COT Bonds Charts: Speculator Bets led lower by 5-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 February 4th 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 lower by 5-Year Bonds & SOFR 3-Months

The COT bond market speculator bets were decisively lower this week as just one out of the nine bond markets we cover had higher positioning while the other eight markets had lower speculator contracts.

The only market to gain this week for the bond markets was the Fed Funds with a gain of 30,143 contracts on the week.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-151,611 contracts), the SOFR 3-Months (-102,586 contracts), the US Treasury Bonds (-33,511 contracts), the SOFR 1-Month (-32,506 contracts), the 2-Year Bonds (-17,065 contracts), the 10-Year Bonds (-7,061 contracts), the Ultra 10-Year Bonds (-6,084 contracts) and the Ultra Treasury Bonds (-2,024 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 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 (88 percent) and the US Treasury Bonds (82 percent) lead the bond markets this week. The Ultra Treasury Bonds (81 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (3 percent), the Fed Funds (17 percent) and the 2-Year Bonds (18 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 (22 percent) and the 10-Year Bonds (41 percent).

Strength Statistics:
Fed Funds (17.3 percent) vs Fed Funds previous week (11.8 percent)
2-Year Bond (18.3 percent) vs 2-Year Bond previous week (19.4 percent)
5-Year Bond (2.9 percent) vs 5-Year Bond previous week (11.0 percent)
10-Year Bond (41.2 percent) vs 10-Year Bond previous week (41.9 percent)
Ultra 10-Year Bond (53.9 percent) vs Ultra 10-Year Bond previous week (55.9 percent)
US Treasury Bond (81.8 percent) vs US Treasury Bond previous week (93.5 percent)
Ultra US Treasury Bond (81.3 percent) vs Ultra US Treasury Bond previous week (82.1 percent)
SOFR 1-Month (88.3 percent) vs SOFR 1-Month previous week (96.3 percent)
SOFR 3-Months (21.7 percent) vs SOFR 3-Months previous week (27.0 percent)

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SOFR 1-Month & Ultra 10-Year 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 (45 percent) and the Ultra 10-Year Bonds (9 percent) lead the past six weeks trends for bonds.

The Fed Funds (-32 percent), the SOFR 3-Months (-18 percent) and the Ultra Treasury Bonds (-15 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-31.6 percent) vs Fed Funds previous week (-36.3 percent)
2-Year Bond (2.3 percent) vs 2-Year Bond previous week (3.9 percent)
5-Year Bond (-8.9 percent) vs 5-Year Bond previous week (-0.7 percent)
10-Year Bond (-11.0 percent) vs 10-Year Bond previous week (3.1 percent)
Ultra 10-Year Bond (9.2 percent) vs Ultra 10-Year Bond previous week (1.0 percent)
US Treasury Bond (7.5 percent) vs US Treasury Bond previous week (26.1 percent)
Ultra US Treasury Bond (-15.0 percent) vs Ultra US Treasury Bond previous week (-8.5 percent)
SOFR 1-Month (44.8 percent) vs SOFR 1-Month previous week (37.6 percent)
SOFR 3-Months (-17.8 percent) vs SOFR 3-Months previous week (-27.7 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week resulted in a net position of -201,853 contracts in the data reported through Tuesday. This was a weekly increase of 30,143 contracts from the previous week which had a total of -231,996 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 17.3 percent. The commercials are Bullish with a score of 78.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 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:	9.9	71.8	2.3
– Percent of Open Interest Shorts:	22.8	59.1	2.1
– Net Position:	-201,853	198,202	3,651
– Gross Longs:	154,511	1,121,079	36,072
– Gross Shorts:	356,364	922,877	32,421
– 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):	17.3	78.1	91.8
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-31.6	29.8	13.3

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -746,850 contracts in the data reported through Tuesday. This was a weekly decline of -102,586 contracts from the previous week which had a total of -644,264 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 21.7 percent. The commercials are Bullish with a score of 78.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.8 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:	11.7	64.8	0.2
– Percent of Open Interest Shorts:	19.1	57.4	0.2
– Net Position:	-746,850	745,200	1,650
– Gross Longs:	1,176,778	6,523,575	23,679
– Gross Shorts:	1,923,628	5,778,375	22,029
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.7	78.1	88.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.8	18.6	-8.1

 

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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 resulted in a net position of 80,461 contracts in the data reported through Tuesday. This was a weekly decline of -32,506 contracts from the previous week which had a total of 112,967 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 88.3 percent. The commercials are Bearish-Extreme with a score of 11.3 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 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:	23.1	57.4	0.2
– Percent of Open Interest Shorts:	16.9	63.7	0.0
– Net Position:	80,461	-82,276	1,815
– Gross Longs:	300,031	746,847	2,155
– Gross Shorts:	219,570	829,123	340
– Long to Short Ratio:	1.4 to 1	0.9 to 1	6.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	88.3	11.3	70.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	44.8	-45.2	16.6

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,218,624 contracts in the data reported through Tuesday. This was a weekly lowering of -17,065 contracts from the previous week which had a total of -1,201,559 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 18.3 percent. The commercials are Bullish with a score of 79.5 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:	14.4	76.5	6.1
– Percent of Open Interest Shorts:	44.1	50.2	2.7
– Net Position:	-1,218,624	1,079,136	139,488
– Gross Longs:	592,217	3,141,260	250,760
– Gross Shorts:	1,810,841	2,062,124	111,272
– Long to Short Ratio:	0.3 to 1	1.5 to 1	2.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	18.3	79.5	80.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.3	-3.5	2.9

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,927,666 contracts in the data reported through Tuesday. This was a weekly reduction of -151,611 contracts from the previous week which had a total of -1,776,055 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 2.9 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish with a score of 73.2 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:	5.7	85.1	6.7
– Percent of Open Interest Shorts:	35.6	57.0	4.9
– Net Position:	-1,927,666	1,813,533	114,133
– Gross Longs:	366,638	5,485,200	430,333
– Gross Shorts:	2,294,304	3,671,667	316,200
– 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):	2.9	96.9	73.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.9	10.3	1.1

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week resulted in a net position of -707,703 contracts in the data reported through Tuesday. This was a weekly decrease of -7,061 contracts from the previous week which had a total of -700,642 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 41.2 percent. The commercials are Bullish with a score of 58.5 percent and the small traders (not shown in chart) are Bullish with a score of 75.5 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:	15.2	74.0	8.6
– Percent of Open Interest Shorts:	29.6	60.7	7.5
– Net Position:	-707,703	651,566	56,137
– Gross Longs:	743,405	3,628,286	422,857
– Gross Shorts:	1,451,108	2,976,720	366,720
– 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):	41.2	58.5	75.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.0	17.3	-5.9

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -115,563 contracts in the data reported through Tuesday. This was a weekly decline of -6,084 contracts from the previous week which had a total of -109,479 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 53.9 percent. The commercials are Bearish with a score of 27.9 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.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.2	75.3	9.8
– Percent of Open Interest Shorts:	19.2	68.1	12.0
– Net Position:	-115,563	166,490	-50,927
– Gross Longs:	327,982	1,740,156	226,814
– Gross Shorts:	443,545	1,573,666	277,741
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.9	27.9	76.6
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.2	-5.7	-10.3

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week resulted in a net position of -4,927 contracts in the data reported through Tuesday. This was a weekly lowering of -33,511 contracts from the previous week which had a total of 28,584 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-Extreme with a score of 8.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.5 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:	23.2	64.0	11.2
– Percent of Open Interest Shorts:	23.4	67.6	7.3
– Net Position:	-4,927	-71,661	76,588
– Gross Longs:	455,777	1,259,191	219,800
– Gross Shorts:	460,704	1,330,852	143,212
– Long to Short Ratio:	1.0 to 1	0.9 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.8	8.2	71.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.5	-14.4	15.5

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -243,616 contracts in the data reported through Tuesday. This was a weekly fall of -2,024 contracts from the previous week which had a total of -241,592 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 81.3 percent. The commercials are Bearish-Extreme with a score of 18.5 percent and the small traders (not shown in chart) are Bearish with a score of 29.3 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:	8.1	81.6	9.8
– Percent of Open Interest Shorts:	21.7	68.8	9.0
– Net Position:	-243,616	229,737	13,879
– Gross Longs:	144,838	1,463,002	175,978
– Gross Shorts:	388,454	1,233,265	162,099
– 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):	81.3	18.5	29.3
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-15.0	9.4	24.6

 

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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.