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 26th 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 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 SOFR 3-Months (83,284 contracts) with the 10-Year Bonds (61,687 contracts), the 2-Year Bonds (61,457 contracts), the 5-Year Bonds (44,412 contracts), the US Treasury Bonds (15,030 contracts) and the Ultra 10-Year Bonds (10,479 contracts) also showing positive weekly position changes.
The bond markets with declines in speculator bets for the week were the Fed Funds (-76,769 contracts), the SOFR 1-Month (-11,568 contracts) and with the Ultra Treasury Bonds (-6,783 contracts) also registering lower bets on the week.
Free Reports:
The bond markets price performance this week saw the 10-Year Note edge up by 0.40% to lead the bonds over the last 5 days. Next was the 5-Year Bond, which rose by 0.38% on the week. The Fed Funds was up by 0.23%, the 2-Year Bond was up by 0.16%, while the 3-month secured overnight financing rate was up by 0.11%. On the downside, the 1-month secured overnight financing rate was lower by a minuscule -0.01%, while the long U.S. Treasury bond was down by -0.52% on the week.
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 (78 percent) and the US Treasury Bonds (71 percent) lead the bond markets this week. The SOFR 1-Month (62 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Fed Funds (0 percent), the 5-Year Bonds (5 percent), the 2-Year Bonds (19 percent) and the Ultra 10-Year Bonds (19.8 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 (12.0 percent)
2-Year Bond (18.9 percent) vs 2-Year Bond previous week (13.7 percent)
5-Year Bond (4.8 percent) vs 5-Year Bond previous week (2.7 percent)
10-Year Bond (28.4 percent) vs 10-Year Bond previous week (21.7 percent)
Ultra 10-Year Bond (19.8 percent) vs Ultra 10-Year Bond previous week (17.2 percent)
US Treasury Bond (70.8 percent) vs US Treasury Bond previous week (65.6 percent)
Ultra US Treasury Bond (77.8 percent) vs Ultra US Treasury Bond previous week (80.3 percent)
SOFR 1-Month (62.5 percent) vs SOFR 1-Month previous week (65.3 percent)
SOFR 3-Months (45.6 percent) vs SOFR 3-Months previous week (41.3 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (33 percent) and the SOFR 1-Month (31 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (13 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-70 percent), the 10-Year Bonds (-12 percent) and the Ultra Treasury Bonds (-8 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-70.1 percent) vs Fed Funds previous week (-54.9 percent)
2-Year Bond (3.1 percent) vs 2-Year Bond previous week (-4.9 percent)
5-Year Bond (2.0 percent) vs 5-Year Bond previous week (0.4 percent)
10-Year Bond (-12.2 percent) vs 10-Year Bond previous week (-11.5 percent)
Ultra 10-Year Bond (12.6 percent) vs Ultra 10-Year Bond previous week (17.2 percent)
US Treasury Bond (32.7 percent) vs US Treasury Bond previous week (20.1 percent)
Ultra US Treasury Bond (-7.6 percent) vs Ultra US Treasury Bond previous week (-7.3 percent)
SOFR 1-Month (30.7 percent) vs SOFR 1-Month previous week (33.3 percent)
SOFR 3-Months (10.4 percent) vs SOFR 3-Months previous week (14.2 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 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 69.9 percent.
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: | 9.4 | 70.8 | 1.9 |
| – Percent of Open Interest Shorts: | 25.2 | 55.3 | 1.6 |
| – Net Position: | -393,823 | 387,741 | 6,082 |
| – Gross Longs: | 234,998 | 1,768,689 | 46,345 |
| – Gross Shorts: | 628,821 | 1,380,948 | 40,263 |
| – Long to Short Ratio: | 0.4 to 1 | 1.3 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 69.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -70.1 | 72.4 | 0.8 |
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 with a score of 45.6 percent. The commercials are Bullish with a score of 54.3 percent and the small traders (not shown in chart) are Bullish with a score of 78.2 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 | 0.3 |
| – Percent of Open Interest Shorts: | 16.9 | 53.9 | 0.3 |
| – Net Position: | -284,862 | 284,938 | -76 |
| – Gross Longs: | 1,879,823 | 7,177,125 | 35,672 |
| – Gross Shorts: | 2,164,685 | 6,892,187 | 35,748 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 45.6 | 54.3 | 78.2 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 10.4 | -8.2 | -21.8 |
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 62.5 percent. The commercials are Bearish with a score of 37.2 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 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: | 19.0 | 59.8 | 0.1 |
| – Percent of Open Interest Shorts: | 20.4 | 58.5 | 0.0 |
| – Net Position: | -24,498 | 23,079 | 1,419 |
| – Gross Longs: | 333,133 | 1,050,557 | 2,063 |
| – Gross Shorts: | 357,631 | 1,027,478 | 644 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 3.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 62.5 | 37.2 | 69.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 30.7 | -30.1 | -4.3 |
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 18.9 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.
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: | 11.1 | 77.4 | 6.8 |
| – Percent of Open Interest Shorts: | 39.2 | 52.9 | 3.3 |
| – Net Position: | -1,263,082 | 1,103,308 | 159,774 |
| – Gross Longs: | 502,153 | 3,487,542 | 307,308 |
| – Gross Shorts: | 1,765,235 | 2,384,234 | 147,534 |
| – 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): | 18.9 | 75.4 | 79.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.1 | -7.6 | 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 Bearish-Extreme with a score of 4.8 percent. The commercials are Bullish-Extreme with a score of 95.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 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: | 6.5 | 82.0 | 6.5 |
| – Percent of Open Interest Shorts: | 39.4 | 51.5 | 4.0 |
| – Net Position: | -2,463,971 | 2,276,169 | 187,802 |
| – Gross Longs: | 483,232 | 6,128,955 | 488,889 |
| – Gross Shorts: | 2,947,203 | 3,852,786 | 301,087 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 4.8 | 95.8 | 84.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.0 | -3.8 | 6.6 |
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 with a score of 28.4 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.7 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: | 9.0 | 76.5 | 8.9 |
| – Percent of Open Interest Shorts: | 24.7 | 63.6 | 6.2 |
| – Net Position: | -883,829 | 729,027 | 154,802 |
| – Gross Longs: | 508,552 | 4,316,228 | 503,746 |
| – Gross Shorts: | 1,392,381 | 3,587,201 | 348,944 |
| – 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): | 28.4 | 63.2 | 91.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.2 | 6.0 | 22.8 |
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 19.8 percent. The commercials are Bullish with a score of 74.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 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: | 11.4 | 72.7 | 9.8 |
| – Percent of Open Interest Shorts: | 23.5 | 58.8 | 11.6 |
| – Net Position: | -328,671 | 375,957 | -47,286 |
| – Gross Longs: | 310,448 | 1,972,725 | 266,499 |
| – Gross Shorts: | 639,119 | 1,596,768 | 313,785 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 19.8 | 74.9 | 66.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 12.6 | -18.2 | 15.4 |
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 70.8 percent. The commercials are Bearish-Extreme with a score of 17.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 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: | 7.1 | 78.7 | 11.4 |
| – Percent of Open Interest Shorts: | 8.7 | 81.9 | 6.6 |
| – Net Position: | -36,013 | -72,481 | 108,494 |
| – Gross Longs: | 158,716 | 1,767,293 | 255,791 |
| – Gross Shorts: | 194,729 | 1,839,774 | 147,297 |
| – Long to Short Ratio: | 0.8 to 1 | 1.0 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 70.8 | 17.9 | 90.2 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 32.7 | -36.7 | 31.2 |
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 Bullish with a score of 77.8 percent. The commercials are Bearish with a score of 38.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.3 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: | 6.0 | 81.1 | 8.6 |
| – Percent of Open Interest Shorts: | 17.2 | 69.8 | 8.7 |
| – Net Position: | -248,945 | 250,719 | -1,774 |
| – Gross Longs: | 132,974 | 1,797,826 | 191,259 |
| – Gross Shorts: | 381,919 | 1,547,107 | 193,033 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 77.8 | 38.1 | 13.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.6 | 4.6 | 8.5 |
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.
By ForexTime FXTM’s USDInd ↑ 2% MTD Dollar best performing G10 currency MTD Geopolitical risk…
By JustMarkets The US stock market concluded Thursday’s session in the red as the escalating…
By Analytical Department RoboForex EUR/USD is holding near 1.1620 on Friday, with the US dollar…
By JustMarkets The US stock market rose on Wednesday. By the end of the day,…
By Daniele D'Alvia, Queen Mary University of London When a conflict escalates, financial markets respond…
By Analytical Department RoboForex GBP/USD contracted to 1.3350 on Thursday, with the pound remaining under…
This website uses cookies.
