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 January 20th 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 10-Year Bonds (214,865 contracts) with the 5-Year Bonds (132,601 contracts), the 2-Year Bonds (79,758 contracts) and the Ultra 10-Year Bonds (13,920 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the Fed Funds (-137,251 contracts), the SOFR 3-Months (-70,989 contracts), the US Treasury Bonds (-36,905 contracts), the Ultra Treasury Bonds (-23,725 contracts) and with the SOFR 1-Month (-689 contracts) also registering lower bets on the week.
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The bond market price changes this week were relatively muted. The one-month SOFR and the three-month SOFR markets were a bit higher over the past 5 days at 0.06% and 0.04% gains, respectively. The two-year bond also edged up by 0.04%, while the Fed Funds was virtually unchanged.
The five-year bond edged lower at -0.16, followed by the 10-year note, which saw a minor dip of -0.36, and the long US Treasury bond was lower by -0.43. Over the past 30 days, the bond markets have not seen much movement, with no market seeing a move higher or lower by over one percent. Over the past 90 days, the Fed Funds is up by 1.80% while on the downside, the 10-year note is lower by -1.23% and the long US Treasury bond is lower by -2.47%.
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 US Treasury Bonds (75 percent) and the Ultra Treasury Bonds (74 percent) lead the bond markets this week. The 10-Year Bonds (58 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 2-Year Bonds (26 percent), the 5-Year Bond (26 percent), the SOFR 1-Month (30 percent) and the SOFR 3-Months (30 percent) come in at the lowest strength levels currently.
Strength Statistics:
Fed Funds (44.8 percent) vs Fed Funds previous week (64.3 percent)
2-Year Bond (25.6 percent) vs 2-Year Bond previous week (17.8 percent)
5-Year Bond (25.7 percent) vs 5-Year Bond previous week (19.4 percent)
10-Year Bond (58.4 percent) vs 10-Year Bond previous week (32.7 percent)
Ultra 10-Year Bond (46.7 percent) vs Ultra 10-Year Bond previous week (42.9 percent)
US Treasury Bond (75.3 percent) vs US Treasury Bond previous week (88.2 percent)
Ultra US Treasury Bond (74.1 percent) vs Ultra US Treasury Bond previous week (83.0 percent)
SOFR 1-Month (30.0 percent) vs SOFR 1-Month previous week (30.1 percent)
SOFR 3-Months (29.5 percent) vs SOFR 3-Months previous week (33.2 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (31 percent) and the SOFR 1-Month (19 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (16 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-55 percent) leads the downside trend scores currently with the SOFR 3-Months (-15 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-55.2 percent) vs Fed Funds previous week (-31.9 percent)
2-Year Bond (16.0 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (12.2 percent) vs 5-Year Bond previous week (8.4 percent)
10-Year Bond (3.7 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (31.0 percent) vs Ultra 10-Year Bond previous week (34.5 percent)
US Treasury Bond (6.0 percent) vs US Treasury Bond previous week (15.0 percent)
Ultra US Treasury Bond (-8.6 percent) vs Ultra US Treasury Bond previous week (11.5 percent)
SOFR 1-Month (19.3 percent) vs SOFR 1-Month previous week (12.0 percent)
SOFR 3-Months (-15.4 percent) vs SOFR 3-Months previous week (-10.6 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 with a score of 44.8 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.0 percent.
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 16.7 | 62.2 | 2.4 |
| – Percent of Open Interest Shorts: | 20.3 | 59.6 | 1.5 |
| – Net Position: | -77,811 | 57,423 | 20,388 |
| – Gross Longs: | 367,713 | 1,368,009 | 53,049 |
| – Gross Shorts: | 445,524 | 1,310,586 | 32,661 |
| – Long to Short Ratio: | 0.8 to 1 | 1.0 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 44.8 | 53.0 | 89.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -55.2 | 53.0 | 21.0 |
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 29.5 percent. The commercials are Bullish with a score of 70.4 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 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: | 13.4 | 56.8 | 0.3 |
| – Percent of Open Interest Shorts: | 17.9 | 52.2 | 0.3 |
| – Net Position: | -595,601 | 596,564 | -963 |
| – Gross Longs: | 1,736,807 | 7,384,520 | 33,194 |
| – Gross Shorts: | 2,332,408 | 6,787,956 | 34,157 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 29.5 | 70.4 | 77.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.4 | 15.5 | -0.2 |
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 30.0 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.
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: | 16.3 | 69.6 | 0.0 |
| – Percent of Open Interest Shorts: | 34.3 | 51.7 | 0.0 |
| – Net Position: | -273,872 | 273,962 | -90 |
| – Gross Longs: | 249,472 | 1,063,233 | 174 |
| – Gross Shorts: | 523,344 | 789,271 | 264 |
| – Long to Short Ratio: | 0.5 to 1 | 1.3 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 30.0 | 70.0 | 66.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.3 | -19.5 | 2.4 |
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 Bearish with a score of 25.6 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 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: | 16.4 | 74.1 | 5.4 |
| – Percent of Open Interest Shorts: | 43.2 | 49.8 | 3.0 |
| – Net Position: | -1,225,122 | 1,115,768 | 109,354 |
| – Gross Longs: | 752,084 | 3,395,299 | 245,486 |
| – Gross Shorts: | 1,977,206 | 2,279,531 | 136,132 |
| – Long to Short Ratio: | 0.4 to 1 | 1.5 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.6 | 75.4 | 43.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 16.0 | -18.6 | 0.9 |
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 25.7 percent. The commercials are Bullish with a score of 73.8 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.9 | 81.9 | 6.5 |
| – Percent of Open Interest Shorts: | 40.6 | 52.4 | 4.4 |
| – Net Position: | -2,136,519 | 1,990,497 | 146,022 |
| – Gross Longs: | 603,975 | 5,528,980 | 440,705 |
| – Gross Shorts: | 2,740,494 | 3,538,483 | 294,683 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.7 | 73.8 | 68.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 12.2 | -13.5 | -0.6 |
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 58.4 percent. The commercials are Bearish with a score of 41.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 15.0 | 73.9 | 7.7 |
| – Percent of Open Interest Shorts: | 26.4 | 63.9 | 6.2 |
| – Net Position: | -655,640 | 573,096 | 82,544 |
| – Gross Longs: | 861,222 | 4,248,520 | 441,892 |
| – Gross Shorts: | 1,516,862 | 3,675,424 | 359,348 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 58.4 | 41.3 | 67.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.7 | 3.0 | -17.4 |
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 Bearish with a score of 46.7 percent. The commercials are Bullish with a score of 68.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.0 | 78.6 | 8.5 |
| – Percent of Open Interest Shorts: | 21.1 | 64.8 | 13.1 |
| – Net Position: | -235,282 | 352,921 | -117,639 |
| – Gross Longs: | 308,830 | 2,021,438 | 219,966 |
| – Gross Shorts: | 544,112 | 1,668,517 | 337,605 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 46.7 | 68.7 | 0.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 31.0 | -15.0 | -54.3 |
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 Bullish with a score of 75.3 percent. The commercials are Bearish-Extreme with a score of 16.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 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: | 9.3 | 76.1 | 13.5 |
| – Percent of Open Interest Shorts: | 10.6 | 81.3 | 7.1 |
| – Net Position: | -23,070 | -93,965 | 117,035 |
| – Gross Longs: | 170,563 | 1,395,383 | 247,802 |
| – Gross Shorts: | 193,633 | 1,489,348 | 130,767 |
| – Long to Short Ratio: | 0.9 to 1 | 0.9 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 75.3 | 16.2 | 66.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 6.0 | -0.6 | -9.8 |
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 74.1 percent. The commercials are Bearish with a score of 39.1 percent and the small traders (not shown in chart) are Bearish with a score of 20.8 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 | 83.3 | 8.7 |
| – Percent of Open Interest Shorts: | 19.0 | 71.5 | 8.4 |
| – Net Position: | -258,822 | 253,269 | 5,553 |
| – Gross Longs: | 149,136 | 1,791,990 | 187,039 |
| – Gross Shorts: | 407,958 | 1,538,721 | 181,486 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 74.1 | 39.1 | 20.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.6 | 16.4 | -20.7 |
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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