COT Bonds Charts: Speculator Bets led by 2-Year Bonds & US Treasury 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 August 4th 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 & US Treasury 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 2-Year Bonds (120,346 contracts) with the US Treasury Bonds (41,225 contracts), Fed Funds (28,955 contracts), the SOFR 1-Month (26,353 contracts) and the Ultra Treasury Bonds (5,723 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-179,319 contracts), the 10-Year Bonds (-103,124 contracts), the Ultra 10-Year Bonds (-16,718 contracts) and with the SOFR 3-Months (-6,564 contracts) also registering lower bets on the week.

US Treasury Bond leads Bond Market Price Performances

In the major US Bond market price performances for the week, the long US Treasury Bond led the way with a 0.95% increase over the past five days. The 10-Year Note comes in second with a 0.59% gain, while the 5-Year Bond was higher by 0.40%.

Next up, the 2-Year Bond edged higher by 0.17%, while the 1-Month SOFR edged up by 0.01%, and the 3-Month SOFR also edged higher by 0.01%. The Fed Funds Rate was unchanged on the week.

---

Bonds Data:

Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

---

Strength Scores led by 2-Year Bonds & 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 2-Year Bonds (88 percent) and the 5-Year Bonds (81 percent) lead the bond markets this week. The Ultra 10-Year Bonds (72 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (11 percent), the Fed Funds (17 percent) and the 10-Year Bonds (20 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 (22 percent) and the SOFR 1-Month (41 percent).

Strength Statistics:
Fed Funds (17.3 percent) vs Fed Funds previous week (13.2 percent)
2-Year Bond (87.8 percent) vs 2-Year Bond previous week (73.5 percent)
5-Year Bond (80.9 percent) vs 5-Year Bond previous week (91.5 percent)
10-Year Bond (19.7 percent) vs 10-Year Bond previous week (32.0 percent)
Ultra 10-Year Bond (72.4 percent) vs Ultra 10-Year Bond previous week (76.7 percent)
US Treasury Bond (22.0 percent) vs US Treasury Bond previous week (7.7 percent)
Ultra US Treasury Bond (53.0 percent) vs Ultra US Treasury Bond previous week (50.9 percent)
SOFR 1-Month (40.6 percent) vs SOFR 1-Month previous week (36.0 percent)
SOFR 3-Months (10.5 percent) vs SOFR 3-Months previous week (10.7 percent)

---

2-Year Bonds & SOFR 3-Months 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 (37 percent) and the SOFR 3-Months (8 percent) lead the past six weeks trends for bonds.

The 10-Year Bond (-17 percent) leads the downside trend scores currently with the SOFR 1-Month (-15 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (2.2 percent) vs Fed Funds previous week (-17.3 percent)
2-Year Bond (37.4 percent) vs 2-Year Bond previous week (17.3 percent)
5-Year Bond (-1.5 percent) vs 5-Year Bond previous week (12.1 percent)
10-Year Bond (-17.2 percent) vs 10-Year Bond previous week (4.2 percent)
Ultra 10-Year Bond (-3.2 percent) vs Ultra 10-Year Bond previous week (-0.8 percent)
US Treasury Bond (-0.1 percent) vs US Treasury Bond previous week (-20.2 percent)
Ultra US Treasury Bond (1.2 percent) vs Ultra US Treasury Bond previous week (0.4 percent)
SOFR 1-Month (-15.2 percent) vs SOFR 1-Month previous week (1.4 percent)
SOFR 3-Months (7.8 percent) vs SOFR 3-Months previous week (10.7 percent)

---

30-Day Federal Funds Futures:

Positioning Notes:

• 30-Day Federal Funds large speculator standing this week reached a net position of -283,592 contracts in the data reported through Tuesday.
• Weekly Speculator position gain of 28,955 contracts from the previous week which had a total of -312,547 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 17.3 percent.
• The Commercials are Bullish-Extreme with a score of 82.5 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 76.0 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:	15.0	66.0	2.5
– Percent of Open Interest Shorts:	27.1	54.6	1.8
– Net Position:	-283,592	268,029	15,563
– Gross Longs:	353,857	1,552,353	57,796
– Gross Shorts:	637,449	1,284,324	42,233
– Long to Short Ratio:	0.6 to 1	1.2 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	17.3	82.5	76.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.2	-2.0	-3.3

 

---

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 -2,522,186 contracts in the data reported through Tuesday.
• Weekly Speculator position lowering of -6,564 contracts from the previous week which had a total of -2,515,622 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 10.5 percent.
• The Commercials are Bullish-Extreme with a score of 89.5 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 57.5 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:	11.4	67.6	0.7
– Percent of Open Interest Shorts:	30.6	48.4	0.7
– Net Position:	-2,522,186	2,522,607	-421
– Gross Longs:	1,490,010	8,860,264	92,414
– Gross Shorts:	4,012,196	6,337,657	92,835
– 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):	10.5	89.5	57.5
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.8	-7.7	-1.9

 

---

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 -212,996 contracts in the data reported through Tuesday.
• Weekly Speculator position boost of 26,353 contracts from the previous week which had a total of -239,349 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 40.6 percent.
• The Commercials are Bullish with a score of 59.3 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 67.0 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:	11.7	68.3	0.1
– Percent of Open Interest Shorts:	27.5	52.5	0.0
– Net Position:	-212,996	212,910	86
– Gross Longs:	157,986	921,072	755
– Gross Shorts:	370,982	708,162	669
– Long to Short Ratio:	0.4 to 1	1.3 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	40.6	59.3	67.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-15.2	15.1	0.3

 

---

2-Year Treasury Note Futures:

Positioning Notes:

• 2-Year Treasury Note large speculator standing this week reached a net position of -1,004,228 contracts in the data reported through Tuesday.
• Weekly Speculator position rise of 120,346 contracts from the previous week which had a total of -1,124,574 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 87.8 percent.
• The Commercials are Bearish with a score of 20.5 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 1.8 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:	14.2	77.1	4.8
– Percent of Open Interest Shorts:	37.0	55.1	3.9
– Net Position:	-1,004,228	966,287	37,941
– Gross Longs:	623,479	3,391,192	211,389
– Gross Shorts:	1,627,707	2,424,905	173,448
– Long to Short Ratio:	0.4 to 1	1.4 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	87.8	20.5	1.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	37.4	-32.3	-17.1

 

---

5-Year Treasury Note Futures:

Positioning Notes:

• 5-Year Treasury Note large speculator standing this week reached a net position of -1,325,719 contracts in the data reported through Tuesday.
• Weekly Speculator position lowering of -179,319 contracts from the previous week which had a total of -1,146,400 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 80.9 percent.
• The Commercials are Bearish with a score of 26.1 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 18.4 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:	7.8	82.5	6.2
– Percent of Open Interest Shorts:	28.5	62.0	5.9
– Net Position:	-1,325,719	1,306,026	19,693
– Gross Longs:	494,749	5,260,782	393,839
– Gross Shorts:	1,820,468	3,954,756	374,146
– 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):	80.9	26.1	18.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.5	3.5	-10.9

 

---

10-Year Treasury Note Futures:

Positioning Notes:

• 10-Year Treasury Note large speculator standing this week reached a net position of -979,243 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -103,124 contracts from the previous week which had a total of -876,119 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 19.7 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 2.6 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:	8.9	81.1	7.4
– Percent of Open Interest Shorts:	27.5	62.2	7.7
– Net Position:	-979,243	995,416	-16,173
– Gross Longs:	467,278	4,270,096	391,476
– Gross Shorts:	1,446,521	3,274,680	407,649
– 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):	19.7	100.0	2.6
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-17.2	23.6	-8.0

 

---

Ultra 10-Year Notes Futures:

Positioning Notes:

• Ultra 10-Year Notes large speculator standing this week reached a net position of -133,019 contracts in the data reported through Tuesday.
• Weekly Speculator position reduction of -16,718 contracts from the previous week which had a total of -116,301 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 72.4 percent.
• The Commercials are Bearish with a score of 27.4 percent.
• The Small Traders (not shown in chart) are Bullish with a score of 56.0 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:	9.3	80.9	8.5
– Percent of Open Interest Shorts:	14.6	73.0	11.1
– Net Position:	-133,019	198,147	-65,128
– Gross Longs:	234,680	2,036,416	214,640
– Gross Shorts:	367,699	1,838,269	279,768
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	72.4	27.4	56.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.2	-9.0	35.8

 

---

US Treasury Bonds Futures:

Positioning Notes:

• US Treasury Bonds large speculator standing this week reached a net position of -176,272 contracts in the data reported through Tuesday.
• Weekly Speculator position rise of 41,225 contracts from the previous week which had a total of -217,497 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 22.0 percent.
• The Commercials are Bullish with a score of 70.1 percent.
• The Small Traders (not shown in chart) are Bearish with a score of 38.1 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:	10.8	75.3	12.7
– Percent of Open Interest Shorts:	20.3	70.3	8.3
– Net Position:	-176,272	93,846	82,426
– Gross Longs:	202,720	1,408,091	237,232
– Gross Shorts:	378,992	1,314,245	154,806
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	22.0	70.1	38.1
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.1	2.6	-7.0

 

---

Ultra US Treasury Bonds Futures:

Positioning Notes:

• Ultra US Treasury Bonds large speculator standing this week reached a net position of -314,985 contracts in the data reported through Tuesday.
• Weekly Speculator position rise of 5,723 contracts from the previous week which had a total of -320,708 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 53.0 percent.
• The Commercials are Bullish with a score of 61.4 percent.
• The Small Traders (not shown in chart) are Bearish-Extreme with a score of 18.6 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:	6.4	84.5	8.3
– Percent of Open Interest Shorts:	19.3	71.7	8.1
– Net Position:	-314,985	311,557	3,428
– Gross Longs:	155,808	2,058,411	201,490
– Gross Shorts:	470,793	1,746,854	198,062
– 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):	53.0	61.4	18.6
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	1.2	6.6	-21.0

 

---

Article By InvestMacro – Receive our weekly COT Newsletter

*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.