COT Bonds Charts: Speculator Bets led by SOFR 3-Months & 5-Year Bonds

By InvestMacro 

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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 21st 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 & 5-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (26,996 contracts) with the 5-Year Bonds (20,954 contracts), the Fed Funds (15,277 contracts), the Ultra 10-Year Bonds (8,004 contracts), the Ultra Treasury Bonds (3,057 contracts) and the 2-Year Bonds (2,880 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-48,031 contracts), the US Treasury Bonds (-7,734 contracts) and with the SOFR 1-Month (-339 contracts) also registering lower bets on the week.

Major Bonds Price Performances were mostly lower on the week

The major Bond markets out of the US saw lower prices on the week with the Fed Funds being the only market that did not show a decline because it was virtually unchanged with a 0.00% return.

On the downside, the 1-month SOFR dipped by -0.12% and was followed by the 3-month SOFR, which declined by -0.16%. Next, the 2-year Bond was lower by -0.26% and was followed by the 5-year Bond, which slid by -0.56%.

The 10-Year Note declined on the week by -0.82%, and the long US Treasury Bond was the biggest decliner on the week with a -1.38% decrease.

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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 (84 percent) and the Ultra 10-Year Bonds (71 percent) lead the bond markets this week. The 2-Year Bonds (70 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (2 percent), the SOFR 3-Months (7 percent) and the US Treasury Bonds (18 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 10-Year Bonds (32 percent) and the SOFR 1-Month (40 percent).

Strength Statistics:
Fed Funds (2.1 percent) vs Fed Funds previous week (0.0 percent)
2-Year Bond (69.9 percent) vs 2-Year Bond previous week (69.6 percent)
5-Year Bond (84.0 percent) vs 5-Year Bond previous week (82.7 percent)
10-Year Bond (31.6 percent) vs 10-Year Bond previous week (37.3 percent)
Ultra 10-Year Bond (71.1 percent) vs Ultra 10-Year Bond previous week (69.0 percent)
US Treasury Bond (18.4 percent) vs US Treasury Bond previous week (21.1 percent)
Ultra US Treasury Bond (50.6 percent) vs Ultra US Treasury Bond previous week (49.5 percent)
SOFR 1-Month (39.5 percent) vs SOFR 1-Month previous week (39.6 percent)
SOFR 3-Months (6.6 percent) vs SOFR 3-Months previous week (5.9 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 (8 percent) and the 5-Year Bonds (3 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (-1 percent) and the US Treasury Bonds (-8 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-30 percent) leads the downside trend scores currently with the US Treasury Bonds (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-30.0 percent) vs Fed Funds previous week (-38.3 percent)
2-Year Bond (7.8 percent) vs 2-Year Bond previous week (22.9 percent)
5-Year Bond (2.8 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (-1.9 percent) vs 10-Year Bond previous week (-0.3 percent)
Ultra 10-Year Bond (-5.4 percent) vs Ultra 10-Year Bond previous week (9.8 percent)
US Treasury Bond (-8.2 percent) vs US Treasury Bond previous week (-6.7 percent)
Ultra US Treasury Bond (-1.0 percent) vs Ultra US Treasury Bond previous week (-13.8 percent)
SOFR 1-Month (-1.9 percent) vs SOFR 1-Month previous week (-5.6 percent)
SOFR 3-Months (-3.6 percent) vs SOFR 3-Months previous week (-14.8 percent)

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30-Day Federal Funds Futures:

Positioning Notes:

• 30-Day Federal Funds large speculator standing this week reached a net position of -392,302 contracts in the data reported through Tuesday.
• Weekly Speculator position boost of 15,277 contracts from the previous week which had a total of -407,579 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 2.1 percent.
• The Commercials are Bullish-Extreme with a score of 97.6 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 78.2 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:	12.8	67.1	2.3
– Percent of Open Interest Shorts:	29.1	51.5	1.6
– Net Position:	-392,302	375,562	16,740
– Gross Longs:	308,691	1,615,252	56,321
– Gross Shorts:	700,993	1,239,690	39,581
– 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):	2.1	97.6	78.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-30.0	28.8	21.4

 

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Secured Overnight Financing Rate (3-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -2,665,085 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 26,996 contracts from the previous week which had a total of -2,692,081 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 6.6 percent.
• The Commercials are Bullish-Extreme with a score of 93.3 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 60.2 percent.

Price Trend-Following Model: Downtrend

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

SOFR 3-Months Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.0	66.5	0.5
– Percent of Open Interest Shorts:	32.3	46.1	0.5
– Net Position:	-2,665,085	2,662,698	2,387
– Gross Longs:	1,563,826	8,696,831	62,396
– Gross Shorts:	4,228,911	6,034,133	60,009
– Long to Short Ratio:	0.4 to 1	1.4 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	6.6	93.3	60.2
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.6	3.5	1.8

 

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Secured Overnight Financing Rate (1-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -218,920 contracts in the data reported through Tuesday.
• Weekly Speculator position decrease of -339 contracts from the previous week which had a total of -218,581 net contracts.
• This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.5 percent.
• The Commercials are Bullish with a score of 60.6 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 64.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 1-Month Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.7	64.7	3.6
– Percent of Open Interest Shorts:	27.9	50.3	3.7
– Net Position:	-218,920	220,317	-1,397
– Gross Longs:	210,161	993,056	55,793
– Gross Shorts:	429,081	772,739	57,190
– Long to Short Ratio:	0.5 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	39.5	60.6	64.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.9	2.1	-3.0

 

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2-Year Treasury Note Futures:

Positioning Notes:

• 2-Year Treasury Note large speculator standing this week reached a net position of -1,154,597 contracts in the data reported through Tuesday.
• Weekly Speculator position advance of 2,880 contracts from the previous week which had a total of -1,157,477 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 69.9 percent.
• The Commercials are Bearish with a score of 34.4 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.6 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:	11.3	77.7	5.1
– Percent of Open Interest Shorts:	37.9	52.6	3.6
– Net Position:	-1,154,597	1,087,806	66,791
– Gross Longs:	489,367	3,368,264	221,608
– Gross Shorts:	1,643,964	2,280,458	154,817
– Long to Short Ratio:	0.3 to 1	1.5 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	69.9	34.4	16.6
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.8	-7.9	1.7

 

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5-Year Treasury Note Futures:

Positioning Notes:

• 5-Year Treasury Note large speculator standing this week reached a net position of -1,273,329 contracts in the data reported through Tuesday.
• Weekly Speculator position lift of 20,954 contracts from the previous week which had a total of -1,294,283 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-Extreme with a score of 84.0 percent.
• The Commercials are Bearish with a score of 23.8 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 13.1 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:	8.6	83.0	6.4
– Percent of Open Interest Shorts:	29.3	62.4	6.3
– Net Position:	-1,273,329	1,268,494	4,835
– Gross Longs:	528,667	5,105,602	392,534
– Gross Shorts:	1,801,996	3,837,108	387,699
– Long to Short Ratio:	0.3 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	84.0	23.8	13.1
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.8	-3.0	0.6

 

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10-Year Treasury Note Futures:

Positioning Notes:

• 10-Year Treasury Note large speculator standing this week reached a net position of -879,706 contracts in the data reported through Tuesday.
• Weekly Speculator position decrease of -48,031 contracts from the previous week which had a total of -831,675 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 31.6 percent.
• The Commercials are Bullish-Extreme with a score of 85.9 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 4.4 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:	9.6	80.7	7.3
– Percent of Open Interest Shorts:	26.3	63.8	7.5
– Net Position:	-879,706	890,118	-10,412
– Gross Longs:	508,318	4,254,929	382,845
– Gross Shorts:	1,388,024	3,364,811	393,257
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.6	85.9	4.4
– Strength Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.9	3.6	-3.0

 

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Ultra 10-Year Notes Futures:

Positioning Notes:

• Ultra 10-Year Notes large speculator standing this week reached a net position of -137,632 contracts in the data reported through Tuesday.
• Weekly Speculator position lift of 8,004 contracts from the previous week which had a total of -145,636 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 71.1 percent.
• The Commercials are Bearish with a score of 33.4 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 41.9 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:	8.6	81.7	8.5
– Percent of Open Interest Shorts:	14.2	72.6	12.0
– Net Position:	-137,632	220,725	-83,093
– Gross Longs:	206,958	1,975,623	206,499
– Gross Shorts:	344,590	1,754,898	289,592
– 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):	71.1	33.4	41.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.4	-2.2	22.6

 

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US Treasury Bonds Futures:

Positioning Notes:

• US Treasury Bonds large speculator standing this week reached a net position of -186,790 contracts in the data reported through Tuesday.
• Weekly Speculator position decrease of -7,734 contracts from the previous week which had a total of -179,056 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 18.4 percent.
• The Commercials are Bullish with a score of 69.8 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 46.5 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	74.6	13.1
– Percent of Open Interest Shorts:	21.3	69.6	8.0
– Net Position:	-186,790	92,427	94,363
– Gross Longs:	204,848	1,374,093	241,642
– Gross Shorts:	391,638	1,281,666	147,279
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	18.4	69.8	46.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.2	6.3	-0.8

 

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Ultra US Treasury Bonds Futures:

Positioning Notes:

• Ultra US Treasury Bonds large speculator standing this week reached a net position of -321,350 contracts in the data reported through Tuesday.
• Weekly Speculator position boost of 3,057 contracts from the previous week which had a total of -324,407 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 50.6 percent.
• The Commercials are Bullish with a score of 54.5 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 43.8 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:	5.2	85.4	8.5
– Percent of Open Interest Shorts:	18.4	73.4	7.3
– Net Position:	-321,350	293,470	27,880
– Gross Longs:	128,421	2,088,806	207,090
– Gross Shorts:	449,771	1,795,336	179,210
– 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):	50.6	54.5	43.8
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.0	-10.2	30.2

 

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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.