COT Bonds Charts: Speculator Bets led by 5-Years, US Treasury Bonds & Ultra 10-Years

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 February 11th 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 5-Years, US Treasury Bonds & Ultra 10-Years

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

Leading the gains for the bond markets was the 5-Year Bonds (65,931 contracts) with the US Treasury Bonds (48,928 contracts), the Ultra 10-Year Bonds (29,989 contracts) and the Ultra Treasury Bonds (3,675 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-79,988 contracts), the 10-Year Bonds (-43,331 contracts), the SOFR 1-Month (-36,874 contracts), the Fed Funds (-15,621 contracts) and with the SOFR 3-Months (-5,059 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 (99 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The SOFR 1-Month (79 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (7 percent), the 2-Year Bonds (13 percent) and the Fed Funds (14 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (21 percent) and the 10-Year Bonds (37 percent).

Strength Statistics:
Fed Funds (14.4 percent) vs Fed Funds previous week (17.3 percent)
2-Year Bond (12.8 percent) vs 2-Year Bond previous week (18.3 percent)
5-Year Bond (6.5 percent) vs 5-Year Bond previous week (2.9 percent)
10-Year Bond (37.1 percent) vs 10-Year Bond previous week (41.2 percent)
Ultra 10-Year Bond (63.8 percent) vs Ultra 10-Year Bond previous week (53.9 percent)
US Treasury Bond (98.8 percent) vs US Treasury Bond previous week (81.8 percent)
Ultra US Treasury Bond (82.7 percent) vs Ultra US Treasury Bond previous week (81.3 percent)
SOFR 1-Month (79.2 percent) vs SOFR 1-Month previous week (88.3 percent)
SOFR 3-Months (21.4 percent) vs SOFR 3-Months previous week (21.7 percent)

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SOFR 1-Month & US 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 (30 percent) and the US Treasury Bonds (27 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (25 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-19 percent) and the 10-Year Bonds (-9 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-26.5 percent) vs Fed Funds previous week (-31.6 percent)
2-Year Bond (-1.8 percent) vs 2-Year Bond previous week (2.3 percent)
5-Year Bond (-2.2 percent) vs 5-Year Bond previous week (-8.9 percent)
10-Year Bond (-9.2 percent) vs 10-Year Bond previous week (-11.0 percent)
Ultra 10-Year Bond (25.2 percent) vs Ultra 10-Year Bond previous week (9.2 percent)
US Treasury Bond (27.5 percent) vs US Treasury Bond previous week (7.5 percent)
Ultra US Treasury Bond (-0.5 percent) vs Ultra US Treasury Bond previous week (-15.0 percent)
SOFR 1-Month (29.6 percent) vs SOFR 1-Month previous week (44.8 percent)
SOFR 3-Months (-18.5 percent) vs SOFR 3-Months previous week (-17.8 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week was a net position of -217,474 contracts in the data reported through Tuesday. This was a weekly lowering of -15,621 contracts from the previous week which had a total of -201,853 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 80.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.1 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:	11.8	71.8	2.2
– Percent of Open Interest Shorts:	25.0	58.8	1.9
– Net Position:	-217,474	212,595	4,879
– Gross Longs:	192,884	1,175,918	36,375
– Gross Shorts:	410,358	963,323	31,496
– 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):	14.4	80.7	94.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-26.5	24.9	12.9

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -751,909 contracts in the data reported through Tuesday. This was a weekly decrease of -5,059 contracts from the previous week which had a total of -746,850 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 21.4 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 93.5 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:	12.4	63.2	0.5
– Percent of Open Interest Shorts:	19.7	56.0	0.4
– Net Position:	-751,909	741,677	10,232
– Gross Longs:	1,274,103	6,488,316	48,858
– Gross Shorts:	2,026,012	5,746,639	38,626
– 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):	21.4	78.0	93.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-18.5	18.5	0.7

 

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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 was a net position of 43,587 contracts in the data reported through Tuesday. This was a weekly decrease of -36,874 contracts from the previous week which had a total of 80,461 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 79.2 percent. The commercials are Bearish with a score of 21.5 percent and the small traders (not shown in chart) are Bearish with a score of 33.1 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:	20.2	62.8	0.2
– Percent of Open Interest Shorts:	16.9	65.8	0.4
– Net Position:	43,587	-40,739	-2,848
– Gross Longs:	270,679	841,032	2,193
– Gross Shorts:	227,092	881,771	5,041
– Long to Short Ratio:	1.2 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	79.2	21.5	33.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	29.6	-29.0	-18.6

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week was a net position of -1,298,612 contracts in the data reported through Tuesday. This was a weekly lowering of -79,988 contracts from the previous week which had a total of -1,218,624 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 12.8 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.2 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	77.1	5.7
– Percent of Open Interest Shorts:	44.6	48.5	3.1
– Net Position:	-1,298,612	1,190,699	107,913
– Gross Longs:	554,284	3,205,872	237,223
– Gross Shorts:	1,852,896	2,015,173	129,310
– Long to Short Ratio:	0.3 to 1	1.6 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	12.8	88.4	70.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.8	4.4	-9.2

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week was a net position of -1,861,735 contracts in the data reported through Tuesday. This was a weekly gain of 65,931 contracts from the previous week which had a total of -1,927,666 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 6.5 percent. The commercials are Bullish-Extreme with a score of 93.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 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:	6.6	83.6	6.3
– Percent of Open Interest Shorts:	34.9	56.8	4.7
– Net Position:	-1,861,735	1,761,677	100,058
– Gross Longs:	430,766	5,492,122	411,431
– Gross Shorts:	2,292,501	3,730,445	311,373
– 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):	6.5	93.6	70.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.2	3.7	-3.5

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week was a net position of -751,034 contracts in the data reported through Tuesday. This was a weekly decline of -43,331 contracts from the previous week which had a total of -707,703 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 37.1 percent. The commercials are Bullish with a score of 64.4 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 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:	14.7	74.0	8.5
– Percent of Open Interest Shorts:	29.9	59.8	7.5
– Net Position:	-751,034	699,753	51,281
– Gross Longs:	726,203	3,652,408	420,463
– Gross Shorts:	1,477,237	2,952,655	369,182
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	37.1	64.4	74.1
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.2	15.4	-6.8

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week was a net position of -85,574 contracts in the data reported through Tuesday. This was a weekly boost of 29,989 contracts from the previous week which had a total of -115,563 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 63.8 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 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:	14.7	74.5	9.9
– Percent of Open Interest Shorts:	18.5	68.6	12.0
– Net Position:	-85,574	133,515	-47,941
– Gross Longs:	333,183	1,685,361	223,392
– Gross Shorts:	418,757	1,551,846	271,333
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	63.8	14.9	79.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	25.2	-23.4	-12.7

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week was a net position of 44,001 contracts in the data reported through Tuesday. This was a weekly advance of 48,928 contracts from the previous week which had a total of -4,927 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 98.8 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 70.7 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:	23.5	64.4	10.5
– Percent of Open Interest Shorts:	21.3	70.3	6.8
– Net Position:	44,001	-119,542	75,541
– Gross Longs:	478,347	1,313,493	213,125
– Gross Shorts:	434,346	1,433,035	137,584
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	98.8	0.0	70.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	27.5	-30.3	14.3

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week was a net position of -239,941 contracts in the data reported through Tuesday. This was a weekly gain of 3,675 contracts from the previous week which had a total of -243,616 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 82.7 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 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:	8.5	80.8	10.0
– Percent of Open Interest Shorts:	21.8	68.8	8.6
– Net Position:	-239,941	214,843	25,098
– Gross Longs:	152,029	1,450,800	179,900
– Gross Shorts:	391,970	1,235,957	154,802
– 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):	82.7	11.9	44.3
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.5	-14.0	43.9

 

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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.