COT Bonds Charts: Speculators up 2-Year and 5-Year Bonds bets this week

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 May 19th 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 2-Year Bonds & 5-Year Bonds

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

All the US bond markets continue to have overall negative speculator net positions at the moment, illustrating the negative views on the outlook for bond market prices. Speculators betting against bond market prices implies a viewpoint that interest rates will go higher (as prices fall, the interest rates of that market increases and vice versa).

Leading the gains for the bond markets was the 2-Year Bonds (41,775 contracts) with the 5-Year Bonds (11,629 contracts) and the SOFR 1-Month (11,594 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-330,187 contracts), the 10-Year Bonds (-66,885 contracts), the Fed Funds (-54,824 contracts), the Ultra 10-Year Bonds (-25,053 contracts), the Ultra Treasury Bonds (-15,470 contracts) and with the US Treasury Bonds (-5,820 contracts) also registering lower bets on the week.

The long U.S. Treasury Bond leads Bond Market price performance.

Over the past week, the U.S. Treasury Bond was the biggest gainer in the US Bond Markets with a 1.19% rise. The 10-Year Note came in second with a 0.44% increase while the Five-Year Bond was higher by 0.18%.

The 1-Month SOFR saw an uptick by 0.03%, and the 3-Month SOFR was higher by just a tick of 0.01%.

On the downside, the Fed Funds saw a -0.01% decrease while the Two-Year Bond also was a couple of ticks lower by -0.02%.

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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 5-Year Bonds & Ultra 10-Year 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 5-Year Bonds (77 percent) and the Ultra 10-Year Bonds (77 percent) lead the bond markets this week. The Ultra Treasury Bonds (76 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (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 US Treasury Bonds (21 percent) and the 2-Year Bonds (22 percent).

Strength Statistics:
Fed Funds (42.1 percent) vs Fed Funds previous week (49.9 percent)
2-Year Bond (21.7 percent) vs 2-Year Bond previous week (16.7 percent)
5-Year Bond (77.3 percent) vs 5-Year Bond previous week (76.6 percent)
10-Year Bond (35.4 percent) vs 10-Year Bond previous week (43.4 percent)
Ultra 10-Year Bond (77.1 percent) vs Ultra 10-Year Bond previous week (83.7 percent)
US Treasury Bond (21.2 percent) vs US Treasury Bond previous week (23.2 percent)
Ultra US Treasury Bond (75.7 percent) vs Ultra US Treasury Bond previous week (81.5 percent)
SOFR 1-Month (53.5 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (0.0 percent) vs SOFR 3-Months previous week (14.7 percent)

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2-Year Bonds & 5-Year 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 2-Year Bonds (18 percent) and the 5-Year Bonds (12 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (12 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-41.6 percent) leads the downside trend scores currently with the SOFR 3-Months (-41 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-3.2 percent) vs Fed Funds previous week (1.2 percent)
2-Year Bond (18.0 percent) vs 2-Year Bond previous week (4.1 percent)
5-Year Bond (11.7 percent) vs 5-Year Bond previous week (13.0 percent)
10-Year Bond (-2.9 percent) vs 10-Year Bond previous week (0.3 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (20.3 percent)
US Treasury Bond (-41.6 percent) vs US Treasury Bond previous week (-49.1 percent)
Ultra US Treasury Bond (2.2 percent) vs Ultra US Treasury Bond previous week (10.9 percent)
SOFR 1-Month (-14.2 percent) vs SOFR 1-Month previous week (-14.7 percent)
SOFR 3-Months (-40.5 percent) vs SOFR 3-Months previous week (-24.7 percent)

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30-Day Federal Funds Futures:

Positioning Notes:

• 30-Day Federal Funds large speculator standing this week resulted in a net position of -96,824 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -54,824 contracts from the previous week which had a total of -42,000 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 42.1 percent.
• The Commercials are Bullish with a score of 57.6 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 61.5 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:	10.9	67.1	2.2
– Percent of Open Interest Shorts:	16.0	62.4	1.8
– Net Position:	-96,824	89,193	7,631
– Gross Longs:	208,071	1,279,497	42,560
– Gross Shorts:	304,895	1,190,304	34,929
– Long to Short Ratio:	0.7 to 1	1.1 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	42.1	57.6	61.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.2	4.2	-13.6

 

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Secured Overnight Financing Rate (3-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -1,473,774 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -330,187 contracts from the previous week which had a total of -1,143,587 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 with a score of 39.4 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:	12.5	63.7	0.3
– Percent of Open Interest Shorts:	23.5	52.7	0.3
– Net Position:	-1,473,774	1,474,436	-662
– Gross Longs:	1,674,583	8,525,818	37,330
– Gross Shorts:	3,148,357	7,051,382	37,992
– Long to Short Ratio:	0.5 to 1	1.2 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	39.4
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-40.5	40.7	-2.0

 

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Secured Overnight Financing Rate (1-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -139,037 contracts in the data reported through Tuesday.
• Weekly Speculator position lift of 11,594 contracts from the previous week which had a total of -150,631 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 53.5 percent.
• The Commercials are Bearish with a score of 46.5 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 66.4 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:	20.8	65.2	0.0
– Percent of Open Interest Shorts:	30.5	55.5	0.0
– Net Position:	-139,037	139,261	-224
– Gross Longs:	297,504	932,468	192
– Gross Shorts:	436,541	793,207	416
– Long to Short Ratio:	0.7 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	53.5	46.5	66.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.2	14.2	-0.6

 

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2-Year Treasury Note Futures:

Positioning Notes:

• 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,560,837 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 41,775 contracts from the previous week which had a total of -1,602,612 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 21.7 percent.
• The Commercials are Bullish-Extreme with a score of 81.4 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 0.0 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:	9.9	78.6	4.6
– Percent of Open Interest Shorts:	41.5	48.3	3.3
– Net Position:	-1,560,837	1,498,142	62,695
– Gross Longs:	487,295	3,881,287	226,572
– Gross Shorts:	2,048,132	2,383,145	163,877
– Long to Short Ratio:	0.2 to 1	1.6 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.7	81.4	0.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	18.0	-16.1	-6.2

 

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5-Year Treasury Note Futures:

Positioning Notes:

• 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,350,516 contracts in the data reported through Tuesday.
• Weekly Speculator position gain of 11,629 contracts from the previous week which had a total of -1,362,145 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 77.3 percent.
• The Commercials are Bearish with a score of 30.9 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 0.0 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:	10.0	77.7	6.3
– Percent of Open Interest Shorts:	29.3	57.8	6.8
– Net Position:	-1,350,516	1,382,881	-32,365
– Gross Longs:	694,412	5,418,755	438,786
– Gross Shorts:	2,044,928	4,035,874	471,151
– Long to Short Ratio:	0.3 to 1	1.3 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	77.3	30.9	0.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.7	-6.9	-32.2

 

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10-Year Treasury Note Futures:

Positioning Notes:

• 10-Year Treasury Note large speculator standing this week resulted in a net position of -848,052 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -66,885 contracts from the previous week which had a total of -781,167 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 35.4 percent.
• The Commercials are Bullish with a score of 71.3 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 42.2 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:	9.7	74.8	7.4
– Percent of Open Interest Shorts:	24.2	61.4	6.3
– Net Position:	-848,052	786,275	61,777
– Gross Longs:	566,207	4,366,133	430,774
– Gross Shorts:	1,414,259	3,579,858	368,997
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.4	71.3	42.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.9	-1.8	18.4

 

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Ultra 10-Year Notes Futures:

Positioning Notes:

• Ultra 10-Year Notes large speculator standing this week resulted in a net position of -114,954 contracts in the data reported through Tuesday.
• Weekly Speculator position decrease of -25,053 contracts from the previous week which had a total of -89,901 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 77.1 percent.
• The Commercials are Bearish with a score of 37.4 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 12.3 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:	10.1	79.2	8.5
– Percent of Open Interest Shorts:	14.5	70.2	13.1
– Net Position:	-114,954	235,846	-120,892
– Gross Longs:	263,782	2,071,478	221,012
– Gross Shorts:	378,736	1,835,632	341,904
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	77.1	37.4	12.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	12.2	-8.8	-10.6

 

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US Treasury Bonds Futures:

Positioning Notes:

• US Treasury Bonds large speculator standing this week resulted in a net position of -178,674 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -5,820 contracts from the previous week which had a total of -172,854 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 21.2 percent.
• The Commercials are Bullish with a score of 74.6 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 27.6 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:	9.7	76.0	12.5
– Percent of Open Interest Shorts:	19.2	70.0	8.9
– Net Position:	-178,674	111,298	67,376
– Gross Longs:	182,942	1,427,336	234,918
– Gross Shorts:	361,616	1,316,038	167,542
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.2	74.6	27.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-41.6	39.9	-25.1

 

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Ultra US Treasury Bonds Futures:

Positioning Notes:

• Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -254,464 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -15,470 contracts from the previous week which had a total of -238,994 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 75.7 percent.
• The Commercials are Bearish with a score of 43.3 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 5.2 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:	5.5	82.3	7.6
– Percent of Open Interest Shorts:	15.6	71.9	8.0
– Net Position:	-254,464	264,146	-9,682
– Gross Longs:	139,936	2,087,342	192,061
– Gross Shorts:	394,400	1,823,196	201,743
– 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):	75.7	43.3	5.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.2	1.1	-8.9

 

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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.