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 December 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 by SOFR 1-Month, 10-Year & 2-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 (110,282 contracts), the 10-Year Bonds (34,702 contracts), the 2-Year Bonds (31,747 contracts) and the Fed Funds (16,165 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-108,271 contracts), the 5-Year Bonds (-95,529 contracts), the Ultra 10-Year Bonds (-43,833 contracts), the Ultra Treasury Bonds (-19,666 contracts) and with the US Treasury Bonds (-11,361 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 (92 percent) and the US Treasury Bonds (63 percent) lead the bond markets this week.
On the downside, the 5-Year Bond (7 percent) and the 2-Year Bonds (18 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 10-Year Bonds (24 percent), the Ultra 10-Year Bonds (29 percent) and the SOFR 3-Months (33 percent).
Strength Statistics:
Fed Funds (49.3 percent) vs Fed Funds previous week (46.3 percent)
2-Year Bond (18.0 percent) vs 2-Year Bond previous week (16.0 percent)
5-Year Bond (6.5 percent) vs 5-Year Bond previous week (11.6 percent)
10-Year Bond (23.8 percent) vs 10-Year Bond previous week (20.5 percent)
Ultra 10-Year Bond (29.3 percent) vs Ultra 10-Year Bond previous week (40.5 percent)
US Treasury Bond (63.0 percent) vs US Treasury Bond previous week (67.0 percent)
Ultra US Treasury Bond (92.5 percent) vs Ultra US Treasury Bond previous week (100.0 percent)
SOFR 1-Month (39.7 percent) vs SOFR 1-Month previous week (12.6 percent)
SOFR 3-Months (32.5 percent) vs SOFR 3-Months previous week (38.1 percent)
Ultra Treasury Bonds & SOFR 1-Month 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 (49 percent) and the SOFR 1-Month (33 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (11 percent) are the next highest positive movers in the latest trends data.
The Ultra 10-Year Bonds (-25 percent) and the SOFR 3-Months (-25 percent) lead the downside trend scores currently with the 5-Year Bonds (-12 percent) and the 10-Year Bonds (-4 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-30.5 percent) vs Fed Funds previous week (-31.7 percent)
2-Year Bond (11.3 percent) vs 2-Year Bond previous week (6.8 percent)
5-Year Bond (-11.7 percent) vs 5-Year Bond previous week (-7.2 percent)
10-Year Bond (-4.1 percent) vs 10-Year Bond previous week (-5.8 percent)
Ultra 10-Year Bond (-25.4 percent) vs Ultra 10-Year Bond previous week (-11.3 percent)
US Treasury Bond (5.2 percent) vs US Treasury Bond previous week (4.4 percent)
Ultra US Treasury Bond (48.9 percent) vs Ultra US Treasury Bond previous week (48.3 percent)
SOFR 1-Month (32.7 percent) vs SOFR 1-Month previous week (-2.9 percent)
SOFR 3-Months (-25.0 percent) vs SOFR 3-Months previous week (-28.4 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week resulted in a net position of -28,904 contracts in the data reported through Tuesday. This was a weekly advance of 16,165 contracts from the previous week which had a total of -45,069 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 49.3 percent. The commercials are Bearish with a score of 47.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 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: | 14.1 | 67.0 | 2.8 |
| – Percent of Open Interest Shorts: | 16.0 | 65.2 | 2.7 |
| – Net Position: | -28,904 | 27,431 | 1,473 |
| – Gross Longs: | 215,615 | 1,023,438 | 43,078 |
| – Gross Shorts: | 244,519 | 996,007 | 41,605 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 49.3 | 47.0 | 87.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -30.5 | 25.8 | 42.4 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -536,881 contracts in the data reported through Tuesday. This was a weekly lowering of -108,271 contracts from the previous week which had a total of -428,610 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 32.5 percent. The commercials are Bullish with a score of 68.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.6 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: | 11.5 | 60.5 | 0.3 |
| – Percent of Open Interest Shorts: | 16.3 | 55.5 | 0.4 |
| – Net Position: | -536,881 | 552,005 | -15,124 |
| – Gross Longs: | 1,269,597 | 6,701,108 | 29,815 |
| – Gross Shorts: | 1,806,478 | 6,149,103 | 44,939 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 32.5 | 68.1 | 79.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.0 | 26.1 | -10.3 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -116,665 contracts in the data reported through Tuesday. This was a weekly rise of 110,282 contracts from the previous week which had a total of -226,947 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 39.7 percent. The commercials are Bullish with a score of 60.2 percent and the small traders (not shown in chart) are Bullish with a score of 57.1 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: | 19.3 | 67.5 | 0.1 |
| – Percent of Open Interest Shorts: | 28.9 | 57.9 | 0.0 |
| – Net Position: | -116,665 | 116,518 | 147 |
| – Gross Longs: | 234,263 | 819,843 | 660 |
| – Gross Shorts: | 350,928 | 703,325 | 513 |
| – Long to Short Ratio: | 0.7 to 1 | 1.2 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 39.7 | 60.2 | 57.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 32.7 | -32.9 | 11.3 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,202,899 contracts in the data reported through Tuesday. This was a weekly boost of 31,747 contracts from the previous week which had a total of -1,234,646 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 18.0 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.6 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.8 | 77.5 | 6.0 |
| – Percent of Open Interest Shorts: | 39.8 | 52.7 | 2.8 |
| – Net Position: | -1,202,899 | 1,061,813 | 141,086 |
| – Gross Longs: | 506,365 | 3,324,264 | 259,271 |
| – Gross Shorts: | 1,709,264 | 2,262,451 | 118,185 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 18.0 | 79.9 | 80.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 11.3 | -10.4 | -11.6 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,861,100 contracts in the data reported through Tuesday. This was a weekly decline of -95,529 contracts from the previous week which had a total of -1,765,571 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 6.5 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bullish with a score of 75.6 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: | 6.7 | 85.3 | 6.8 |
| – Percent of Open Interest Shorts: | 37.5 | 56.5 | 4.8 |
| – Net Position: | -1,861,100 | 1,741,156 | 119,944 |
| – Gross Longs: | 402,072 | 5,148,595 | 409,306 |
| – Gross Shorts: | 2,263,172 | 3,407,439 | 289,362 |
| – Long to Short Ratio: | 0.2 to 1 | 1.5 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 6.5 | 92.3 | 75.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.7 | 18.0 | -11.7 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week resulted in a net position of -891,901 contracts in the data reported through Tuesday. This was a weekly increase of 34,702 contracts from the previous week which had a total of -926,603 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 23.8 percent. The commercials are Bullish-Extreme with a score of 81.9 percent and the small traders (not shown in chart) are Bullish with a score of 75.5 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: | 9.7 | 79.4 | 9.5 |
| – Percent of Open Interest Shorts: | 29.5 | 60.7 | 8.4 |
| – Net Position: | -891,901 | 842,621 | 49,280 |
| – Gross Longs: | 434,911 | 3,572,758 | 425,946 |
| – Gross Shorts: | 1,326,812 | 2,730,137 | 376,666 |
| – 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): | 23.8 | 81.9 | 75.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -4.1 | 12.3 | -12.6 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -163,297 contracts in the data reported through Tuesday. This was a weekly decline of -43,833 contracts from the previous week which had a total of -119,464 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 29.3 percent. The commercials are Bullish with a score of 57.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.8 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: | 14.9 | 74.0 | 10.3 |
| – Percent of Open Interest Shorts: | 22.4 | 64.0 | 12.7 |
| – Net Position: | -163,297 | 216,058 | -52,761 |
| – Gross Longs: | 323,901 | 1,609,439 | 224,218 |
| – Gross Shorts: | 487,198 | 1,393,381 | 276,979 |
| – Long to Short Ratio: | 0.7 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 29.3 | 57.3 | 80.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.4 | 24.7 | 13.5 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week resulted in a net position of -58,775 contracts in the data reported through Tuesday. This was a weekly decrease of -11,361 contracts from the previous week which had a total of -47,414 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 63.0 percent. The commercials are Bearish with a score of 25.1 percent and the small traders (not shown in chart) are Bullish with a score of 66.9 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.0 | 65.5 | 11.1 |
| – Percent of Open Interest Shorts: | 25.1 | 66.1 | 7.4 |
| – Net Position: | -58,775 | -11,133 | 69,908 |
| – Gross Longs: | 408,017 | 1,217,310 | 206,464 |
| – Gross Shorts: | 466,792 | 1,228,443 | 136,556 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 63.0 | 25.1 | 66.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.2 | 2.5 | -15.3 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -214,352 contracts in the data reported through Tuesday. This was a weekly lowering of -19,666 contracts from the previous week which had a total of -194,686 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 92.5 percent. The commercials are Bearish-Extreme with a score of 5.5 percent and the small traders (not shown in chart) are Bearish with a score of 25.4 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.5 | 79.4 | 10.2 |
| – Percent of Open Interest Shorts: | 20.5 | 68.1 | 9.4 |
| – Net Position: | -214,352 | 200,509 | 13,843 |
| – Gross Longs: | 150,423 | 1,410,435 | 181,097 |
| – Gross Shorts: | 364,775 | 1,209,926 | 167,254 |
| – 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): | 92.5 | 5.5 | 25.4 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 48.9 | -62.2 | 16.5 |
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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