through Tuesday. This was a weekly boost of 104,511 contracts from the previous week which had a total of -672,446 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 54.4 percent. The commercials are Bearish with a score of 41.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 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:	14.4	74.5	9.3
– Percent of Open Interest Shorts:	26.5	63.7	8.1
– Net Position:	-567,935	508,311	59,624
– Gross Longs:	677,811	3,505,753	440,081
– Gross Shorts:	1,245,746	2,997,442	380,457
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	54.4	41.0	77.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	30.6	-40.9	2.3

 

---

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week equaled a net position of -140,232 contracts in the data reported through Tuesday. This was a weekly decrease of -6,845 contracts from the previous week which had a total of -133,387 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 37.0 percent. The commercials are Bearish with a score of 35.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.3 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:	13.8	74.8	10.5
– Percent of Open Interest Shorts:	20.1	66.8	12.1
– Net Position:	-140,232	177,767	-37,535
– Gross Longs:	306,385	1,660,363	231,947
– Gross Shorts:	446,617	1,482,596	269,482
– 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):	37.0	35.7	89.3
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.2	-14.3	9.8

 

---

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week equaled a net position of 52 contracts in the data reported through Tuesday. This was a weekly boost of 16,879 contracts from the previous week which had a total of -16,827 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 83.5 percent. The commercials are Bearish-Extreme with a score of 9.7 percent and the small traders (not shown in chart) are Bullish with a score of 58.0 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:	23.4	64.2	11.1
– Percent of Open Interest Shorts:	23.4	67.1	8.1
– Net Position:	52	-56,832	56,780
– Gross Longs:	454,757	1,245,292	214,663
– Gross Shorts:	454,705	1,302,124	157,883
– Long to Short Ratio:	1.0 to 1	1.0 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	83.5	9.7	58.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.5	-15.4	-8.9

 

---

Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -242,422 contracts in the data reported through Tuesday. This was a weekly lift of 4,966 contracts from the previous week which had a total of -247,388 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 81.8 percent. The commercials are Bearish with a score of 27.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 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:	8.3	81.7	9.6
– Percent of Open Interest Shorts:	21.7	67.8	10.1
– Net Position:	-242,422	250,327	-7,905
– Gross Longs:	149,112	1,471,577	173,518
– Gross Shorts:	391,534	1,221,250	181,423
– 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):	81.8	27.7	0.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-10.7	22.2	-29.2

 

---

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.