COT Bonds Charts: Speculator Bets led by SOFR 1M, SOFR 3M & US Treasury 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 August 5th 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 SOFR 1M, SOFR 3M & US Treasury Bonds

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

Leading the gains for the bond markets was the SOFR 1-Month (123,476 contracts) with the SOFR 3-Months (57,037 contracts) and the US Treasury Bonds (363 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-249,778 contracts), the 2-Year Bonds (-122,286 contracts), the 10-Year Bonds (-63,204 contracts), the 5-Year Bonds (-24,994 contracts), the Ultra 10-Year Bonds (-12,628 contracts) and with the Ultra Treasury Bonds (-11,554 contracts) also registering lower bets on the week.

Bonds Prices lower to unchanged this week

This week, major U.S. bond prices were slightly lower across the board. The longer US Treasury bonds fell by a little more than half a percent. The 10-year bonds fell by less than half a percent, followed by the five-year, the fed funds, and the two-year which were trading virtually unchanged for the week.

The U.S. bond yields were also little changed this week, with the 20-year yield coming in around 4.83%, followed by the 10-year at 4.28%. The five-year is at 3.83%, the two-year is at 3.76%, while fed funds is right around 4.33%.

All of these yields are within the same respective ranges that have been trading for the last couple of years.

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Bonds Data:

Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

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Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

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 SOFR 1-Month (62 percent) lead the bond markets this week.

On the downside, the Ultra 10-Year Bonds (12 percent), the 2-Year Bonds (13 percent) and the Fed Funds (13 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (12.6 percent) vs Fed Funds previous week (58.8 percent)
2-Year Bond (12.6 percent) vs 2-Year Bond previous week (22.3 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.2 percent)
10-Year Bond (20.1 percent) vs 10-Year Bond previous week (27.0 percent)
Ultra 10-Year Bond (12.1 percent) vs Ultra 10-Year Bond previous week (15.3 percent)
US Treasury Bond (45.0 percent) vs US Treasury Bond previous week (44.8 percent)
Ultra US Treasury Bond (85.5 percent) vs Ultra US Treasury Bond previous week (89.8 percent)
SOFR 1-Month (62.3 percent) vs SOFR 1-Month previous week (31.9 percent)
SOFR 3-Months (37.5 percent) vs SOFR 3-Months previous week (34.5 percent)

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SOFR 1-Month & SOFR 3-Months 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 (29 percent) and the SOFR 3-Months (6 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (2 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-32 percent), the 10-Year Bonds (-31 percent), the 2-Year Bonds (-8 percent) and the Ultra Treasury Bonds (-7 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-32.2 percent) vs Fed Funds previous week (6.0 percent)
2-Year Bond (-7.5 percent) vs 2-Year Bond previous week (-2.9 percent)
5-Year Bond (-3.5 percent) vs 5-Year Bond previous week (-3.3 percent)
10-Year Bond (-30.6 percent) vs 10-Year Bond previous week (-15.7 percent)
Ultra 10-Year Bond (1.9 percent) vs Ultra 10-Year Bond previous week (0.2 percent)
US Treasury Bond (-3.0 percent) vs US Treasury Bond previous week (-12.7 percent)
Ultra US Treasury Bond (-7.1 percent) vs Ultra US Treasury Bond previous week (-10.2 percent)
SOFR 1-Month (29.3 percent) vs SOFR 1-Month previous week (-1.6 percent)
SOFR 3-Months (6.3 percent) vs SOFR 3-Months previous week (8.5 percent)

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30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -227,270 contracts in the data reported through Tuesday. This was a weekly decrease of -249,778 contracts from the previous week which had a total of 22,508 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 12.6 percent. The commercials are Bullish-Extreme with a score of 81.6 percent and the small traders (not shown in chart) are Bullish with a score of 75.1 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:	12.7	68.6	2.6
– Percent of Open Interest Shorts:	23.7	58.1	2.2
– Net Position:	-227,270	217,354	9,916
– Gross Longs:	261,534	1,412,579	54,234
– Gross Shorts:	488,804	1,195,225	44,318
– 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):	12.6	81.6	75.1
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-32.2	32.9	-8.4

 

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Secured Overnight Financing Rate (3-Month) Futures:

The Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -441,061 contracts in the data reported through Tuesday. This was a weekly rise of 57,037 contracts from the previous week which had a total of -498,098 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 37.5 percent. The commercials are Bullish with a score of 63.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.5 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:	13.9	58.2	0.5
– Percent of Open Interest Shorts:	17.6	54.3	0.7
– Net Position:	-441,061	463,119	-22,058
– Gross Longs:	1,664,500	6,967,210	62,396
– Gross Shorts:	2,105,561	6,504,091	84,454
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	37.5	63.5	67.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.3	-6.0	-3.4

 

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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 came in at a net position of -25,184 contracts in the data reported through Tuesday. This was a weekly gain of 123,476 contracts from the previous week which had a total of -148,660 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 62.3 percent. The commercials are Bearish with a score of 37.5 percent and the small traders (not shown in chart) are Bullish with a score of 69.2 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:	14.7	66.1	0.3
– Percent of Open Interest Shorts:	16.7	64.2	0.3
– Net Position:	-25,184	24,066	1,118
– Gross Longs:	185,388	832,778	4,309
– Gross Shorts:	210,572	808,712	3,191
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	62.3	37.5	69.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	29.3	-28.4	-7.0

 

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2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week came in at a net position of -1,325,523 contracts in the data reported through Tuesday. This was a weekly reduction of -122,286 contracts from the previous week which had a total of -1,203,237 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 12.6 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 71.2 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:	12.2	79.6	5.5
– Percent of Open Interest Shorts:	41.1	53.6	2.6
– Net Position:	-1,325,523	1,192,903	132,620
– Gross Longs:	558,423	3,645,933	251,547
– Gross Shorts:	1,883,946	2,453,030	118,927
– Long to Short Ratio:	0.3 to 1	1.5 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	12.6	86.9	71.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.5	8.0	2.4

 

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5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week came in at a net position of -2,536,877 contracts in the data reported through Tuesday. This was a weekly lowering of -24,994 contracts from the previous week which had a total of -2,511,883 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 98.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.7 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:	7.1	83.4	6.4
– Percent of Open Interest Shorts:	42.7	50.8	3.4
– Net Position:	-2,536,877	2,324,021	212,856
– Gross Longs:	507,247	5,947,099	458,407
– Gross Shorts:	3,044,124	3,623,078	245,551
– Long to Short Ratio:	0.2 to 1	1.6 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	98.6	90.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.5	5.1	-4.5

 

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10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week came in at a net position of -959,834 contracts in the data reported through Tuesday. This was a weekly decrease of -63,204 contracts from the previous week which had a total of -896,630 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 20.1 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 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:	10.6	78.7	8.6
– Percent of Open Interest Shorts:	29.3	62.3	6.4
– Net Position:	-959,834	843,450	116,384
– Gross Longs:	544,016	4,037,361	442,063
– Gross Shorts:	1,503,850	3,193,911	325,679
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	20.1	79.3	78.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-30.6	36.6	6.5

 

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Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week came in at a net position of -359,622 contracts in the data reported through Tuesday. This was a weekly decline of -12,628 contracts from the previous week which had a total of -346,994 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 12.1 percent. The commercials are Bullish-Extreme with a score of 84.1 percent and the small traders (not shown in chart) are Bullish with a score of 64.9 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:	12.2	77.5	9.5
– Percent of Open Interest Shorts:	26.8	60.8	11.6
– Net Position:	-359,622	410,592	-50,970
– Gross Longs:	299,620	1,904,035	234,010
– Gross Shorts:	659,242	1,493,443	284,980
– 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):	12.1	84.1	64.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	1.9	-1.7	-0.9

 

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US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -110,440 contracts in the data reported through Tuesday. This was a weekly gain of 363 contracts from the previous week which had a total of -110,803 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 45.0 percent. The commercials are Bearish with a score of 39.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.7 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:	6.6	77.9	13.7
– Percent of Open Interest Shorts:	12.9	77.8	7.5
– Net Position:	-110,440	1,517	108,923
– Gross Longs:	116,997	1,371,668	241,556
– Gross Shorts:	227,437	1,370,151	132,633
– Long to Short Ratio:	0.5 to 1	1.0 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	45.0	39.4	90.7
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.0	-3.5	20.1

 

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Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -228,367 contracts in the data reported through Tuesday. This was a weekly lowering of -11,554 contracts from the previous week which had a total of -216,813 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 85.5 percent. The commercials are Bearish with a score of 35.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 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:	6.8	82.2	8.8
– Percent of Open Interest Shorts:	18.3	70.0	9.5
– Net Position:	-228,367	243,087	-14,720
– Gross Longs:	134,510	1,633,599	174,640
– Gross Shorts:	362,877	1,390,512	189,360
– 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):	85.5	35.2	0.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.1	19.3	-32.7

 

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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.