COT Bonds Charts: Weekly Speculator Bets led by 2-Year, SOFR 3M & 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 July 14th 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, SOFR 3M & 5-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (103,531 contracts) with the SOFR 3-Months (83,873 contracts), the 5-Year Bonds (64,833 contracts) and the Ultra 10-Year Bonds (2,508 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-53,326 contracts), the US Treasury Bonds (-35,465 contracts), the 10-Year Bonds (-17,413 contracts), the Ultra Treasury Bonds (-16,588 contracts) and the SOFR 1-Month (-14,134 contracts) also registering lower bets on the week.

US Treasury Bond leads Bond Market Price Performances this week

In the major US Bond markets this week, the long US Treasury Bond led the increases with a 0.34% rise over the past five days. This was followed by the 10-Year Note, which advanced by 0.30%. The Fed Funds was higher by 0.28%, while the Five-Year Bond advanced by 0.21%, and the Two-Year Bond was up by 0.11%.

The One-Month SOFR was unchanged on the week, while the Three-Month SOFR showed a decline by -0.17% for this week.

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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

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 (83 percent), the 2-Year Bonds (70 percent) and the Ultra 10-Year Bonds (69 percent) lead the bond markets this week.

On the downside, the Fed Funds (0.0 percent) and the SOFR 3-Months (6 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores was the US Treasury Bonds (21 percent) .

Strength Statistics:
Fed Funds (0.0 percent) vs Fed Funds previous week (7.4 percent)
2-Year Bond (69.6 percent) vs 2-Year Bond previous week (57.3 percent)
5-Year Bond (82.7 percent) vs 5-Year Bond previous week (78.9 percent)
10-Year Bond (37.3 percent) vs 10-Year Bond previous week (39.4 percent)
Ultra 10-Year Bond (69.0 percent) vs Ultra 10-Year Bond previous week (68.4 percent)
US Treasury Bond (21.1 percent) vs US Treasury Bond previous week (33.4 percent)
Ultra US Treasury Bond (49.5 percent) vs Ultra US Treasury Bond previous week (55.7 percent)
SOFR 1-Month (39.6 percent) vs SOFR 1-Month previous week (42.1 percent)
SOFR 3-Months (5.9 percent) vs SOFR 3-Months previous week (3.6 percent)

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2-Year Bonds & Ultra 10-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 (23 percent) and the Ultra 10-Year Bonds (10 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (4 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-38 percent) leads the downside trend scores currently with the SOFR 3-Months (-15 percent) and Ultra Treasury Bonds (-14 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-38.3 percent) vs Fed Funds previous week (-34.4 percent)
2-Year Bond (22.9 percent) vs 2-Year Bond previous week (-0.7 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (-2.1 percent)
10-Year Bond (-0.3 percent) vs 10-Year Bond previous week (-3.1 percent)
Ultra 10-Year Bond (9.8 percent) vs Ultra 10-Year Bond previous week (-8.6 percent)
US Treasury Bond (-6.7 percent) vs US Treasury Bond previous week (19.4 percent)
Ultra US Treasury Bond (-13.8 percent) vs Ultra US Treasury Bond previous week (-18.0 percent)
SOFR 1-Month (-5.6 percent) vs SOFR 1-Month previous week (-0.8 percent)
SOFR 3-Months (-14.8 percent) vs SOFR 3-Months previous week (-28.5 percent)

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30-Day Federal Funds Futures:

Positioning Notes:

• 30-Day Federal Funds large speculator standing this week totaled a net position of -407,579 contracts in the data reported through Tuesday.
• Weekly Speculator position lowering of -53,326 contracts from the previous week which had a total of -354,253 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 Bullish with a score of 75.7 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:	10.6	67.3	1.9
– Percent of Open Interest Shorts:	28.5	50.1	1.3
– Net Position:	-407,579	392,205	15,374
– Gross Longs:	240,608	1,532,036	44,061
– Gross Shorts:	648,187	1,139,831	28,687
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	75.7
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-38.3	38.2	8.9

 

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Secured Overnight Financing Rate (3-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -2,692,081 contracts in the data reported through Tuesday.
• Weekly Speculator position advance of 83,873 contracts from the previous week which had a total of -2,775,954 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 5.9 percent.
• The Commercials are Bullish-Extreme with a score of 94.1 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 59.6 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:	11.6	65.8	0.4
– Percent of Open Interest Shorts:	32.1	45.4	0.4
– Net Position:	-2,692,081	2,690,271	1,810
– Gross Longs:	1,532,427	8,673,437	54,490
– Gross Shorts:	4,224,508	5,983,166	52,680
– 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):	5.9	94.1	59.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.8	13.1	59.6

 

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Secured Overnight Financing Rate (1-Month) Futures:

Positioning Notes:

• Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of -218,581 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -14,134 contracts from the previous week which had a total of -204,447 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 39.6 percent.
• The Commercials are Bullish with a score of 60.5 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 65.0 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:	14.2	65.2	0.1
– Percent of Open Interest Shorts:	29.0	50.3	0.1
– Net Position:	-218,581	219,474	-893
– Gross Longs:	208,338	959,285	988
– Gross Shorts:	426,919	739,811	1,881
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	39.6	60.5	65.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.6	5.8	-2.1

 

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2-Year Treasury Note Futures:

Positioning Notes:

• 2-Year Treasury Note large speculator standing this week totaled a net position of -1,157,477 contracts in the data reported through Tuesday.
• Weekly Speculator position boost of 103,531 contracts from the previous week which had a total of -1,261,008 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 69.6 percent.
• The Commercials are Bearish with a score of 34.0 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 19.9 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:	12.1	75.7	5.1
– Percent of Open Interest Shorts:	38.1	51.4	3.4
– Net Position:	-1,157,477	1,084,260	73,217
– Gross Longs:	541,950	3,381,563	225,820
– Gross Shorts:	1,699,427	2,297,303	152,603
– 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):	69.6	34.0	19.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	22.9	-26.5	19.9

 

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5-Year Treasury Note Futures:

Positioning Notes:

• 5-Year Treasury Note large speculator standing this week totaled a net position of -1,294,283 contracts in the data reported through Tuesday.
• Weekly Speculator position increase of 64,833 contracts from the previous week which had a total of -1,359,116 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 82.7 percent.
• The Commercials are Bearish with a score of 24.4 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.9 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:	8.3	82.9	6.5
– Percent of Open Interest Shorts:	29.2	62.3	6.2
– Net Position:	-1,294,283	1,278,834	15,449
– Gross Longs:	510,396	5,126,861	401,135
– Gross Shorts:	1,804,679	3,848,027	385,686
– 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):	82.7	24.4	16.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.5	-4.5	-0.9

 

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10-Year Treasury Note Futures:

Positioning Notes:

• 10-Year Treasury Note large speculator standing this week totaled a net position of -831,675 contracts in the data reported through Tuesday.
• Weekly Speculator position decline of -17,413 contracts from the previous week which had a total of -814,262 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 37.3 percent.
• The Commercials are Bullish with a score of 73.7 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.6 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:	10.1	80.4	7.4
– Percent of Open Interest Shorts:	25.9	65.2	6.8
– Net Position:	-831,675	803,589	28,086
– Gross Longs:	534,555	4,248,102	389,823
– Gross Shorts:	1,366,230	3,444,513	361,737
– 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):	37.3	73.7	16.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.3	-2.6	6.4

 

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Ultra 10-Year Notes Futures:

Positioning Notes:

• Ultra 10-Year Notes large speculator standing this week totaled a net position of -145,636 contracts in the data reported through Tuesday.
• Weekly Speculator position rise of 2,508 contracts from the previous week which had a total of -148,144 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 69.0 percent.
• The Commercials are Bearish with a score of 35.0 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 43.5 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:	8.4	81.4	9.1
– Percent of Open Interest Shorts:	14.4	72.2	12.4
– Net Position:	-145,636	226,642	-81,006
– Gross Longs:	206,497	1,995,015	223,193
– Gross Shorts:	352,133	1,768,373	304,199
– 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):	69.0	35.0	43.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.8	-9.7	-0.9

 

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US Treasury Bonds Futures:

Positioning Notes:

• US Treasury Bonds large speculator standing this week totaled a net position of -179,056 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -35,465 contracts from the previous week which had a total of -143,591 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 21.1 percent.
• The Commercials are Bullish with a score of 65.7 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 52.2 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:	11.2	73.9	13.2
– Percent of Open Interest Shorts:	20.9	69.8	7.6
– Net Position:	-179,056	76,451	102,605
– Gross Longs:	207,048	1,362,467	242,779
– Gross Shorts:	386,104	1,286,016	140,174
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	21.1	65.7	52.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-6.7	1.0	10.5

 

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Ultra US Treasury Bonds Futures:

Positioning Notes:

• Ultra US Treasury Bonds large speculator standing this week totaled a net position of -324,407 contracts in the data reported through Tuesday.
• Weekly Speculator position fall of -16,588 contracts from the previous week which had a total of -307,819 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 49.5 percent.
• The Commercials are Bullish with a score of 50.6 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 57.4 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	84.8	8.7
– Percent of Open Interest Shorts:	18.8	73.3	7.0
– Net Position:	-324,407	283,270	41,137
– Gross Longs:	138,047	2,083,553	212,642
– Gross Shorts:	462,454	1,800,283	171,505
– 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):	49.5	50.6	57.4
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-13.8	-4.9	50.8

 

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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.