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.
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.
Free Reports:
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.
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)
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)
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)
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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 |
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.
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