COT Bonds Charts: Speculator Bets led by 10-Year Bonds, Fed Funds & 2-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 March 25th 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 Bonds, Fed Funds & 2-Year Bonds

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

Leading the gains for the bond markets was the 10-Year Bonds (71,284 contracts) with the Fed Funds (51,474 contracts), the 2-Year Bonds (38,970 contracts), the Ultra Treasury Bonds (14,792 contracts), the 5-Year Bonds (5,853 contracts) and the Ultra 10-Year Bonds (2,557 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-91,338 contracts), the SOFR 1-Month (-25,159 contracts) and with the US Treasury Bonds (-24,765 contracts) also showing 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 Ultra Treasury Bonds & Ultra 10-Year 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 Ultra Treasury Bonds (86 percent) and the Ultra 10-Year Bonds (71 percent) lead the bond markets this week. The US Treasury Bonds (70 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (4 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 2-Year Bonds (21 percent).

Strength Statistics:
Fed Funds (33.6 percent) vs Fed Funds previous week (24.0 percent)
2-Year Bond (21.0 percent) vs 2-Year Bond previous week (18.3 percent)
5-Year Bond (4.4 percent) vs 5-Year Bond previous week (4.1 percent)
10-Year Bond (31.6 percent) vs 10-Year Bond previous week (24.8 percent)
Ultra 10-Year Bond (71.4 percent) vs Ultra 10-Year Bond previous week (70.4 percent)
US Treasury Bond (70.1 percent) vs US Treasury Bond previous week (78.7 percent)
Ultra US Treasury Bond (85.6 percent) vs Ultra US Treasury Bond previous week (80.0 percent)
SOFR 1-Month (55.5 percent) vs SOFR 1-Month previous week (61.7 percent)
SOFR 3-Months (21.0 percent) vs SOFR 3-Months previous week (25.8 percent)

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Fed Funds & 2-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 Fed Funds (19 percent) and the 2-Year Bonds (8 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (3 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-29 percent) and the SOFR 1-Month (-24 percent) lead the downside trend scores currently with the 10-Year Bonds (-6 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (19.1 percent) vs Fed Funds previous week (6.7 percent)
2-Year Bond (8.1 percent) vs 2-Year Bond previous week (-0.1 percent)
5-Year Bond (-2.0 percent) vs 5-Year Bond previous week (1.2 percent)
10-Year Bond (-5.6 percent) vs 10-Year Bond previous week (-16.4 percent)
Ultra 10-Year Bond (0.4 percent) vs Ultra 10-Year Bond previous week (10.5 percent)
US Treasury Bond (-28.6 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (2.9 percent) vs Ultra US Treasury Bond previous week (-1.4 percent)
SOFR 1-Month (-23.7 percent) vs SOFR 1-Month previous week (-26.6 percent)
SOFR 3-Months (-0.4 percent) vs SOFR 3-Months previous week (4.1 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week recorded a net position of -114,010 contracts in the data reported through Tuesday. This was a weekly lift of 51,474 contracts from the previous week which had a total of -165,484 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 33.6 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Price Trend-Following Model: Weak Uptrend

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.3	62.6	2.6
– Percent of Open Interest Shorts:	25.5	58.4	1.6
– Net Position:	-114,010	91,500	22,510
– Gross Longs:	444,359	1,370,828	57,033
– Gross Shorts:	558,369	1,279,328	34,523
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.6	58.7	91.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.1	-22.0	23.5

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -759,223 contracts in the data reported through Tuesday. This was a weekly decline of -91,338 contracts from the previous week which had a total of -667,885 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 21.0 percent. The commercials are Bullish with a score of 78.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 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:	13.2	60.2	0.3
– Percent of Open Interest Shorts:	20.7	52.6	0.3
– Net Position:	-759,223	759,086	137
– Gross Longs:	1,324,572	6,048,322	27,119
– Gross Shorts:	2,083,795	5,289,236	26,982
– Long to Short Ratio:	0.6 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.0	78.9	83.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.4	0.9	-5.3

 

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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 recorded a net position of -52,693 contracts in the data reported through Tuesday. This was a weekly decline of -25,159 contracts from the previous week which had a total of -27,534 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 55.5 percent. The commercials are Bearish with a score of 48.4 percent and the small traders (not shown in chart) are Bearish with a score of 43.7 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:	29.8	56.7	0.1
– Percent of Open Interest Shorts:	33.6	51.8	1.2
– Net Position:	-52,693	68,457	-15,764
– Gross Longs:	421,808	800,792	1,048
– Gross Shorts:	474,501	732,335	16,812
– Long to Short Ratio:	0.9 to 1	1.1 to 1	0.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	55.5	48.4	43.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-23.7	26.8	-34.2

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week recorded a net position of -1,181,586 contracts in the data reported through Tuesday. This was a weekly rise of 38,970 contracts from the previous week which had a total of -1,220,556 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 21.0 percent. The commercials are Bullish with a score of 77.6 percent and the small traders (not shown in chart) are Bullish with a score of 74.6 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.3	75.1	6.1
– Percent of Open Interest Shorts:	43.7	47.8	3.0
– Net Position:	-1,181,586	1,059,722	121,864
– Gross Longs:	517,534	2,917,884	239,053
– Gross Shorts:	1,699,120	1,858,162	117,189
– Long to Short Ratio:	0.3 to 1	1.6 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.0	77.6	74.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.1	-10.7	4.4

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week recorded a net position of -1,900,087 contracts in the data reported through Tuesday. This was a weekly gain of 5,853 contracts from the previous week which had a total of -1,905,940 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 4.4 percent. The commercials are Bullish-Extreme with a score of 90.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.5 percent.

Price Trend-Following Model: Strong Uptrend

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.3	82.6	6.8
– Percent of Open Interest Shorts:	37.3	55.5	3.9
– Net Position:	-1,900,087	1,717,094	182,993
– Gross Longs:	461,359	5,232,111	432,646
– Gross Shorts:	2,361,446	3,515,017	249,653
– Long to Short Ratio:	0.2 to 1	1.5 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	4.4	90.8	85.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.0	-2.8	17.8

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week recorded a net position of -810,090 contracts in the data reported through Tuesday. This was a weekly rise of 71,284 contracts from the previous week which had a total of -881,374 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 31.6 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.6 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.8	75.5	9.2
– Percent of Open Interest Shorts:	29.3	61.1	7.1
– Net Position:	-810,090	707,115	102,975
– Gross Longs:	631,125	3,715,581	453,784
– Gross Shorts:	1,441,215	3,008,466	350,809
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.6	65.3	84.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.6	0.9	14.2

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week recorded a net position of -84,487 contracts in the data reported through Tuesday. This was a weekly lift of 2,557 contracts from the previous week which had a total of -87,044 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 71.4 percent. The commercials are Bearish-Extreme with a score of 10.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 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:	16.4	73.1	9.6
– Percent of Open Interest Shorts:	20.1	67.8	11.3
– Net Position:	-84,487	122,219	-37,732
– Gross Longs:	374,731	1,672,115	219,960
– Gross Shorts:	459,218	1,549,896	257,692
– 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):	71.4	10.4	86.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.4	-4.5	8.0

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week recorded a net position of -38,275 contracts in the data reported through Tuesday. This was a weekly fall of -24,765 contracts from the previous week which had a total of -13,510 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 70.1 percent. The commercials are Bearish with a score of 21.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.0 percent.

Price Trend-Following Model: Weak Downtrend

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.2	71.8	12.4
– Percent of Open Interest Shorts:	16.3	75.2	7.0
– Net Position:	-38,275	-60,775	99,050
– Gross Longs:	260,000	1,312,743	227,483
– Gross Shorts:	298,275	1,373,518	128,433
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	70.1	21.3	86.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.6	17.1	16.8

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week recorded a net position of -232,366 contracts in the data reported through Tuesday. This was a weekly rise of 14,792 contracts from the previous week which had a total of -247,158 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 85.6 percent. The commercials are Bearish-Extreme with a score of 2.4 percent and the small traders (not shown in chart) are Bullish with a score of 62.7 percent.

Price Trend-Following Model: Weak Downtrend

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.1	80.9	10.6
– Percent of Open Interest Shorts:	21.1	70.1	8.4
– Net Position:	-232,366	193,573	38,793
– Gross Longs:	144,083	1,442,525	188,846
– Gross Shorts:	376,449	1,248,952	150,053
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	85.6	2.4	62.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.9	-9.5	18.4

 

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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.