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 13th 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 10-Year Bonds & 5-Year Bonds
The COT bond market speculator bets were overall higher this week as seven out of the nine bond markets we cover had higher positioning while the other two markets had lower speculator contracts.
Leading the gains for the bond markets was the 10-Year Bonds (45,047 contracts) with the 5-Year Bonds (43,633 contracts), the 2-Year Bonds (41,774 contracts), the SOFR 1-Month (36,024 contracts), the US Treasury Bonds (20,667 contracts), the Ultra 10-Year Bonds (12,726 contracts) and the Ultra Treasury Bonds (10,650 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-179,227 contracts) and the Fed Funds (-100,918 contracts) also registering lower bets on the week.
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Bond Price Performance led by small gains in SOFRs
In the bond markets price performance changes, the five-day percent changes were led by the three-month and one-month Secured Overnight Financing Rates (SOFR), which rose by 0.13% and 0.07%, respectively. The Fed Funds (0.02%) were virtually unchanged on the week, while the 2-Year Bond saw a minuscule fall by -0.04%.
The US Treasury Bond was down by -0.14%, the 5-Year Bond fell by -0.22%, and the 10-Year Note was lower by -0.36%.
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 US Treasury Bonds & Ultra 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 US Treasury Bonds (88 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The Fed Funds (64 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 2-Year Bond (17.8 percent) and the 5-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (64.3 percent) vs Fed Funds previous week (78.6 percent)
2-Year Bond (17.8 percent) vs 2-Year Bond previous week (13.7 percent)
5-Year Bond (19.4 percent) vs 5-Year Bond previous week (17.4 percent)
10-Year Bond (32.7 percent) vs 10-Year Bond previous week (27.3 percent)
Ultra 10-Year Bond (42.9 percent) vs Ultra 10-Year Bond previous week (39.5 percent)
US Treasury Bond (88.2 percent) vs US Treasury Bond previous week (81.0 percent)
Ultra US Treasury Bond (83.0 percent) vs Ultra US Treasury Bond previous week (79.0 percent)
SOFR 1-Month (30.1 percent) vs SOFR 1-Month previous week (23.8 percent)
SOFR 3-Months (33.2 percent) vs SOFR 3-Months previous week (42.4 percent)
Ultra 10-Year Bonds & 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 Ultra 10-Year Bonds (34 percent) and the US Treasury Bonds (15 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (12 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-31.9 percent), the 10-Year Bonds (-16 percent) and the SOFR 3-Months (-11 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-31.9 percent) vs Fed Funds previous week (-8.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (-7.8 percent)
5-Year Bond (8.4 percent) vs 5-Year Bond previous week (-1.0 percent)
10-Year Bond (-16.0 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (34.5 percent) vs Ultra 10-Year Bond previous week (6.1 percent)
US Treasury Bond (15.0 percent) vs US Treasury Bond previous week (8.6 percent)
Ultra US Treasury Bond (11.5 percent) vs Ultra US Treasury Bond previous week (14.2 percent)
SOFR 1-Month (12.0 percent) vs SOFR 1-Month previous week (0.5 percent)
SOFR 3-Months (-10.6 percent) vs SOFR 3-Months previous week (4.9 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week resulted in a net position of 59,440 contracts in the data reported through Tuesday. This was a weekly decrease of -100,918 contracts from the previous week which had a total of 160,358 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 64.3 percent. The commercials are Bearish with a score of 33.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.
Price Trend-Following Model: Uptrend
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: | 23.0 | 59.0 | 2.6 |
| – Percent of Open Interest Shorts: | 20.2 | 62.9 | 1.5 |
| – Net Position: | 59,440 | -83,088 | 23,648 |
| – Gross Longs: | 494,204 | 1,268,848 | 55,093 |
| – Gross Shorts: | 434,764 | 1,351,936 | 31,445 |
| – Long to Short Ratio: | 1.1 to 1 | 0.9 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 64.3 | 33.1 | 93.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -31.9 | 29.6 | 22.1 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -524,612 contracts in the data reported through Tuesday. This was a weekly reduction of -179,227 contracts from the previous week which had a total of -345,385 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 33.2 percent. The commercials are Bullish with a score of 66.6 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.
| SOFR 3-Months Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.2 | 56.3 | 0.2 |
| – Percent of Open Interest Shorts: | 18.3 | 52.2 | 0.1 |
| – Net Position: | -524,612 | 522,562 | 2,050 |
| – Gross Longs: | 1,807,449 | 7,187,932 | 21,089 |
| – Gross Shorts: | 2,332,061 | 6,665,370 | 19,039 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 33.2 | 66.6 | 79.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.6 | 10.5 | 1.1 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -273,183 contracts in the data reported through Tuesday. This was a weekly lift of 36,024 contracts from the previous week which had a total of -309,207 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 30.1 percent. The commercials are Bullish with a score of 69.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.5 percent.
Price Trend-Following Model: Uptrend
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: | 17.4 | 71.3 | 0.0 |
| – Percent of Open Interest Shorts: | 36.2 | 52.5 | 0.0 |
| – Net Position: | -273,183 | 272,850 | 333 |
| – Gross Longs: | 251,944 | 1,033,988 | 546 |
| – Gross Shorts: | 525,127 | 761,138 | 213 |
| – Long to Short Ratio: | 0.5 to 1 | 1.4 to 1 | 2.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 30.1 | 69.8 | 67.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 12.0 | -12.0 | 0.3 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,304,880 contracts in the data reported through Tuesday. This was a weekly increase of 41,774 contracts from the previous week which had a total of -1,346,654 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 17.8 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish with a score of 52.9 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.8 | 76.1 | 5.5 |
| – Percent of Open Interest Shorts: | 44.0 | 49.8 | 2.6 |
| – Net Position: | -1,304,880 | 1,176,303 | 128,577 |
| – Gross Longs: | 659,942 | 3,402,936 | 245,623 |
| – Gross Shorts: | 1,964,822 | 2,226,633 | 117,046 |
| – 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): | 17.8 | 82.2 | 52.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.0 | -1.8 | 7.5 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,269,120 contracts in the data reported through Tuesday. This was a weekly rise of 43,633 contracts from the previous week which had a total of -2,312,753 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 19.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.0 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.7 | 83.3 | 6.6 |
| – Percent of Open Interest Shorts: | 41.4 | 51.7 | 4.5 |
| – Net Position: | -2,269,120 | 2,126,524 | 142,596 |
| – Gross Longs: | 515,461 | 5,601,486 | 445,017 |
| – Gross Shorts: | 2,784,581 | 3,474,962 | 302,421 |
| – 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): | 19.4 | 80.9 | 67.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 8.4 | -8.4 | -5.2 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week resulted in a net position of -870,505 contracts in the data reported through Tuesday. This was a weekly gain of 45,047 contracts from the previous week which had a total of -915,552 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 32.7 percent. The commercials are Bullish with a score of 71.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.5 | 76.8 | 7.6 |
| – Percent of Open Interest Shorts: | 27.7 | 63.0 | 6.1 |
| – Net Position: | -870,505 | 785,650 | 84,855 |
| – Gross Longs: | 713,272 | 4,383,326 | 432,679 |
| – Gross Shorts: | 1,583,777 | 3,597,676 | 347,824 |
| – 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): | 32.7 | 71.2 | 68.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -16.0 | 26.5 | -18.4 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -249,202 contracts in the data reported through Tuesday. This was a weekly boost of 12,726 contracts from the previous week which had a total of -261,928 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 42.9 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.7 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.6 | 79.5 | 8.9 |
| – Percent of Open Interest Shorts: | 20.3 | 66.7 | 12.1 |
| – Net Position: | -249,202 | 330,563 | -81,361 |
| – Gross Longs: | 275,338 | 2,057,956 | 231,470 |
| – Gross Shorts: | 524,540 | 1,727,393 | 312,831 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 42.9 | 62.8 | 31.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 34.5 | -27.1 | -25.1 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week resulted in a net position of 13,835 contracts in the data reported through Tuesday. This was a weekly increase of 20,667 contracts from the previous week which had a total of -6,832 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 88.2 percent. The commercials are Bearish-Extreme with a score of 8.1 percent and the small traders (not shown in chart) are Bullish with a score of 61.8 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.4 | 75.5 | 13.3 |
| – Percent of Open Interest Shorts: | 8.6 | 82.3 | 7.3 |
| – Net Position: | 13,835 | -123,423 | 109,588 |
| – Gross Longs: | 170,410 | 1,370,974 | 241,908 |
| – Gross Shorts: | 156,575 | 1,494,397 | 132,320 |
| – Long to Short Ratio: | 1.1 to 1 | 0.9 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 88.2 | 8.1 | 61.8 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.0 | -1.2 | -25.5 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -235,097 contracts in the data reported through Tuesday. This was a weekly boost of 10,650 contracts from the previous week which had a total of -245,747 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 83.0 percent. The commercials are Bearish with a score of 29.7 percent and the small traders (not shown in chart) are Bearish with a score of 21.8 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.0 | 83.6 | 8.6 |
| – Percent of Open Interest Shorts: | 18.1 | 72.7 | 8.3 |
| – Net Position: | -235,097 | 228,601 | 6,496 |
| – Gross Longs: | 146,941 | 1,761,337 | 182,270 |
| – Gross Shorts: | 382,038 | 1,532,736 | 175,774 |
| – Long to Short Ratio: | 0.4 to 1 | 1.1 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 83.0 | 29.7 | 21.8 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 11.5 | -5.8 | -16.0 |
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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