COT Bonds Charts: Speculator Bets led by SOFR 3-Months & 2-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 July 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 SOFR 3-Months & 2-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (100,586 contracts) with the 2-Year Bonds (26,573 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 1-Month (-52,543 contracts), the US Treasury Bonds (-52,811 contracts), the 5-Year Bonds (-38,606 contracts), the Ultra Treasury Bonds (-21,150 contracts), the Fed Funds (-18,236 contracts), the Ultra 10-Year Bonds (-11,115 contracts) and with the 10-Year Bonds (-5,371 contracts) also registering lower bets on the week.

US Bond Markets were mostly lower in price performances

In the US Bond Markets, the 1-month SOFR and the 3-month SOFR markets were the only risers on the week with each seeing very small upticks of 0.02%, respectively.

On the downside, the 2-year bond dipped by just -0.14% on the week, while the Fed Funds was lower by -0.28%. The 5-year bond fell by -0.35%, and the 10-year note was lower by -0.51%.

Leading the decliners on the week was the long US Treasury Bond with a -1.08% decline.

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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 (79 percent) and the Ultra 10-Year Bonds (68 percent) lead the bond markets this week. The 2-Year Bonds (57 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (4 percent) and the Fed Funds (6 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the US Treasury Bonds (33 percent), the 10-Year Bonds (39 percent) and the SOFR 1-Month (42 percent).

Strength Statistics:
Fed Funds (5.6 percent) vs Fed Funds previous week (8.2 percent)
2-Year Bond (57.3 percent) vs 2-Year Bond previous week (54.1 percent)
5-Year Bond (78.9 percent) vs 5-Year Bond previous week (81.2 percent)
10-Year Bond (39.4 percent) vs 10-Year Bond previous week (40.1 percent)
Ultra 10-Year Bond (68.4 percent) vs Ultra 10-Year Bond previous week (71.3 percent)
US Treasury Bond (33.4 percent) vs US Treasury Bond previous week (51.8 percent)
Ultra US Treasury Bond (55.7 percent) vs Ultra US Treasury Bond previous week (63.6 percent)
SOFR 1-Month (42.1 percent) vs SOFR 1-Month previous week (51.2 percent)
SOFR 3-Months (3.6 percent) vs SOFR 3-Months previous week (0.9 percent)

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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 US Treasury Bonds (19 percent) lead the past six weeks trends for bonds and are the only positive mover for the week.

The Fed Funds (-35.1 percent) leads the downside trend scores currently with the SOFR 3-Months (-29 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-35.1 percent) vs Fed Funds previous week (-33.9 percent)
2-Year Bond (-0.7 percent) vs 2-Year Bond previous week (32.5 percent)
5-Year Bond (-2.1 percent) vs 5-Year Bond previous week (1.8 percent)
10-Year Bond (-3.1 percent) vs 10-Year Bond previous week (4.7 percent)
Ultra 10-Year Bond (-8.6 percent) vs Ultra 10-Year Bond previous week (-5.8 percent)
US Treasury Bond (19.4 percent) vs US Treasury Bond previous week (30.6 percent)
Ultra US Treasury Bond (-18.0 percent) vs Ultra US Treasury Bond previous week (-12.1 percent)
SOFR 1-Month (-0.8 percent) vs SOFR 1-Month previous week (-2.2 percent)
SOFR 3-Months (-28.5 percent) vs SOFR 3-Months previous week (-38.1 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 -354,253 contracts in the data reported through Tuesday.
• Weekly Speculator position lowering of -18,236 contracts from the previous week which had a total of -336,017 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 5.6 percent.
• The Commercials are Bullish-Extreme with a score of 92.0 percent.
• The Small Traders (not shown in chart) are Bullish-Extreme with a score of 89.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.5	63.8	3.8
– Percent of Open Interest Shorts:	26.7	49.6	2.8
– Net Position:	-354,253	331,304	22,949
– Gross Longs:	267,644	1,483,848	88,287
– Gross Shorts:	621,897	1,152,544	65,338
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	5.6	92.0	89.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-35.1	33.2	26.1

 

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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 -2,775,954 contracts in the data reported through Tuesday.
• Weekly Speculator position lift of 100,586 contracts from the previous week which had a total of -2,876,540 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 3.6 percent.
• The Commercials are Bullish-Extreme with a score of 96.4 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 59.7 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:	11.0	66.6	0.3
– Percent of Open Interest Shorts:	32.2	45.4	0.3
– Net Position:	-2,775,954	2,774,055	1,899
– Gross Longs:	1,444,494	8,729,909	42,236
– Gross Shorts:	4,220,448	5,955,854	40,337
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	3.6	96.4	59.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.5	28.8	-7.0

 

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Secured Overnight Financing Rate (1-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -204,447 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -52,543 contracts from the previous week which had a total of -151,904 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 59.6 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 46.6 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:	15.3	62.4	1.1
– Percent of Open Interest Shorts:	29.2	47.8	1.7
– Net Position:	-204,447	214,212	-9,765
– Gross Longs:	223,532	913,894	15,478
– Gross Shorts:	427,979	699,682	25,243
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	42.1	59.6	46.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.8	3.2	-28.9

 

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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 -1,261,008 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 26,573 contracts from the previous week which had a total of -1,287,581 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 57.3 percent.
• The Commercials are Bearish with a score of 45.2 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 22.7 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:	10.7	76.6	5.2
– Percent of Open Interest Shorts:	38.9	50.1	3.4
– Net Position:	-1,261,008	1,182,473	78,535
– Gross Longs:	475,562	3,417,464	231,968
– Gross Shorts:	1,736,570	2,234,991	153,433
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	57.3	45.2	22.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.7	-2.1	12.3

 

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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 -1,359,116 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -38,606 contracts from the previous week which had a total of -1,320,510 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 78.9 percent.
• The Commercials are Bearish with a score of 27.7 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 21.5 percent.

Price Trend-Following Model: Weak Downtrend

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.7	84.2	6.3
– Percent of Open Interest Shorts:	29.5	62.8	5.9
– Net Position:	-1,359,116	1,330,507	28,609
– Gross Longs:	476,187	5,234,030	394,006
– Gross Shorts:	1,835,303	3,903,523	365,397
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	78.9	27.7	21.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.1	4.5	-12.6

 

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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 -814,262 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -5,371 contracts from the previous week which had a total of -808,891 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 39.4 percent.
• The Commercials are Bullish with a score of 72.3 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 14.3 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:	10.3	80.4	7.4
– Percent of Open Interest Shorts:	25.6	65.5	7.0
– Net Position:	-814,262	793,271	20,991
– Gross Longs:	548,331	4,274,288	392,944
– Gross Shorts:	1,362,593	3,481,017	371,953
– 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):	39.4	72.3	14.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.1	41.8	-85.7

 

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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 -148,144 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -11,115 contracts from the previous week which had a total of -137,029 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 68.4 percent.
• The Commercials are Bearish with a score of 35.1 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 45.2 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:	8.3	81.9	8.8
– Percent of Open Interest Shorts:	14.4	72.7	12.0
– Net Position:	-148,144	227,063	-78,919
– Gross Longs:	204,637	2,012,986	215,252
– Gross Shorts:	352,781	1,785,923	294,171
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	68.4	35.1	45.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.6	-2.0	31.3

 

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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 -143,591 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -52,811 contracts from the previous week which had a total of -90,780 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 33.4 percent.
• The Commercials are Bullish with a score of 51.2 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 66.9 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:	11.6	73.2	13.2
– Percent of Open Interest Shorts:	19.3	72.1	6.7
– Net Position:	-143,591	19,958	123,633
– Gross Longs:	218,376	1,376,050	248,721
– Gross Shorts:	361,967	1,356,092	125,088
– Long to Short Ratio:	0.6 to 1	1.0 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	33.4	51.2	66.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.4	-24.6	28.1

 

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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 -307,819 contracts in the data reported through Tuesday.
• Weekly Speculator position decrease of -21,150 contracts from the previous week which had a total of -286,669 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 55.7 percent.
• The Commercials are Bearish with a score of 47.6 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 48.3 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:	5.7	85.1	8.4
– Percent of Open Interest Shorts:	18.3	73.8	7.0
– Net Position:	-307,819	275,491	32,328
– Gross Longs:	138,733	2,073,781	203,972
– Gross Shorts:	446,552	1,798,290	171,644
– Long to Short Ratio:	0.3 to 1	1.2 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	55.7	47.6	48.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-18.0	1.4	45.7

 

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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.