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 August 19th 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-Year Bonds & 2-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 5-Year Bonds (57,986 contracts) with the 2-Year Bonds (55,058 contracts), the Ultra 10-Year Bonds (21,171 contracts), the SOFR 1-Month (15,722 contracts) and the US Treasury Bonds (9,751 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-85,699 contracts), the Fed Funds (-83,387 contracts), the Ultra Treasury Bonds (-33,030 contracts) and the 10-Year Bonds (-3,293 contracts) also registering lower bets on the week.
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Weekly Price Changes led by US Treasury Bonds
The weekly price performance for the major U.S. bond markets showed slight increases across the board for the most part. The long U.S. Treasury bonds led the last 5 days price changes with a gain of 0.75% followed by the 10-Year Notes which rose by 0.57%. The 5-Year Bond was up by 0.40% while the 2-Year Bond was slightly higher by just 0.22%. The 3-Month Secured Overnight Financing Rate was up by 0.14% while the 1-Month Secured Overnight Financing Rate and the Fed Funds were virtually unchanged as well.
Bonds Data:
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)
Strength Scores led by Ultra Treasury Bonds & 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 Ultra Treasury Bonds (80 percent) and the US Treasury Bonds (66 percent) lead the bond markets this week. The SOFR 1-Month (65 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Fed Funds (0 percent), the 5-Year Bonds (3 percent), the 2-Year Bonds (13 percent) and the Ultra 10-Year Bonds (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (0.0 percent) vs Fed Funds previous week (14.8 percent)
2-Year Bond (13.4 percent) vs 2-Year Bond previous week (8.9 percent)
5-Year Bond (2.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (21.7 percent) vs 10-Year Bond previous week (22.1 percent)
Ultra 10-Year Bond (17.2 percent) vs Ultra 10-Year Bond previous week (11.9 percent)
US Treasury Bond (65.6 percent) vs US Treasury Bond previous week (62.2 percent)
Ultra US Treasury Bond (80.3 percent) vs Ultra US Treasury Bond previous week (92.7 percent)
SOFR 1-Month (65.3 percent) vs SOFR 1-Month previous week (61.4 percent)
SOFR 3-Months (41.3 percent) vs SOFR 3-Months previous week (45.7 percent)
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 (33 percent) and the US Treasury Bonds (20 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (17 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-62 percent) leads the downside trend scores currently with the 10-Year Bonds (-11 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-62.4 percent) vs Fed Funds previous week (-43.2 percent)
2-Year Bond (-4.8 percent) vs 2-Year Bond previous week (-8.2 percent)
5-Year Bond (0.4 percent) vs 5-Year Bond previous week (-4.2 percent)
10-Year Bond (-11.5 percent) vs 10-Year Bond previous week (-17.3 percent)
Ultra 10-Year Bond (17.2 percent) vs Ultra 10-Year Bond previous week (8.4 percent)
US Treasury Bond (20.1 percent) vs US Treasury Bond previous week (15.2 percent)
Ultra US Treasury Bond (-7.3 percent) vs Ultra US Treasury Bond previous week (6.7 percent)
SOFR 1-Month (33.3 percent) vs SOFR 1-Month previous week (26.1 percent)
SOFR 3-Months (14.2 percent) vs SOFR 3-Months previous week (20.7 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week was a net position of -317,054 contracts in the data reported through Tuesday. This was a weekly decrease of -83,387 contracts from the previous week which had a total of -233,667 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 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 58.0 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: | 10.5 | 71.0 | 2.2 |
| – Percent of Open Interest Shorts: | 24.0 | 57.3 | 2.3 |
| – Net Position: | -317,054 | 319,912 | -2,858 |
| – Gross Longs: | 244,310 | 1,659,279 | 51,339 |
| – Gross Shorts: | 561,364 | 1,339,367 | 54,197 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 58.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -62.4 | 65.2 | -10.7 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -368,146 contracts in the data reported through Tuesday. This was a weekly fall of -85,699 contracts from the previous week which had a total of -282,447 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 41.3 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.0 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: | 14.3 | 56.7 | 0.5 |
| – Percent of Open Interest Shorts: | 17.3 | 53.8 | 0.5 |
| – Net Position: | -368,146 | 358,345 | 9,801 |
| – Gross Longs: | 1,768,279 | 7,024,134 | 66,827 |
| – Gross Shorts: | 2,136,425 | 6,665,789 | 57,026 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 41.3 | 58.1 | 83.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 14.2 | -12.7 | -14.5 |
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 -12,930 contracts in the data reported through Tuesday. This was a weekly lift of 15,722 contracts from the previous week which had a total of -28,652 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 65.3 percent. The commercials are Bearish with a score of 33.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.9 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 15.8 | 66.7 | 0.3 |
| – Percent of Open Interest Shorts: | 16.7 | 66.1 | 0.0 |
| – Net Position: | -12,930 | 8,580 | 4,350 |
| – Gross Longs: | 229,471 | 969,517 | 4,631 |
| – Gross Shorts: | 242,401 | 960,937 | 281 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 16.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 65.3 | 33.7 | 75.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 33.3 | -33.3 | 1.2 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week was a net position of -1,324,539 contracts in the data reported through Tuesday. This was a weekly advance of 55,058 contracts from the previous week which had a total of -1,379,597 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 13.4 percent. The commercials are Bullish-Extreme with a score of 86.6 percent and the small traders (not shown in chart) are Bullish with a score of 67.9 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: | 11.3 | 79.1 | 5.7 |
| – Percent of Open Interest Shorts: | 40.6 | 52.5 | 3.0 |
| – Net Position: | -1,324,539 | 1,202,916 | 121,623 |
| – Gross Longs: | 512,267 | 3,582,207 | 258,933 |
| – Gross Shorts: | 1,836,806 | 2,379,291 | 137,310 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.4 | 86.6 | 67.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -4.8 | 8.4 | -7.3 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week was a net position of -2,508,383 contracts in the data reported through Tuesday. This was a weekly gain of 57,986 contracts from the previous week which had a total of -2,566,369 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 2.7 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 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 | 82.9 | 6.4 |
| – Percent of Open Interest Shorts: | 41.5 | 51.4 | 3.7 |
| – Net Position: | -2,508,383 | 2,310,706 | 197,677 |
| – Gross Longs: | 539,075 | 6,090,238 | 471,602 |
| – Gross Shorts: | 3,047,458 | 3,779,532 | 273,925 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 2.7 | 97.7 | 86.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.4 | -1.6 | 4.9 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week was a net position of -945,516 contracts in the data reported through Tuesday. This was a weekly decline of -3,293 contracts from the previous week which had a total of -942,223 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 76.9 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.8 | 77.9 | 8.5 |
| – Percent of Open Interest Shorts: | 27.5 | 62.4 | 6.3 |
| – Net Position: | -945,516 | 826,011 | 119,505 |
| – Gross Longs: | 523,308 | 4,158,543 | 453,913 |
| – Gross Shorts: | 1,468,824 | 3,332,532 | 334,408 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 21.7 | 76.9 | 80.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.5 | 13.0 | 4.2 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week was a net position of -339,150 contracts in the data reported through Tuesday. This was a weekly boost of 21,171 contracts from the previous week which had a total of -360,321 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 17.2 percent. The commercials are Bullish with a score of 77.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 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: | 12.4 | 77.1 | 9.4 |
| – Percent of Open Interest Shorts: | 26.0 | 61.6 | 11.2 |
| – Net Position: | -339,150 | 385,087 | -45,937 |
| – Gross Longs: | 308,607 | 1,919,822 | 234,113 |
| – Gross Shorts: | 647,757 | 1,534,735 | 280,050 |
| – Long to Short Ratio: | 0.5 to 1 | 1.3 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 17.2 | 77.3 | 67.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 17.2 | -22.7 | 13.7 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week was a net position of -51,043 contracts in the data reported through Tuesday. This was a weekly rise of 9,751 contracts from the previous week which had a total of -60,794 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 65.6 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.3 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: | 8.0 | 75.6 | 13.2 |
| – Percent of Open Interest Shorts: | 10.8 | 79.1 | 6.9 |
| – Net Position: | -51,043 | -62,680 | 113,723 |
| – Gross Longs: | 144,976 | 1,367,940 | 239,442 |
| – Gross Shorts: | 196,019 | 1,430,620 | 125,719 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 65.6 | 20.8 | 95.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 20.1 | -27.2 | 34.8 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week was a net position of -242,162 contracts in the data reported through Tuesday. This was a weekly lowering of -33,030 contracts from the previous week which had a total of -209,132 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 80.3 percent. The commercials are Bearish with a score of 30.4 percent and the small traders (not shown in chart) are Bearish with a score of 27.2 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: | 6.4 | 81.4 | 9.3 |
| – Percent of Open Interest Shorts: | 18.4 | 70.0 | 8.8 |
| – Net Position: | -242,162 | 230,415 | 11,747 |
| – Gross Longs: | 129,418 | 1,647,663 | 188,953 |
| – Gross Shorts: | 371,580 | 1,417,248 | 177,206 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 80.3 | 30.4 | 27.2 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.3 | -2.7 | 27.1 |
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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