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 29th 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 Ultra Treasury Bonds & US Treasury Bonds
The COT bond market speculator bets were lower this week as three out of the nine bond markets we cover had higher positioning while the other six markets had lower speculator contracts.
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Leading the gains for the bond markets was the Ultra Treasury Bonds (32,269 contracts) with the US Treasury Bonds (19,020 contracts) and the Fed Funds (17,490 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-98,451 contracts), the 10-Year Bonds (-52,992 contracts), the Ultra 10-Year Bonds (-39,312 contracts), the 5-Year Bonds (-39,484 contracts), the SOFR 1-Month (-28,806 contracts) and with the SOFR 3-Months (-86 contracts) also registering lower bets on the week.
Bonds Net Speculators Leaderboard
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)
Strength Scores led by Fed Funds & 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 Fed Funds (83 percent) and the Ultra Treasury Bonds (68 percent) lead the bond markets this week. The US Treasury Bonds (64 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 2-Year Bonds (0 percent), the SOFR 1-Month (0 percent) and the 5-Year Bonds (3 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (83.0 percent) vs Fed Funds previous week (79.8 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (6.3 percent)
5-Year Bond (3.5 percent) vs 5-Year Bond previous week (5.9 percent)
10-Year Bond (22.9 percent) vs 10-Year Bond previous week (28.0 percent)
Ultra 10-Year Bond (36.5 percent) vs Ultra 10-Year Bond previous week (44.6 percent)
US Treasury Bond (64.4 percent) vs US Treasury Bond previous week (57.8 percent)
Ultra US Treasury Bond (67.7 percent) vs Ultra US Treasury Bond previous week (52.8 percent)
SOFR 1-Month (0.0 percent) vs SOFR 1-Month previous week (7.1 percent)
SOFR 3-Months (57.6 percent) vs SOFR 3-Months previous week (57.6 percent)
US Treasury Bonds & 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 US Treasury Bonds (19 percent) and the 10-Year Bonds (18 percent) lead the past six weeks trends for bonds.
The SOFR 3-Months (-37 percent), the 2-Year Bonds (-29 percent) and the SOFR 1-Month (-24 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-4.6 percent) vs Fed Funds previous week (35.6 percent)
2-Year Bond (-28.9 percent) vs 2-Year Bond previous week (-23.9 percent)
5-Year Bond (-5.3 percent) vs 5-Year Bond previous week (4.8 percent)
10-Year Bond (18.2 percent) vs 10-Year Bond previous week (16.4 percent)
Ultra 10-Year Bond (-12.0 percent) vs Ultra 10-Year Bond previous week (-1.6 percent)
US Treasury Bond (19.1 percent) vs US Treasury Bond previous week (-3.3 percent)
Ultra US Treasury Bond (-16.5 percent) vs Ultra US Treasury Bond previous week (-38.5 percent)
SOFR 1-Month (-24.0 percent) vs SOFR 1-Month previous week (-27.9 percent)
SOFR 3-Months (-37.1 percent) vs SOFR 3-Months previous week (-41.1 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week equaled a net position of 153,705 contracts in the data reported through Tuesday. This was a weekly increase of 17,490 contracts from the previous week which had a total of 136,215 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 83.0 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bearish with a score of 42.5 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: | 21.3 | 57.2 | 1.7 |
| – Percent of Open Interest Shorts: | 14.3 | 63.1 | 2.7 |
| – Net Position: | 153,705 | -130,471 | -23,234 |
| – Gross Longs: | 469,542 | 1,263,935 | 37,401 |
| – Gross Shorts: | 315,837 | 1,394,406 | 60,635 |
| – Long to Short Ratio: | 1.5 to 1 | 0.9 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 83.0 | 18.3 | 42.5 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -4.6 | 4.6 | -0.5 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -52,149 contracts in the data reported through Tuesday. This was a weekly lowering of -86 contracts from the previous week which had a total of -52,063 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 with a score of 57.6 percent. The commercials are Bearish with a score of 42.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 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: | 14.5 | 57.9 | 0.4 |
| – Percent of Open Interest Shorts: | 15.0 | 57.3 | 0.5 |
| – Net Position: | -52,149 | 64,149 | -12,000 |
| – Gross Longs: | 1,476,990 | 5,917,930 | 40,674 |
| – Gross Shorts: | 1,529,139 | 5,853,781 | 52,674 |
| – Long to Short Ratio: | 1.0 to 1 | 1.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 57.6 | 42.9 | 81.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -37.1 | 38.3 | -11.5 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -278,023 contracts in the data reported through Tuesday. This was a weekly decrease of -28,806 contracts from the previous week which had a total of -249,217 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 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 50.9 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.9 | 69.4 | 0.0 |
| – Percent of Open Interest Shorts: | 30.6 | 48.6 | 0.1 |
| – Net Position: | -278,023 | 278,649 | -626 |
| – Gross Longs: | 132,190 | 930,913 | 413 |
| – Gross Shorts: | 410,213 | 652,264 | 1,039 |
| – Long to Short Ratio: | 0.3 to 1 | 1.4 to 1 | 0.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 50.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -24.0 | 23.1 | 27.1 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,479,361 contracts in the data reported through Tuesday. This was a weekly decline of -98,451 contracts from the previous week which had a total of -1,380,910 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 98.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.1 | 80.0 | 5.9 |
| – Percent of Open Interest Shorts: | 44.7 | 50.9 | 2.4 |
| – Net Position: | -1,479,361 | 1,318,151 | 161,210 |
| – Gross Longs: | 545,677 | 3,620,929 | 268,615 |
| – Gross Shorts: | 2,025,038 | 2,302,778 | 107,405 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 2.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 98.8 | 86.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -28.9 | 33.1 | 0.8 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week equaled a net position of -1,680,471 contracts in the data reported through Tuesday. This was a weekly lowering of -39,484 contracts from the previous week which had a total of -1,640,987 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 3.5 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.3 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.3 | 84.1 | 7.1 |
| – Percent of Open Interest Shorts: | 34.2 | 60.2 | 4.1 |
| – Net Position: | -1,680,471 | 1,493,749 | 186,722 |
| – Gross Longs: | 458,688 | 5,255,655 | 441,574 |
| – Gross Shorts: | 2,139,159 | 3,761,906 | 254,852 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 3.5 | 100.0 | 88.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -5.3 | 8.5 | -2.9 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week equaled a net position of -901,183 contracts in the data reported through Tuesday. This was a weekly reduction of -52,992 contracts from the previous week which had a total of -848,191 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 22.9 percent. The commercials are Bullish with a score of 75.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.6 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.3 | 77.9 | 10.4 |
| – Percent of Open Interest Shorts: | 28.9 | 60.7 | 8.0 |
| – Net Position: | -901,183 | 790,410 | 110,773 |
| – Gross Longs: | 429,078 | 3,583,452 | 478,912 |
| – Gross Shorts: | 1,330,261 | 2,793,042 | 368,139 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 22.9 | 75.5 | 89.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 18.2 | -18.8 | -8.5 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week equaled a net position of -103,034 contracts in the data reported through Tuesday. This was a weekly fall of -39,312 contracts from the previous week which had a total of -63,722 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 36.5 percent. The commercials are Bullish with a score of 54.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 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: | 16.1 | 73.5 | 9.8 |
| – Percent of Open Interest Shorts: | 20.8 | 65.1 | 13.4 |
| – Net Position: | -103,034 | 183,187 | -80,153 |
| – Gross Longs: | 353,210 | 1,614,142 | 214,437 |
| – Gross Shorts: | 456,244 | 1,430,955 | 294,590 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 36.5 | 54.8 | 65.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.0 | 20.9 | -11.6 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week equaled a net position of -54,817 contracts in the data reported through Tuesday. This was a weekly gain of 19,020 contracts from the previous week which had a total of -73,837 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 with a score of 64.4 percent. The commercials are Bearish-Extreme with a score of 17.7 percent and the small traders (not shown in chart) are Bullish with a score of 79.1 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.8 | 63.4 | 12.0 |
| – Percent of Open Interest Shorts: | 25.8 | 65.3 | 7.2 |
| – Net Position: | -54,817 | -33,079 | 87,896 |
| – Gross Longs: | 417,193 | 1,159,696 | 219,436 |
| – Gross Shorts: | 472,010 | 1,192,775 | 131,540 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 64.4 | 17.7 | 79.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.1 | -10.2 | -16.8 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -310,034 contracts in the data reported through Tuesday. This was a weekly rise of 32,269 contracts from the previous week which had a total of -342,303 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 with a score of 67.7 percent. The commercials are Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.0 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.0 | 78.4 | 10.6 |
| – Percent of Open Interest Shorts: | 26.5 | 61.2 | 10.5 |
| – Net Position: | -310,034 | 307,659 | 2,375 |
| – Gross Longs: | 160,892 | 1,396,250 | 188,474 |
| – Gross Shorts: | 470,926 | 1,088,591 | 186,099 |
| – 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): | 67.7 | 47.5 | 9.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -16.5 | 39.5 | -61.3 |
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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