COT Bonds Charts: Speculator Bets led by SOFR 1-Month & Ultra 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 January 28th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Bets led by SOFR 1-Month & Ultra 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 1-Month (77,373 contracts) with the Ultra 10-Year Bonds (63,045 contracts), the SOFR 3-Months (28,065 contracts), the 5-Year Bonds (20,136 contracts) and the US Treasury Bonds (4,128 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-120,397 contracts), the Fed Funds (-41,201 contracts), the 2-Year Bonds (-27,182 contracts) and with the Ultra Treasury Bonds (-11,604 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 SOFR 1-Month & 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 SOFR 1-Month (96 percent) and the US Treasury Bonds (93 percent) lead the bond markets this week. The Ultra Treasury Bonds (82 percent) come in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (12 percent), the 5-Year Bond (11 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (11.8 percent) vs Fed Funds previous week (19.4 percent)
2-Year Bond (19.3 percent) vs 2-Year Bond previous week (21.2 percent)
5-Year Bond (11.0 percent) vs 5-Year Bond previous week (9.9 percent)
10-Year Bond (41.9 percent) vs 10-Year Bond previous week (53.3 percent)
Ultra 10-Year Bond (52.3 percent) vs Ultra 10-Year Bond previous week (32.8 percent)
US Treasury Bond (93.5 percent) vs US Treasury Bond previous week (92.0 percent)
Ultra US Treasury Bond (82.1 percent) vs Ultra US Treasury Bond previous week (86.5 percent)
SOFR 1-Month (96.3 percent) vs SOFR 1-Month previous week (77.3 percent)
SOFR 3-Months (27.0 percent) vs SOFR 3-Months previous week (25.5 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 (38 percent) and the US Treasury Bonds (26 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (4 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-28 percent) and the Ultra Treasury Bonds (-9 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-36.3 percent) vs Fed Funds previous week (-18.9 percent)
2-Year Bond (3.9 percent) vs 2-Year Bond previous week (5.5 percent)
5-Year Bond (-0.7 percent) vs 5-Year Bond previous week (-0.3 percent)
10-Year Bond (3.1 percent) vs 10-Year Bond previous week (27.9 percent)
Ultra 10-Year Bond (0.9 percent) vs Ultra 10-Year Bond previous week (-20.6 percent)
US Treasury Bond (26.1 percent) vs US Treasury Bond previous week (22.3 percent)
Ultra US Treasury Bond (-8.5 percent) vs Ultra US Treasury Bond previous week (-5.2 percent)
SOFR 1-Month (37.6 percent) vs SOFR 1-Month previous week (25.8 percent)
SOFR 3-Months (-27.7 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 equaled a net position of -231,996 contracts in the data reported through Tuesday. This was a weekly reduction of -41,201 contracts from the previous week which had a total of -190,795 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 11.8 percent. The commercials are Bullish-Extreme with a score of 84.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.9 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.8	72.3	1.9
– Percent of Open Interest Shorts:	19.2	61.0	1.9
– Net Position:	-231,996	231,578	418
– Gross Longs:	158,888	1,475,432	38,321
– Gross Shorts:	390,884	1,243,854	37,903
– 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):	11.8	84.2	85.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-36.3	35.0	7.6

 

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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 -644,264 contracts in the data reported through Tuesday. This was a weekly boost of 28,065 contracts from the previous week which had a total of -672,329 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 27.0 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.6 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:	11.8	63.4	0.3
– Percent of Open Interest Shorts:	18.2	57.1	0.3
– Net Position:	-644,264	639,189	5,075
– Gross Longs:	1,190,201	6,390,627	31,310
– Gross Shorts:	1,834,465	5,751,438	26,235
– 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):	27.0	72.7	90.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-27.7	27.0	7.4

 

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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 equaled a net position of 112,967 contracts in the data reported through Tuesday. This was a weekly boost of 77,373 contracts from the previous week which had a total of 35,594 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 96.3 percent. The commercials are Bearish-Extreme with a score of 3.9 percent and the small traders (not shown in chart) are Bullish with a score of 51.9 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:	26.1	57.3	0.0
– Percent of Open Interest Shorts:	18.9	64.4	0.0
– Net Position:	112,967	-112,462	-505
– Gross Longs:	411,468	902,583	131
– Gross Shorts:	298,501	1,015,045	636
– Long to Short Ratio:	1.4 to 1	0.9 to 1	0.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	96.3	3.9	51.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	37.6	-37.5	-1.3

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,201,559 contracts in the data reported through Tuesday. This was a weekly fall of -27,182 contracts from the previous week which had a total of -1,174,377 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 19.3 percent. The commercials are Bullish with a score of 78.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.8 percent.

Price Trend-Following Model: Weak Downtrend

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.1	76.1	6.0
– Percent of Open Interest Shorts:	42.6	50.9	2.7
– Net Position:	-1,201,559	1,063,075	138,484
– Gross Longs:	594,596	3,213,069	253,132
– Gross Shorts:	1,796,155	2,149,994	114,648
– 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):	19.3	78.2	79.8
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.9	-5.4	2.8

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,776,055 contracts in the data reported through Tuesday. This was a weekly gain of 20,136 contracts from the previous week which had a total of -1,796,191 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 11.0 percent. The commercials are Bullish-Extreme with a score of 86.9 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 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	84.6	6.6
– Percent of Open Interest Shorts:	34.6	58.5	4.7
– Net Position:	-1,776,055	1,656,392	119,663
– Gross Longs:	417,956	5,363,619	420,005
– Gross Shorts:	2,194,011	3,707,227	300,342
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	11.0	86.9	74.3
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.7	-0.9	5.4

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -700,642 contracts in the data reported through Tuesday. This was a weekly reduction of -120,397 contracts from the previous week which had a total of -580,245 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 41.9 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 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:	14.0	75.3	8.7
– Percent of Open Interest Shorts:	28.3	62.2	7.5
– Net Position:	-700,642	640,374	60,268
– Gross Longs:	683,437	3,676,042	426,342
– Gross Shorts:	1,384,079	3,035,668	366,074
– 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):	41.9	57.2	77.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.1	-1.4	-4.7

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week equaled a net position of -109,479 contracts in the data reported through Tuesday. This was a weekly lift of 63,045 contracts from the previous week which had a total of -172,524 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 52.3 percent. The commercials are Bearish with a score of 21.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 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:	14.8	74.3	9.9
– Percent of Open Interest Shorts:	19.6	67.8	11.7
– Net Position:	-109,479	149,059	-39,580
– Gross Longs:	336,739	1,690,796	226,084
– Gross Shorts:	446,218	1,541,737	265,664
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	52.3	21.0	86.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.9	1.6	-5.1

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week equaled a net position of 28,584 contracts in the data reported through Tuesday. This was a weekly gain of 4,128 contracts from the previous week which had a total of 24,456 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 93.5 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 65.9 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:	23.8	63.9	11.0
– Percent of Open Interest Shorts:	22.4	68.9	7.5
– Net Position:	28,584	-96,972	68,388
– Gross Longs:	466,674	1,252,662	215,698
– Gross Shorts:	438,090	1,349,634	147,310
– 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):	93.5	0.0	65.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	26.1	-20.4	-8.2

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -241,592 contracts in the data reported through Tuesday. This was a weekly fall of -11,604 contracts from the previous week which had a total of -229,988 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 82.1 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 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:	7.8	81.2	10.1
– Percent of Open Interest Shorts:	21.4	68.8	9.0
– Net Position:	-241,592	221,578	20,014
– Gross Longs:	139,167	1,444,856	180,040
– Gross Shorts:	380,759	1,223,278	160,026
– 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):	82.1	14.9	37.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.5	10.2	-0.9

 

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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.