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 November 5th 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 1-Month & 10-Year Bonds
The COT bond market speculator bets were slightly 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.
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Leading the gains for the bond markets was the SOFR 1-Month (128,987 contracts) with the 10-Year Bonds (82,913 contracts), the Ultra Treasury Bonds (45,626 contracts) and the US Treasury Bonds (17,066 contracts) also having positive weeks.
The bond markets with declines in speculator bets for the week were the Fed Funds (-129,805 contracts), the 5-Year Bonds (-86,938 contracts), the SOFR 3-Months (-42,478 contracts), the Ultra 10-Year Bonds (-37,405 contracts) and with the 2-Year Bonds (-6,998 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 Ultra Treasury Bonds & US 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 Ultra Treasury Bonds (89 percent) and the US Treasury Bonds (70 percent) lead the bond markets this week. The Fed Funds (59 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 2-Year Bonds (0 percent) and the 5-Year Bond (0 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (59.0 percent) vs Fed Funds previous week (83.0 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (0.4 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (5.2 percent)
10-Year Bond (30.8 percent) vs 10-Year Bond previous week (22.9 percent)
Ultra 10-Year Bond (31.2 percent) vs Ultra 10-Year Bond previous week (39.7 percent)
US Treasury Bond (70.3 percent) vs US Treasury Bond previous week (64.4 percent)
Ultra US Treasury Bond (88.8 percent) vs Ultra US Treasury Bond previous week (67.7 percent)
SOFR 1-Month (31.8 percent) vs SOFR 1-Month previous week (0.0 percent)
SOFR 3-Months (55.4 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 (40 percent) and the 10-Year Bonds (20 percent) lead the past six weeks trends for bonds.
The SOFR 3-Months (-41 percent), the Fed Funds (-36 percent) and the 2-Year Bonds (-28 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-23 percent) and the 5-Year Bonds (-13 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-35.5 percent) vs Fed Funds previous week (-4.6 percent)
2-Year Bond (-27.9 percent) vs 2-Year Bond previous week (-28.8 percent)
5-Year Bond (-12.8 percent) vs 5-Year Bond previous week (-5.2 percent)
10-Year Bond (19.6 percent) vs 10-Year Bond previous week (18.2 percent)
Ultra 10-Year Bond (-23.3 percent) vs Ultra 10-Year Bond previous week (-13.0 percent)
US Treasury Bond (40.0 percent) vs US Treasury Bond previous week (19.1 percent)
Ultra US Treasury Bond (0.9 percent) vs Ultra US Treasury Bond previous week (-16.5 percent)
SOFR 1-Month (-1.4 percent) vs SOFR 1-Month previous week (-24.0 percent)
SOFR 3-Months (-40.7 percent) vs SOFR 3-Months previous week (-37.1 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week reached a net position of 23,900 contracts in the data reported through Tuesday. This was a weekly decline of -129,805 contracts from the previous week which had a total of 153,705 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 59.0 percent. The commercials are Bearish with a score of 38.8 percent and the small traders (not shown in chart) are Bullish with a score of 73.4 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: | 12.1 | 63.2 | 1.9 |
| – Percent of Open Interest Shorts: | 10.5 | 64.4 | 2.4 |
| – Net Position: | 23,900 | -17,536 | -6,364 |
| – Gross Longs: | 175,995 | 918,030 | 27,974 |
| – Gross Shorts: | 152,095 | 935,566 | 34,338 |
| – Long to Short Ratio: | 1.2 to 1 | 1.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 59.0 | 38.8 | 73.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -35.5 | 32.6 | 23.2 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -94,627 contracts in the data reported through Tuesday. This was a weekly lowering of -42,478 contracts from the previous week which had a total of -52,149 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 55.4 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 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: | 14.2 | 58.3 | 0.4 |
| – Percent of Open Interest Shorts: | 15.2 | 57.3 | 0.4 |
| – Net Position: | -94,627 | 97,514 | -2,887 |
| – Gross Longs: | 1,459,856 | 5,974,749 | 37,490 |
| – Gross Shorts: | 1,554,483 | 5,877,235 | 40,377 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.4 | 44.6 | 86.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -40.7 | 40.9 | -2.1 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -149,036 contracts in the data reported through Tuesday. This was a weekly advance of 128,987 contracts from the previous week which had a total of -278,023 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 31.8 percent. The commercials are Bullish with a score of 68.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.4 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: | 13.5 | 64.0 | 0.0 |
| – Percent of Open Interest Shorts: | 27.4 | 50.0 | 0.1 |
| – Net Position: | -149,036 | 149,470 | -434 |
| – Gross Longs: | 144,949 | 686,481 | 371 |
| – Gross Shorts: | 293,985 | 537,011 | 805 |
| – 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): | 31.8 | 68.3 | 52.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.4 | 1.4 | 1.5 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week reached a net position of -1,486,359 contracts in the data reported through Tuesday. This was a weekly lowering of -6,998 contracts from the previous week which had a total of -1,479,361 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 84.2 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: | 11.7 | 79.7 | 6.0 |
| – Percent of Open Interest Shorts: | 45.5 | 49.4 | 2.5 |
| – Net Position: | -1,486,359 | 1,333,658 | 152,701 |
| – Gross Longs: | 516,573 | 3,510,416 | 264,257 |
| – Gross Shorts: | 2,002,932 | 2,176,758 | 111,556 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 2.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 99.9 | 84.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -27.9 | 34.8 | -10.5 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week reached a net position of -1,767,409 contracts in the data reported through Tuesday. This was a weekly reduction of -86,938 contracts from the previous week which had a total of -1,680,471 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-Extreme with a score of 82.0 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: | 7.4 | 84.9 | 6.6 |
| – Percent of Open Interest Shorts: | 35.6 | 59.1 | 4.1 |
| – Net Position: | -1,767,409 | 1,614,843 | 152,566 |
| – Gross Longs: | 464,380 | 5,316,837 | 412,049 |
| – Gross Shorts: | 2,231,789 | 3,701,994 | 259,483 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 82.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.8 | 22.9 | -16.6 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week reached a net position of -818,270 contracts in the data reported through Tuesday. This was a weekly rise of 82,913 contracts from the previous week which had a total of -901,183 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 30.8 percent. The commercials are Bullish with a score of 65.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.5 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: | 9.9 | 77.1 | 10.6 |
| – Percent of Open Interest Shorts: | 27.8 | 61.6 | 8.2 |
| – Net Position: | -818,270 | 707,726 | 110,544 |
| – Gross Longs: | 451,405 | 3,519,123 | 486,142 |
| – Gross Shorts: | 1,269,675 | 2,811,397 | 375,598 |
| – Long to Short Ratio: | 0.4 to 1 | 1.3 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 30.8 | 65.4 | 89.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.6 | -24.1 | -2.2 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week reached a net position of -140,439 contracts in the data reported through Tuesday. This was a weekly lowering of -37,405 contracts from the previous week which had a total of -103,034 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 31.2 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.8 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: | 14.3 | 75.1 | 9.7 |
| – Percent of Open Interest Shorts: | 20.8 | 65.7 | 12.6 |
| – Net Position: | -140,439 | 204,526 | -64,087 |
| – Gross Longs: | 312,505 | 1,637,544 | 211,011 |
| – Gross Shorts: | 452,944 | 1,433,018 | 275,098 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 31.2 | 58.1 | 74.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -23.3 | 31.4 | -3.5 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week reached a net position of -37,751 contracts in the data reported through Tuesday. This was a weekly rise of 17,066 contracts from the previous week which had a total of -54,817 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 70.3 percent. The commercials are Bearish-Extreme with a score of 16.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.9 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: | 22.7 | 62.9 | 11.1 |
| – Percent of Open Interest Shorts: | 24.7 | 64.9 | 7.1 |
| – Net Position: | -37,751 | -36,563 | 74,314 |
| – Gross Longs: | 427,232 | 1,182,686 | 207,708 |
| – Gross Shorts: | 464,983 | 1,219,249 | 133,394 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 70.3 | 16.6 | 69.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 40.0 | -25.8 | -26.1 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week reached a net position of -264,408 contracts in the data reported through Tuesday. This was a weekly rise of 45,626 contracts from the previous week which had a total of -310,034 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 88.8 percent. The commercials are Bearish with a score of 25.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.9 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: | 9.1 | 78.0 | 10.5 |
| – Percent of Open Interest Shorts: | 23.9 | 63.3 | 10.4 |
| – Net Position: | -264,408 | 263,521 | 887 |
| – Gross Longs: | 161,812 | 1,394,705 | 186,882 |
| – Gross Shorts: | 426,220 | 1,131,184 | 185,995 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 88.8 | 25.4 | 6.9 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.9 | 12.3 | -37.7 |
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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