COT Bonds Charts: Weekly Speculator Changes led by 5-Year 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 April 7th 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 5-Year Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (33,911 contracts) with the SOFR 3-Months (24,825 contracts), the SOFR 1-Month (8,889 contracts), the Ultra Treasury Bonds (7,746 contracts) and also the Ultra 10-Year Bonds (5,825 contracts) seeing positive weeks.

The bond markets with declines in speculator bets for the week were  the 2-Year Bonds (-74,691 contracts), the 10-Year Bonds (-39,561 contracts), the US Treasury Bonds (-27,363 contracts), and with the Fed Funds (-23,798 contracts) also recording lower bets on the week.

The US Treasury Bond leads the Bonds Market’s price performance

In the Bond Markets, the long US Treasury Bond was the biggest winner on the week with a modest 0.36% gain. This was followed by the Ten-Year Note, which rose by 0.34% on the week. The Five-Year Bond was slightly higher with a 0.24% rise and was followed by the Two-Year Bond, which rose by a similar 0.11% uptick.

Fed Funds were virtually unchanged at a 0.02% rise, while the 1-Month SOFR ticked up by 0.02%, and the 3-Month SOFR followed with a 0.01% edge higher.

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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 (74 percent) and the SOFR 1-Month (68 percent) lead the bond markets this week. The Ultra 10-Year Bonds (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (30 percent) and the 10-Year Bonds (38 percent).

Strength Statistics:
Fed Funds (45.3 percent) vs Fed Funds previous week (48.7 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (6.4 percent)
5-Year Bond (58.6 percent) vs 5-Year Bond previous week (56.8 percent)
10-Year Bond (38.3 percent) vs 10-Year Bond previous week (43.0 percent)
Ultra 10-Year Bond (66.6 percent) vs Ultra 10-Year Bond previous week (65.0 percent)
US Treasury Bond (62.9 percent) vs US Treasury Bond previous week (72.4 percent)
Ultra US Treasury Bond (73.5 percent) vs Ultra US Treasury Bond previous week (70.6 percent)
SOFR 1-Month (67.7 percent) vs SOFR 1-Month previous week (66.1 percent)
SOFR 3-Months (29.9 percent) vs SOFR 3-Months previous week (28.6 percent)

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5-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (27 percent) and the SOFR 1-Month (20 percent) lead the past six weeks trends for bonds. The Fed Funds (19 percent) are the next highest positive movers in the latest trends data.

The 2-Year Bond (-31 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-29 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (19.2 percent) vs Fed Funds previous week (25.6 percent)
2-Year Bond (-31.2 percent) vs 2-Year Bond previous week (-34.6 percent)
5-Year Bond (26.6 percent) vs 5-Year Bond previous week (29.6 percent)
10-Year Bond (-5.9 percent) vs 10-Year Bond previous week (11.2 percent)
Ultra 10-Year Bond (-28.6 percent) vs Ultra 10-Year Bond previous week (-18.1 percent)
US Treasury Bond (-22.3 percent) vs US Treasury Bond previous week (-13.2 percent)
Ultra US Treasury Bond (7.5 percent) vs Ultra US Treasury Bond previous week (2.6 percent)
SOFR 1-Month (20.1 percent) vs SOFR 1-Month previous week (5.0 percent)
SOFR 3-Months (10.4 percent) vs SOFR 3-Months previous week (7.6 percent)

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30-Day Federal Funds Futures:

Positioning Notes:

• 30-Day Federal Funds large speculator standing this week came in at a net position of -74,504 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -23,798 contracts from the previous week which had a total of -50,706 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.3 percent.
• The Commercials are Bullish with a score of 53.3 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 76.3 percent.

Price Trend-Following Model: Weak Uptrend

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:	17.2	64.7	2.6
– Percent of Open Interest Shorts:	21.2	61.5	1.8
– Net Position:	-74,504	59,457	15,047
– Gross Longs:	315,774	1,191,545	47,913
– Gross Shorts:	390,278	1,132,088	32,866
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	45.3	53.3	76.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.2	-17.9	-15.6

 

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Secured Overnight Financing Rate (3-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -564,314 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 24,825 contracts from the previous week which had a total of -589,139 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent.
• The Commercials are Bullish with a score of 70.5 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 41.4 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:	16.8	58.4	0.2
– Percent of Open Interest Shorts:	21.5	53.7	0.1
– Net Position:	-564,314	563,506	808
– Gross Longs:	2,024,340	7,040,930	18,517
– Gross Shorts:	2,588,654	6,477,424	17,709
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.9	70.5	41.4
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.4	-10.5	-1.3

 

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Secured Overnight Financing Rate (1-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -57,619 contracts in the data reported through Tuesday.
• Weekly Speculator position lift of 8,889 contracts from the previous week which had a total of -66,508 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.7 percent.
• The Commercials are Bearish with a score of 32.3 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 67.0 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:	23.0	61.4	0.0
– Percent of Open Interest Shorts:	27.4	57.0	0.0
– Net Position:	-57,619	57,550	69
– Gross Longs:	299,348	800,504	201
– Gross Shorts:	356,967	742,954	132
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	67.7	32.3	67.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.1	-20.1	-0.1

 

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2-Year Treasury Note Futures:

Positioning Notes:

• 2-Year Treasury Note large speculator standing this week came in at a net position of -1,712,015 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -74,691 contracts from the previous week which had a total of -1,637,324 net contracts.
• This week’s current strength score (range over the past 3 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.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 10.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.2	80.6	4.7
– Percent of Open Interest Shorts:	47.6	45.7	3.1
– Net Position:	-1,712,015	1,638,978	73,037
– Gross Longs:	525,560	3,791,639	220,318
– Gross Shorts:	2,237,575	2,152,661	147,281
– Long to Short Ratio:	0.2 to 1	1.8 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	10.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-31.2	34.1	-16.7

 

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5-Year Treasury Note Futures:

Positioning Notes:

• 5-Year Treasury Note large speculator standing this week came in at a net position of -1,552,929 contracts in the data reported through Tuesday.
• Weekly Speculator position gain of 33,911 contracts from the previous week which had a total of -1,586,840 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.6 percent.
• The Commercials are Bearish with a score of 43.8 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 22.5 percent.

Price Trend-Following Model: Strong Downtrend

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:	10.2	80.5	6.1
– Percent of Open Interest Shorts:	34.3	57.4	5.2
– Net Position:	-1,552,929	1,494,039	58,890
– Gross Longs:	656,801	5,190,375	393,143
– Gross Shorts:	2,209,730	3,696,336	334,253
– Long to Short Ratio:	0.3 to 1	1.4 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	58.6	43.8	22.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	26.6	-23.1	-41.1

 

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10-Year Treasury Note Futures:

Positioning Notes:

• 10-Year Treasury Note large speculator standing this week came in at a net position of -823,624 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -39,561 contracts from the previous week which had a total of -784,063 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.3 percent.
• The Commercials are Bullish with a score of 73.1 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 23.8 percent.

Price Trend-Following Model: Strong Downtrend

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:	11.1	78.7	7.7
– Percent of Open Interest Shorts:	27.2	63.1	7.2
– Net Position:	-823,624	799,342	24,282
– Gross Longs:	567,683	4,032,672	394,531
– Gross Shorts:	1,391,307	3,233,330	370,249
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	38.3	73.1	23.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.9	4.6	8.4

 

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Ultra 10-Year Notes Futures:

Positioning Notes:

• Ultra 10-Year Notes large speculator standing this week came in at a net position of -161,387 contracts in the data reported through Tuesday.
• Weekly Speculator position gain of 5,825 contracts from the previous week which had a total of -167,212 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.6 percent.
• The Commercials are Bearish with a score of 46.2 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 22.9 percent.

Price Trend-Following Model: Strong Downtrend

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:	8.8	81.9	8.3
– Percent of Open Interest Shorts:	15.6	70.5	12.9
– Net Position:	-161,387	268,760	-107,373
– Gross Longs:	207,781	1,934,136	196,994
– Gross Shorts:	369,168	1,665,376	304,367
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	66.6	46.2	22.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.6	32.6	-12.4

 

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US Treasury Bonds Futures:

Positioning Notes:

• US Treasury Bonds large speculator standing this week came in at a net position of -58,996 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -27,363 contracts from the previous week which had a total of -31,633 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.9 percent.
• The Commercials are Bearish with a score of 34.7 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 52.7 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:	11.1	74.1	13.4
– Percent of Open Interest Shorts:	14.4	76.6	7.6
– Net Position:	-58,996	-44,309	103,305
– Gross Longs:	197,953	1,324,620	239,238
– Gross Shorts:	256,949	1,368,929	135,933
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	62.9	34.7	52.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-22.3	33.8	-47.3

 

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Ultra US Treasury Bonds Futures:

Positioning Notes:

• Ultra US Treasury Bonds large speculator standing this week came in at a net position of -260,383 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 7,746 contracts from the previous week which had a total of -268,129 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.5 percent.
• The Commercials are Bearish with a score of 42.2 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 14.1 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:	5.6	85.8	8.1
– Percent of Open Interest Shorts:	17.1	74.3	8.2
– Net Position:	-260,383	261,393	-1,010
– Gross Longs:	126,501	1,941,140	184,064
– Gross Shorts:	386,884	1,679,747	185,074
– 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):	73.5	42.2	14.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.5	-2.4	-14.3

 

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Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.