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 12th 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 slightly lower overall this week as four out of the nine bond markets we cover had higher positioning while the other five markets had lower speculator contracts.
Leading the gains for the bond markets was the SOFR 3-Months (158,614 contracts) with the US Treasury Bonds (49,646 contracts), the Ultra Treasury Bonds (19,235 contracts) and the 10-Year Bonds (17,611 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-54,074 contracts), the 5-Year Bonds (-29,492 contracts), the Fed Funds (-6,397 contracts), the SOFR 1-Month (-3,468 contracts) and with the Ultra 10-Year Bonds (-699 contracts) also having lower bets on the week.
Free Reports:
Bond market prices this week
The major US bond market prices this week were pretty subdued, with the 3-month secured overnight financing rate (3-M SOFR) leading the way for the last 5 days with a 0.64% increase.
The 2-year bond (0.06%) and the 5-year bond (0.03%) were virtually unchanged, while the fed funds (-0.02%) and the 10-year note (-0.16%) were also virtually unchanged to the downside. The 1-month secured overnight financing rate was lower by 0.5%, while the longer treasury bonds were down by 1%.
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs 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 Ultra Treasury Bonds (93 percent) and the US Treasury Bonds (62 percent) lead the bond markets this week. The SOFR 1-Month (61 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 5-Year Bond (0 percent), the 2-Year Bonds (9 percent), the Fed Funds (11 percent) and the Ultra 10-Year Bonds (12 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (11.5 percent) vs Fed Funds previous week (12.6 percent)
2-Year Bond (8.6 percent) vs 2-Year Bond previous week (12.9 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.4 percent)
10-Year Bond (22.1 percent) vs 10-Year Bond previous week (20.1 percent)
Ultra 10-Year Bond (11.9 percent) vs Ultra 10-Year Bond previous week (12.1 percent)
US Treasury Bond (62.2 percent) vs US Treasury Bond previous week (45.0 percent)
Ultra US Treasury Bond (92.7 percent) vs Ultra US Treasury Bond previous week (85.5 percent)
SOFR 1-Month (61.4 percent) vs SOFR 1-Month previous week (62.3 percent)
SOFR 3-Months (45.7 percent) vs SOFR 3-Months previous week (37.5 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (26 percent) and the SOFR 3-Months (21 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (15 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-45 percent), the 10-Year Bonds (-17 percent) and the 2-Year Bonds (-8 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-44.9 percent) vs Fed Funds previous week (-32.2 percent)
2-Year Bond (-7.9 percent) vs 2-Year Bond previous week (-7.7 percent)
5-Year Bond (-4.2 percent) vs 5-Year Bond previous week (-3.4 percent)
10-Year Bond (-17.3 percent) vs 10-Year Bond previous week (-30.6 percent)
Ultra 10-Year Bond (8.4 percent) vs Ultra 10-Year Bond previous week (1.9 percent)
US Treasury Bond (15.2 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (6.7 percent) vs Ultra US Treasury Bond previous week (-7.1 percent)
SOFR 1-Month (26.1 percent) vs SOFR 1-Month previous week (29.3 percent)
SOFR 3-Months (20.7 percent) vs SOFR 3-Months previous week (6.3 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 11.5 percent. The commercials are Bullish-Extreme with a score of 83.1 percent and the small traders (not shown in chart) are Bullish with a score of 72.4 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: | 11.8 | 69.4 | 2.3 |
| – Percent of Open Interest Shorts: | 22.3 | 59.2 | 1.9 |
| – Net Position: | -233,667 | 225,702 | 7,965 |
| – Gross Longs: | 260,775 | 1,535,528 | 50,810 |
| – Gross Shorts: | 494,442 | 1,309,826 | 42,845 |
| – 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): | 11.5 | 83.1 | 72.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -44.9 | 44.8 | -4.2 |
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 45.7 percent. The commercials are Bullish with a score of 53.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.3 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: | 14.7 | 56.2 | 0.6 |
| – Percent of Open Interest Shorts: | 17.0 | 54.1 | 0.4 |
| – Net Position: | -282,447 | 261,921 | 20,526 |
| – Gross Longs: | 1,818,394 | 6,932,254 | 71,213 |
| – Gross Shorts: | 2,100,841 | 6,670,333 | 50,687 |
| – 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): | 45.7 | 53.1 | 88.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 20.7 | -20.1 | -6.8 |
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 61.4 percent. The commercials are Bearish with a score of 38.1 percent and the small traders (not shown in chart) are Bullish with a score of 70.6 percent.
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: | 13.9 | 67.5 | 0.3 |
| – Percent of Open Interest Shorts: | 16.0 | 65.5 | 0.2 |
| – Net Position: | -28,652 | 26,840 | 1,812 |
| – Gross Longs: | 187,765 | 910,687 | 4,165 |
| – Gross Shorts: | 216,417 | 883,847 | 2,353 |
| – 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): | 61.4 | 38.1 | 70.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 26.1 | -25.2 | -6.8 |
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 8.6 percent. The commercials are Bullish-Extreme with a score of 92.2 percent and the small traders (not shown in chart) are Bullish with a score of 69.2 percent.
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: | 11.4 | 80.0 | 5.8 |
| – Percent of Open Interest Shorts: | 41.7 | 52.4 | 3.0 |
| – Net Position: | -1,379,597 | 1,253,871 | 125,726 |
| – Gross Longs: | 519,409 | 3,638,973 | 262,521 |
| – Gross Shorts: | 1,899,006 | 2,385,102 | 136,795 |
| – 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): | 8.6 | 92.2 | 69.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.9 | 10.0 | -1.3 |
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-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-Extreme with a score of 90.8 percent.
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: | 6.8 | 83.7 | 6.5 |
| – Percent of Open Interest Shorts: | 42.3 | 51.2 | 3.5 |
| – Net Position: | -2,566,369 | 2,352,918 | 213,451 |
| – Gross Longs: | 492,867 | 6,055,630 | 468,638 |
| – Gross Shorts: | 3,059,236 | 3,702,712 | 255,187 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 90.8 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -4.2 | 4.6 | 1.5 |
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 Bearish with a score of 22.1 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.8 percent.
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: | 10.2 | 76.8 | 8.8 |
| – Percent of Open Interest Shorts: | 27.8 | 61.9 | 6.0 |
| – Net Position: | -942,223 | 793,295 | 148,928 |
| – Gross Longs: | 544,434 | 4,100,111 | 470,827 |
| – Gross Shorts: | 1,486,657 | 3,306,816 | 321,899 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 22.1 | 72.3 | 89.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.3 | 13.8 | 20.1 |
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-Extreme with a score of 11.9 percent. The commercials are Bullish-Extreme with a score of 81.9 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.
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: | 11.9 | 77.6 | 9.7 |
| – Percent of Open Interest Shorts: | 26.5 | 61.2 | 11.4 |
| – Net Position: | -360,321 | 402,305 | -41,984 |
| – Gross Longs: | 292,485 | 1,908,261 | 239,327 |
| – Gross Shorts: | 652,806 | 1,505,956 | 281,311 |
| – Long to Short Ratio: | 0.4 to 1 | 1.3 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 11.9 | 81.9 | 71.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 8.4 | -10.5 | 4.6 |
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 Bullish with a score of 62.2 percent. The commercials are Bearish with a score of 24.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.6 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: | 8.3 | 76.7 | 13.4 |
| – Percent of Open Interest Shorts: | 11.7 | 79.6 | 7.1 |
| – Net Position: | -60,794 | -51,181 | 111,975 |
| – Gross Longs: | 148,973 | 1,372,602 | 239,356 |
| – Gross Shorts: | 209,767 | 1,423,783 | 127,381 |
| – 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): | 62.2 | 24.1 | 93.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.2 | -14.4 | 5.6 |
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 Bullish-Extreme with a score of 92.7 percent. The commercials are Bearish-Extreme with a score of 18.1 percent and the small traders (not shown in chart) are Bearish with a score of 26.3 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: | 6.9 | 81.4 | 9.2 |
| – Percent of Open Interest Shorts: | 17.2 | 71.6 | 8.6 |
| – Net Position: | -209,132 | 198,287 | 10,845 |
| – Gross Longs: | 138,939 | 1,643,416 | 185,310 |
| – Gross Shorts: | 348,071 | 1,445,129 | 174,465 |
| – Long to Short Ratio: | 0.4 to 1 | 1.1 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 92.7 | 18.1 | 26.3 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.7 | -11.9 | 13.7 |
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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