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 October 3rd 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 lower by the 2-Year & 5-Year Bonds
The COT bond market speculator bets were lower this week as one out of the eight bond markets we cover had higher positioning while the other seven markets had lower speculator contracts.
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Leading the gains for the bond markets was the Ultra Treasury Bonds with an increase by 5,305 contracts also showing positive on the week.
The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-68,001 contracts), the 5-Year Bonds (-67,690 contracts), the Ultra 10-Year Bonds (-46,781 contracts), the Fed Funds (-34,081 contracts), the SOFR 3-Months (-24,840 contracts), the US Treasury Bonds (-6,835 contracts) and the 10-Year Bonds (-1,883 contracts) also seeing lower bets on the week.
| Oct-03-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| SOFR-3-Months | 9,830,949 | 92 | 292,306 | 88 | -291,835 | 12 | -471 | 88 |
| FedFunds | 1,665,599 | 60 | -229,159 | 17 | 244,663 | 84 | -15,504 | 61 |
| 2-Year | 3,959,247 | 99 | -1,278,301 | 0 | 1,141,551 | 100 | 136,750 | 100 |
| Long T-Bond | 1,409,347 | 93 | -239,646 | 7 | 210,303 | 86 | 29,343 | 70 |
| 10-Year | 4,782,725 | 93 | -733,881 | 11 | 668,481 | 88 | 65,400 | 88 |
| 5-Year | 5,630,744 | 93 | -1,093,472 | 12 | 1,027,244 | 85 | 66,228 | 88 |
Strength Scores led by SOFR 3-Months & Ultra Treasury 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 SOFR 3-Months (88 percent) leads the bond markets this week.
On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent), the US Treasury Bonds (7 percent), the 10-Year Bonds (11 percent), the 5-Year Bond (12 percent) and the Fed Funds (17 percent) come in at the lowest strength levels currently and all are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (16.8 percent) vs Fed Funds previous week (23.1 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (5.0 percent)
5-Year Bond (12.1 percent) vs 5-Year Bond previous week (17.1 percent)
10-Year Bond (11.3 percent) vs 10-Year Bond previous week (11.5 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (9.0 percent)
US Treasury Bond (6.6 percent) vs US Treasury Bond previous week (8.8 percent)
Ultra US Treasury Bond (35.7 percent) vs Ultra US Treasury Bond previous week (33.5 percent)
SOFR 3-Months (87.6 percent) vs SOFR 3-Months previous week (89.1 percent)
Ultra Treasury 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 Ultra Treasury Bonds (25 percent) and the SOFR 3-Months (14 percent) lead the past six weeks trends for bonds. The Fed Funds (10 percent) are the next highest positive movers in the latest data.
The US Treasury Bonds (-20 percent) and the Ultra 10-Year Bonds (-18 percent) lead the downside trend scores currently with the 5-Year Bonds (-4 percent) and the 10-Year Bonds (-4 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (9.6 percent) vs Fed Funds previous week (9.0 percent)
2-Year Bond (-0.5 percent) vs 2-Year Bond previous week (-6.8 percent)
5-Year Bond (-3.7 percent) vs 5-Year Bond previous week (12.2 percent)
10-Year Bond (-3.8 percent) vs 10-Year Bond previous week (1.4 percent)
Ultra 10-Year Bond (-17.8 percent) vs Ultra 10-Year Bond previous week (-11.7 percent)
US Treasury Bond (-19.6 percent) vs US Treasury Bond previous week (-18.2 percent)
Ultra US Treasury Bond (25.5 percent) vs Ultra US Treasury Bond previous week (29.1 percent)
SOFR 3-Months (14.4 percent) vs SOFR 3-Months previous week (18.8 percent)
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of 292,306 contracts in the data reported through Tuesday. This was a weekly decrease of -24,840 contracts from the previous week which had a total of 317,146 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.6 percent. The commercials are Bearish-Extreme with a score of 12.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.6 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.
| SOFR 3-Months Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 21.3 | 54.7 | 0.4 |
| – Percent of Open Interest Shorts: | 18.3 | 57.7 | 0.5 |
| – Net Position: | 292,306 | -291,835 | -471 |
| – Gross Longs: | 2,090,851 | 5,381,526 | 43,842 |
| – Gross Shorts: | 1,798,545 | 5,673,361 | 44,313 |
| – Long to Short Ratio: | 1.2 to 1 | 0.9 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 87.6 | 12.1 | 87.6 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 14.4 | -14.6 | 1.6 |
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week reached a net position of -229,159 contracts in the data reported through Tuesday. This was a weekly decline of -34,081 contracts from the previous week which had a total of -195,078 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.8 percent. The commercials are Bullish-Extreme with a score of 84.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.6 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.6 | 75.5 | 2.0 |
| – Percent of Open Interest Shorts: | 21.4 | 60.8 | 2.9 |
| – Net Position: | -229,159 | 244,663 | -15,504 |
| – Gross Longs: | 127,197 | 1,258,150 | 33,455 |
| – Gross Shorts: | 356,356 | 1,013,487 | 48,959 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 16.8 | 84.4 | 60.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 9.6 | -8.9 | -6.2 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week reached a net position of -1,278,301 contracts in the data reported through Tuesday. This was a weekly lowering of -68,001 contracts from the previous week which had a total of -1,210,300 net contracts.
This week’s current strength score (the trader positioning range over the past three 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 99.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.8 | 80.6 | 7.1 |
| – Percent of Open Interest Shorts: | 43.1 | 51.8 | 3.6 |
| – Net Position: | -1,278,301 | 1,141,551 | 136,750 |
| – Gross Longs: | 426,432 | 3,192,262 | 280,084 |
| – Gross Shorts: | 1,704,733 | 2,050,711 | 143,334 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 99.9 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.5 | -0.1 | 3.5 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week reached a net position of -1,093,472 contracts in the data reported through Tuesday. This was a weekly lowering of -67,690 contracts from the previous week which had a total of -1,025,782 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 12.1 percent. The commercials are Bullish-Extreme with a score of 85.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.5 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.0 | 82.7 | 7.2 |
| – Percent of Open Interest Shorts: | 28.4 | 64.5 | 6.0 |
| – Net Position: | -1,093,472 | 1,027,244 | 66,228 |
| – Gross Longs: | 505,566 | 4,657,206 | 403,076 |
| – Gross Shorts: | 1,599,038 | 3,629,962 | 336,848 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 12.1 | 85.3 | 87.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.7 | 3.3 | 2.2 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week reached a net position of -733,881 contracts in the data reported through Tuesday. This was a weekly decline of -1,883 contracts from the previous week which had a total of -731,998 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.3 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.7 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.3 | 78.0 | 9.2 |
| – Percent of Open Interest Shorts: | 25.6 | 64.0 | 7.8 |
| – Net Position: | -733,881 | 668,481 | 65,400 |
| – Gross Longs: | 492,060 | 3,728,771 | 440,265 |
| – Gross Shorts: | 1,225,941 | 3,060,290 | 374,865 |
| – 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): | 11.3 | 88.3 | 87.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.8 | 1.2 | 6.2 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week reached a net position of -244,907 contracts in the data reported through Tuesday. This was a weekly lowering of -46,781 contracts from the previous week which had a total of -198,126 net contracts.
This week’s current strength score (the trader positioning range over the past three 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 95.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.7 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.7 | 77.3 | 11.6 |
| – Percent of Open Interest Shorts: | 21.7 | 62.2 | 13.8 |
| – Net Position: | -244,907 | 285,820 | -40,913 |
| – Gross Longs: | 165,441 | 1,462,117 | 220,058 |
| – Gross Shorts: | 410,348 | 1,176,297 | 260,971 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 95.4 | 89.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.8 | 7.0 | 35.5 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week reached a net position of -239,646 contracts in the data reported through Tuesday. This was a weekly fall of -6,835 contracts from the previous week which had a total of -232,811 net contracts.
This week’s current strength score (the trader positioning range over the past three 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 85.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.7 | 80.2 | 13.2 |
| – Percent of Open Interest Shorts: | 22.7 | 65.3 | 11.1 |
| – Net Position: | -239,646 | 210,303 | 29,343 |
| – Gross Longs: | 79,998 | 1,130,603 | 186,481 |
| – Gross Shorts: | 319,644 | 920,300 | 157,138 |
| – 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): | 6.6 | 85.6 | 69.8 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -19.6 | 26.0 | -9.2 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week reached a net position of -368,142 contracts in the data reported through Tuesday. This was a weekly rise of 5,305 contracts from the previous week which had a total of -373,447 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.7 percent. The commercials are Bullish with a score of 61.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.4 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.2 | 81.8 | 11.8 |
| – Percent of Open Interest Shorts: | 29.7 | 60.5 | 9.6 |
| – Net Position: | -368,142 | 333,000 | 35,142 |
| – Gross Longs: | 96,190 | 1,278,994 | 184,419 |
| – Gross Shorts: | 464,332 | 945,994 | 149,277 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 35.7 | 61.4 | 70.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 25.5 | -29.5 | -2.2 |
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.
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