Archive for Bonds

21 Feb

COT Bonds Charts: Speculator Bets led by 2-Year Bonds & Ultra 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 February 17th 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 & Ultra 10-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall 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.

Leading the gains for the bond markets was the 2-Year Bonds (55,279 contracts) with the Ultra 10-Year Bonds (53,282 contracts), the SOFR 1-Month (16,688 contracts) and the US Treasury Bonds (6,517 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-272,311 contracts), the 10-Year Bonds (-64,826 contracts), the Fed Funds (-56,451 contracts), the 5-Year Bonds (-42,478 contracts) and the Ultra Treasury Bonds (-4,642 contracts) also seeing lower bets on the week.

10-Year Note Leads Price Returns this week

Leading the price performance over the last five days, the 10-Year Note rose by a modest 0.27% followed by the US Treasury Bond which rose by 0.20%. The 5-Year Bond was marginally higher by 0.17%, and the 2-Year Bond was a tick higher at 0.07%.

The 1-Month SOFR was up a tick by 0.03% while the Fed Funds was virtually unchanged at -0.01%. The 3-Month SOFR was also lower by -0.06%.

Bonds Data:

Bonds Market Speculators Data Table
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 US Treasury Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 US Treasury Bonds (86 percent) and the Ultra 10-Year Bonds (83 percent) lead the bond markets this week.

On the downside, the Fed Funds (23 percent) and the 5-Year Bonds (25 percent) come in at the lowest strength levels currently while the next lowest strength scores were the 2-Year Bonds (25 percent) and the 10-Year Bonds (32 percent).

Strength Statistics:
Fed Funds (23.1 percent) vs Fed Funds previous week (31.1 percent)
2-Year Bond (24.6 percent) vs 2-Year Bond previous week (19.2 percent)
5-Year Bond (24.7 percent) vs 5-Year Bond previous week (26.7 percent)
10-Year Bond (31.8 percent) vs 10-Year Bond previous week (39.6 percent)
Ultra 10-Year Bond (83.2 percent) vs Ultra 10-Year Bond previous week (68.8 percent)
US Treasury Bond (85.6 percent) vs US Treasury Bond previous week (83.3 percent)
Ultra US Treasury Bond (68.0 percent) vs Ultra US Treasury Bond previous week (69.7 percent)
SOFR 1-Month (61.1 percent) vs SOFR 1-Month previous week (58.2 percent)
SOFR 3-Months (22.3 percent) vs SOFR 3-Months previous week (36.4 percent)

Ultra 10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (44 percent) and the SOFR 1-Month (37 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 Fed Funds (-55.6 percent) leads the downside trend scores currently with the SOFR 3-Months (-20 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-55.6 percent) vs Fed Funds previous week (-50.4 percent)
2-Year Bond (11.0 percent) vs 2-Year Bond previous week (10.8 percent)
5-Year Bond (7.3 percent) vs 5-Year Bond previous week (13.6 percent)
10-Year Bond (4.5 percent) vs 10-Year Bond previous week (15.1 percent)
Ultra 10-Year Bond (43.7 percent) vs Ultra 10-Year Bond previous week (34.5 percent)
US Treasury Bond (4.6 percent) vs US Treasury Bond previous week (-5.0 percent)
Ultra US Treasury Bond (-11.0 percent) vs Ultra US Treasury Bond previous week (-5.8 percent)
SOFR 1-Month (37.3 percent) vs SOFR 1-Month previous week (49.8 percent)
SOFR 3-Months (-20.1 percent) vs SOFR 3-Months previous week (-13.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -231,181 contracts in the data reported through Tuesday. This was a weekly decrease of -56,451 contracts from the previous week which had a total of -174,730 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 23.1 percent. The commercials are Bullish with a score of 75.1 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.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.966.62.4
– Percent of Open Interest Shorts:18.856.71.5
– Net Position:-231,181212,86418,317
– Gross Longs:169,4951,422,16951,309
– Gross Shorts:400,6761,209,30532,992
– Long to Short Ratio:0.4 to 11.2 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.175.186.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-55.655.9-1.7

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -734,430 contracts in the data reported through Tuesday. This was a weekly reduction of -272,311 contracts from the previous week which had a total of -462,119 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 22.3 percent. The commercials are Bullish with a score of 77.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.658.90.3
– Percent of Open Interest Shorts:17.153.40.3
– Net Position:-734,430732,8741,556
– Gross Longs:1,560,4907,900,00045,620
– Gross Shorts:2,294,9207,167,12644,064
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.377.579.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.120.10.7

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -95,055 contracts in the data reported through Tuesday. This was a weekly gain of 16,688 contracts from the previous week which had a total of -111,743 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 61.1 percent. The commercials are Bearish with a score of 38.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.8 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.861.20.0
– Percent of Open Interest Shorts:26.754.40.0
– Net Position:-95,05595,078-23
– Gross Longs:275,903851,086171
– Gross Shorts:370,958756,008194
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):61.138.966.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:37.3-37.2-0.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,234,408 contracts in the data reported through Tuesday. This was a weekly rise of 55,279 contracts from the previous week which had a total of -1,289,687 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 24.6 percent. The commercials are Bullish with a score of 76.5 percent and the small traders (not shown in chart) are Bearish with a score of 43.6 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.075.84.9
– Percent of Open Interest Shorts:41.252.02.6
– Net Position:-1,234,4081,125,715108,693
– Gross Longs:707,4673,577,502230,853
– Gross Shorts:1,941,8752,451,787122,160
– Long to Short Ratio:0.4 to 11.5 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.676.543.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.0-10.2-10.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -2,157,242 contracts in the data reported through Tuesday. This was a weekly fall of -42,478 contracts from the previous week which had a total of -2,114,764 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 24.7 percent. The commercials are Bullish with a score of 75.3 percent and the small traders (not shown in chart) are Bullish with a score of 65.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.380.06.1
– Percent of Open Interest Shorts:36.352.84.2
– Net Position:-2,157,2422,019,604137,638
– Gross Longs:541,3515,943,599451,754
– Gross Shorts:2,698,5933,923,995314,116
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.775.365.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.3-6.8-8.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -877,853 contracts in the data reported through Tuesday. This was a weekly fall of -64,826 contracts from the previous week which had a total of -813,027 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 74.2 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.778.07.9
– Percent of Open Interest Shorts:24.163.96.6
– Net Position:-877,853806,96170,892
– Gross Longs:500,0974,461,711449,456
– Gross Shorts:1,377,9503,654,750378,564
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.874.263.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-0.5-11.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -100,029 contracts in the data reported through Tuesday. This was a weekly boost of 53,282 contracts from the previous week which had a total of -153,311 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 83.2 percent. The commercials are Bearish with a score of 37.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.078.08.6
– Percent of Open Interest Shorts:14.868.913.9
– Net Position:-100,029236,624-136,595
– Gross Longs:283,2462,017,361222,759
– Gross Shorts:383,2751,780,737359,354
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.237.70.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.7-19.9-68.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of 6,425 contracts in the data reported through Tuesday. This was a weekly boost of 6,517 contracts from the previous week which had a total of -92 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 85.6 percent. The commercials are Bearish-Extreme with a score of 1.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.6 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.371.614.2
– Percent of Open Interest Shorts:10.979.76.5
– Net Position:6,425-147,788141,363
– Gross Longs:207,0411,315,962261,044
– Gross Shorts:200,6161,463,750119,681
– Long to Short Ratio:1.0 to 10.9 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):85.61.482.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.6-10.716.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -275,188 contracts in the data reported through Tuesday. This was a weekly fall of -4,642 contracts from the previous week which had a total of -270,546 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 68.0 percent. The commercials are Bearish with a score of 39.3 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.882.48.7
– Percent of Open Interest Shorts:19.071.27.8
– Net Position:-275,188253,62421,564
– Gross Longs:153,4601,860,075197,124
– Gross Shorts:428,6481,606,451175,560
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.039.337.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.010.03.4

 

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.

Bonds COT Updates Financial News
08 Feb

COT Bonds Charts: Speculator Bets led by SOFR 1-Months, SOFR 3-Months & Ultra 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 February 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-Months, SOFR 3-Months & Ultra 10-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall 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.

Leading the gains for the bond markets was the SOFR 1-Month (104,956 contracts) with the SOFR 3-Months (47,235 contracts), the Ultra 10-Year Bonds (44,056 contracts) and the Ultra Treasury Bonds (4,382 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-128,603 contracts), the 5-Year Bonds (-67,934 contracts), the Fed Funds (-78,674 contracts), the US Treasury Bonds (-5,437 contracts) and with the 10-Year Bonds (-3,263 contracts) also registering lower bets on the week.

Overall in the bond market standings, speculator net positions continue to be bearish for all the bond markets we cover ranging from a small bearish position in the long US Treasury Bond (-13,604 contracts) to large bearish levels in the 2-Year Bonds (-1,347,602 contracts) and even larger bearish levels for the 5-Year Bonds (-2,158,980 contracts).

Bond Market Price Performances were led by the long US Treasury Bond

The bond market prices were mixed this week and were led by the US Treasury bond which was the highest mover on the week with a 0.47% increase. The 10-Year Note was also marginally higher by 0.14% while the 1-Month SOFR was up by 0.03% and followed by the 3-Month SOFR which saw an uptick of 0.02%.

On the downside, the 5-Year Bond fell by -0.03% while the Fed Funds was down by -0.04% and the 2-Year Bond was marginally lower by -0.16%.

Bonds Data:

Bonds Market Speculators Data Table
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 US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
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 US Treasury Bonds (79 percent) and the Ultra Treasury Bonds (70 percent) lead the bond markets this week. The Ultra 10-Year Bonds (60 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (14 percent) come in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 5-Year Bonds (25 percent) and the Fed Funds (28 percent).

Strength Statistics:
Fed Funds (28.3 percent) vs Fed Funds previous week (39.4 percent)
2-Year Bond (13.6 percent) vs 2-Year Bond previous week (26.2 percent)
5-Year Bond (24.6 percent) vs 5-Year Bond previous week (27.8 percent)
10-Year Bond (49.6 percent) vs 10-Year Bond previous week (50.0 percent)
Ultra 10-Year Bond (60.0 percent) vs Ultra 10-Year Bond previous week (48.1 percent)
US Treasury Bond (78.6 percent) vs US Treasury Bond previous week (80.5 percent)
Ultra US Treasury Bond (70.2 percent) vs Ultra US Treasury Bond previous week (68.6 percent)
SOFR 1-Month (59.7 percent) vs SOFR 1-Month previous week (41.4 percent)
SOFR 3-Months (32.0 percent) vs SOFR 3-Months previous week (29.6 percent)

SOFR 1-Month & Ultra 10-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (58 percent) and the Ultra 10-Year Bonds (28 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (9 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-64 percent) leads the downside trend scores currently with the the SOFR 3-Months (-26 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-63.8 percent) vs Fed Funds previous week (-55.1 percent)
2-Year Bond (1.5 percent) vs 2-Year Bond previous week (12.9 percent)
5-Year Bond (8.5 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (1.5 percent) vs 10-Year Bond previous week (-6.7 percent)
Ultra 10-Year Bond (27.8 percent) vs Ultra 10-Year Bond previous week (17.0 percent)
US Treasury Bond (-1.7 percent) vs US Treasury Bond previous week (13.4 percent)
Ultra US Treasury Bond (-13.9 percent) vs Ultra US Treasury Bond previous week (-8.7 percent)
SOFR 1-Month (57.5 percent) vs SOFR 1-Month previous week (41.4 percent)
SOFR 3-Months (-25.5 percent) vs SOFR 3-Months previous week (-21.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -194,703 contracts in the data reported through Tuesday. This was a weekly fall of -78,674 contracts from the previous week which had a total of -116,029 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 28.3 percent. The commercials are Bullish with a score of 69.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.365.82.7
– Percent of Open Interest Shorts:21.356.01.5
– Net Position:-194,703173,30321,400
– Gross Longs:181,6351,162,28247,582
– Gross Shorts:376,338988,97926,182
– Long to Short Ratio:0.5 to 11.2 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.369.590.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-63.864.1-1.4

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -546,807 contracts in the data reported through Tuesday. This was a weekly gain of 47,235 contracts from the previous week which had a total of -594,042 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 32.0 percent. The commercials are Bullish with a score of 67.9 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.758.20.3
– Percent of Open Interest Shorts:15.754.20.3
– Net Position:-546,807546,500307
– Gross Longs:1,616,5858,021,10940,586
– Gross Shorts:2,163,3927,474,60940,279
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.067.978.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.525.6-0.2

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -103,083 contracts in the data reported through Tuesday. This was a weekly gain of 104,956 contracts from the previous week which had a total of -208,039 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 59.7 percent. The commercials are Bearish with a score of 40.3 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.664.00.0
– Percent of Open Interest Shorts:27.155.50.0
– Net Position:-103,083103,205-122
– Gross Longs:226,426778,656120
– Gross Shorts:329,509675,451242
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.740.366.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:57.5-57.96.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,347,602 contracts in the data reported through Tuesday. This was a weekly lowering of -128,603 contracts from the previous week which had a total of -1,218,999 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 13.6 percent. The commercials are Bullish-Extreme with a score of 90.2 percent and the small traders (not shown in chart) are Bearish with a score of 39.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.375.35.1
– Percent of Open Interest Shorts:45.348.42.9
– Net Position:-1,347,6021,247,78099,822
– Gross Longs:755,9873,495,535234,959
– Gross Shorts:2,103,5892,247,755135,137
– Long to Short Ratio:0.4 to 11.6 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.690.239.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.51.2-12.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -2,158,980 contracts in the data reported through Tuesday. This was a weekly decrease of -67,934 contracts from the previous week which had a total of -2,091,046 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 24.6 percent. The commercials are Bullish with a score of 75.9 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.982.66.4
– Percent of Open Interest Shorts:39.253.14.5
– Net Position:-2,158,9802,030,958128,022
– Gross Longs:543,5005,693,498440,462
– Gross Shorts:2,702,4803,662,540312,440
– Long to Short Ratio:0.2 to 11.6 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.675.962.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.5-8.3-7.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -729,414 contracts in the data reported through Tuesday. This was a weekly lowering of -3,263 contracts from the previous week which had a total of -726,151 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 49.6 percent. The commercials are Bullish with a score of 54.2 percent and the small traders (not shown in chart) are Bullish with a score of 61.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.775.77.7
– Percent of Open Interest Shorts:26.063.66.5
– Net Position:-729,414664,99064,424
– Gross Longs:698,0684,160,322423,256
– Gross Shorts:1,427,4823,495,332358,832
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.654.261.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.50.9-6.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -185,818 contracts in the data reported through Tuesday. This was a weekly rise of 44,056 contracts from the previous week which had a total of -229,874 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 60.0 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

 

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.178.97.9
– Percent of Open Interest Shorts:18.267.212.5
– Net Position:-185,818306,416-120,598
– Gross Longs:291,0362,065,570207,872
– Gross Shorts:476,8541,759,154328,470
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.056.30.0
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:27.8-8.7-63.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -13,604 contracts in the data reported through Tuesday. This was a weekly decline of -5,437 contracts from the previous week which had a total of -8,167 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 78.6 percent. The commercials are Bearish-Extreme with a score of 19.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.074.413.8
– Percent of Open Interest Shorts:10.879.28.1
– Net Position:-13,604-83,62297,226
– Gross Longs:173,1941,285,239237,672
– Gross Shorts:186,7981,368,861140,446
– Long to Short Ratio:0.9 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.619.153.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.711.1-23.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -269,089 contracts in the data reported through Tuesday. This was a weekly boost of 4,382 contracts from the previous week which had a total of -273,471 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 Bullish with a score of 70.2 percent. The commercials are Bearish with a score of 44.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 16.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.883.68.7
– Percent of Open Interest Shorts:19.171.38.7
– Net Position:-269,089268,0151,074
– Gross Longs:149,3891,828,456191,098
– Gross Shorts:418,4781,560,441190,024
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.244.816.2
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.918.3-11.1

 

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.

Bonds COT Updates Financial News
01 Feb

COT Bonds Charts: Speculator Changes led by SOFR 1-Month & 5-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 January 27th 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 & 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall higher this week as six out of the nine bond markets we cover had higher positioning while the other three markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 1-Month (65,833 contracts) with the 5-Year Bonds (45,473 contracts), the US Treasury Bonds (14,903 contracts), the 2-Year Bonds (6,123 contracts), the Ultra 10-Year Bonds (5,408 contracts) and the SOFR 3-Months (1,559 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-70,511 contracts), the Fed Funds (-38,218 contracts), and with the Ultra Treasury Bonds (-14,649 contracts) also registering lower bets on the week.

5-Year Bonds lead Weekly Price Performance

The bond markets this week were led higher by the 5-Year Bonds which saw an edge higher by 0.21%, followed by the 2-Year Bonds, which inched up by 0.18%. The SOFR 1-Month was higher by 0.06%, followed by the SOFR 3-Months, which edged up by 0.04%.

The 10-Year Bonds were virtually unchanged at a -0.01% decline, followed by the Fed Funds which dipped by -0.03%. The US Treasury bond was the biggest loser on the week with a -0.91% shortfall.

Bonds Data:

Bonds Market Speculators Data Table
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 US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
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 US Treasury Bonds (81 percent) and the Ultra Treasury Bonds (69 percent) lead the bond markets this week. The 10-Year Bonds (50 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (26.2 percent), the 5-Year Bonds (28 percent) and the SOFR 3-Months (30 percent) come in at the lowest strength levels currently.

Strength Statistics:
Fed Funds (39.4 percent) vs Fed Funds previous week (44.8 percent)
2-Year Bond (26.2 percent) vs 2-Year Bond previous week (25.6 percent)
5-Year Bond (27.8 percent) vs 5-Year Bond previous week (25.7 percent)
10-Year Bond (50.0 percent) vs 10-Year Bond previous week (58.4 percent)
Ultra 10-Year Bond (48.1 percent) vs Ultra 10-Year Bond previous week (46.7 percent)
US Treasury Bond (80.5 percent) vs US Treasury Bond previous week (75.3 percent)
Ultra US Treasury Bond (68.6 percent) vs Ultra US Treasury Bond previous week (74.1 percent)
SOFR 1-Month (41.4 percent) vs SOFR 1-Month previous week (30.0 percent)
SOFR 3-Months (29.6 percent) vs SOFR 3-Months previous week (29.5 percent)

SOFR 1-Month & Ultra 10-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (41 percent) and the Ultra 10-Year Bonds (17 percent) lead the past six weeks trends for bonds. The US Treasury Bond (13 percent) and the 2-Year Bonds (13 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-55.1 percent), the SOFR 3-Months (-22 percent) and the Ultra Treasury Bonds (-9 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-55.1 percent) vs Fed Funds previous week (-55.2 percent)
2-Year Bond (12.9 percent) vs 2-Year Bond previous week (16.0 percent)
5-Year Bond (9.7 percent) vs 5-Year Bond previous week (12.2 percent)
10-Year Bond (-6.7 percent) vs 10-Year Bond previous week (3.7 percent)
Ultra 10-Year Bond (17.0 percent) vs Ultra 10-Year Bond previous week (31.0 percent)
US Treasury Bond (13.4 percent) vs US Treasury Bond previous week (6.0 percent)
Ultra US Treasury Bond (-8.7 percent) vs Ultra US Treasury Bond previous week (-8.6 percent)
SOFR 1-Month (41.4 percent) vs SOFR 1-Month previous week (19.3 percent)
SOFR 3-Months (-21.7 percent) vs SOFR 3-Months previous week (-15.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -116,029 contracts in the data reported through Tuesday. This was a weekly reduction of -38,218 contracts from the previous week which had a total of -77,811 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 with a score of 39.4 percent. The commercials are Bullish with a score of 58.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.761.72.2
– Percent of Open Interest Shorts:22.757.71.3
– Net Position:-116,02994,93321,096
– Gross Longs:416,3441,448,08651,172
– Gross Shorts:532,3731,353,15330,076
– Long to Short Ratio:0.8 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.458.490.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-55.154.210.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -594,042 contracts in the data reported through Tuesday. This was a weekly boost of 1,559 contracts from the previous week which had a total of -595,601 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 29.6 percent. The commercials are Bullish with a score of 70.3 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.057.30.3
– Percent of Open Interest Shorts:17.552.90.3
– Net Position:-594,042593,783259
– Gross Longs:1,746,3867,681,33741,889
– Gross Shorts:2,340,4287,087,55441,630
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.670.378.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.721.70.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -208,039 contracts in the data reported through Tuesday. This was a weekly gain of 65,833 contracts from the previous week which had a total of -273,872 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 41.4 percent. The commercials are Bullish with a score of 58.5 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.066.50.0
– Percent of Open Interest Shorts:32.853.70.0
– Net Position:-208,039208,128-89
– Gross Longs:325,8161,084,095158
– Gross Shorts:533,855875,967247
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.458.566.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:41.4-41.52.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,218,999 contracts in the data reported through Tuesday. This was a weekly gain of 6,123 contracts from the previous week which had a total of -1,225,122 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 26.2 percent. The commercials are Bullish with a score of 73.4 percent and the small traders (not shown in chart) are Bearish with a score of 49.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.674.25.4
– Percent of Open Interest Shorts:43.150.42.8
– Net Position:-1,218,9991,097,684121,315
– Gross Longs:766,6383,420,919248,233
– Gross Shorts:1,985,6372,323,235126,918
– Long to Short Ratio:0.4 to 11.5 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.273.449.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.9-14.2-2.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,091,046 contracts in the data reported through Tuesday. This was a weekly gain of 45,473 contracts from the previous week which had a total of -2,136,519 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 27.8 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.481.86.6
– Percent of Open Interest Shorts:39.353.14.4
– Net Position:-2,091,0461,946,525144,521
– Gross Longs:570,8215,546,181446,080
– Gross Shorts:2,661,8673,599,656301,559
– Long to Short Ratio:0.2 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.871.567.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.7-10.0-5.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -726,151 contracts in the data reported through Tuesday. This was a weekly decrease of -70,511 contracts from the previous week which had a total of -655,640 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 50.0 percent. The commercials are Bullish with a score of 52.2 percent and the small traders (not shown in chart) are Bullish with a score of 65.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.877.37.6
– Percent of Open Interest Shorts:24.565.96.3
– Net Position:-726,151650,76475,387
– Gross Longs:668,7464,400,390434,438
– Gross Shorts:1,394,8973,749,626359,051
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.052.265.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.717.8-23.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -229,874 contracts in the data reported through Tuesday. This was a weekly increase of 5,408 contracts from the previous week which had a total of -235,282 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 48.1 percent. The commercials are Bullish with a score of 66.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.8 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.479.58.1
– Percent of Open Interest Shorts:20.266.312.5
– Net Position:-229,874345,568-115,694
– Gross Longs:298,1012,080,438211,533
– Gross Shorts:527,9751,734,870327,227
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.166.81.8
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.00.1-58.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -8,167 contracts in the data reported through Tuesday. This was a weekly boost of 14,903 contracts from the previous week which had a total of -23,070 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 80.5 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish with a score of 73.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.375.513.8
– Percent of Open Interest Shorts:9.882.16.8
– Net Position:-8,167-119,909128,076
– Gross Longs:171,2381,385,781252,582
– Gross Shorts:179,4051,505,690124,506
– Long to Short Ratio:1.0 to 10.9 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.59.173.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.4-11.41.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -273,471 contracts in the data reported through Tuesday. This was a weekly decrease of -14,649 contracts from the previous week which had a total of -258,822 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 68.6 percent. The commercials are Bearish with a score of 44.4 percent and the small traders (not shown in chart) are Bearish with a score of 21.8 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 StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.683.78.7
– Percent of Open Interest Shorts:19.371.48.4
– Net Position:-273,471266,9806,491
– Gross Longs:143,9231,812,928188,177
– Gross Shorts:417,3941,545,948181,686
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.644.421.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.716.3-20.0

 

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.

Bonds COT Updates Financial News
25 Jan

COT Bonds Charts: Speculator Bets led by 10-Year & 5-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 January 20th 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 10-Year Bonds & 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were slightly lower overall this week as four out of the nine bond markets we cover had higher positioning while the other five markets had lower speculator contracts.

Leading the gains for the bond markets was the 10-Year Bonds (214,865 contracts) with the 5-Year Bonds (132,601 contracts), the 2-Year Bonds (79,758 contracts) and the Ultra 10-Year Bonds (13,920 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-137,251 contracts), the SOFR 3-Months (-70,989 contracts), the US Treasury Bonds (-36,905 contracts), the Ultra Treasury Bonds (-23,725 contracts) and with the SOFR 1-Month (-689 contracts) also registering lower bets on the week.

Bond Market Price were relatively unchanged on the week

The bond market price changes this week were relatively muted. The one-month SOFR and the three-month SOFR markets were a bit higher over the past 5 days at 0.06% and 0.04% gains, respectively. The two-year bond also edged up by 0.04%, while the Fed Funds was virtually unchanged.

The five-year bond edged lower at -0.16, followed by the 10-year note, which saw a minor dip of -0.36, and the long US Treasury bond was lower by -0.43. Over the past 30 days, the bond markets have not seen much movement, with no market seeing a move higher or lower by over one percent. Over the past 90 days, the Fed Funds is up by 1.80% while on the downside, the 10-year note is lower by -1.23% and the long US Treasury bond is lower by -2.47%.

Bonds Data:

Bonds Market Speculators Data Table
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 US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
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 US Treasury Bonds (75 percent) and the Ultra Treasury Bonds (74 percent) lead the bond markets this week. The 10-Year Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (26 percent), the 5-Year Bond (26 percent), the SOFR 1-Month (30 percent) and the SOFR 3-Months (30 percent) come in at the lowest strength levels currently.

Strength Statistics:
Fed Funds (44.8 percent) vs Fed Funds previous week (64.3 percent)
2-Year Bond (25.6 percent) vs 2-Year Bond previous week (17.8 percent)
5-Year Bond (25.7 percent) vs 5-Year Bond previous week (19.4 percent)
10-Year Bond (58.4 percent) vs 10-Year Bond previous week (32.7 percent)
Ultra 10-Year Bond (46.7 percent) vs Ultra 10-Year Bond previous week (42.9 percent)
US Treasury Bond (75.3 percent) vs US Treasury Bond previous week (88.2 percent)
Ultra US Treasury Bond (74.1 percent) vs Ultra US Treasury Bond previous week (83.0 percent)
SOFR 1-Month (30.0 percent) vs SOFR 1-Month previous week (30.1 percent)
SOFR 3-Months (29.5 percent) vs SOFR 3-Months previous week (33.2 percent)

Ultra 10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (31 percent) and the SOFR 1-Month (19 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (16 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-55 percent) leads the downside trend scores currently with the SOFR 3-Months (-15 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-55.2 percent) vs Fed Funds previous week (-31.9 percent)
2-Year Bond (16.0 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (12.2 percent) vs 5-Year Bond previous week (8.4 percent)
10-Year Bond (3.7 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (31.0 percent) vs Ultra 10-Year Bond previous week (34.5 percent)
US Treasury Bond (6.0 percent) vs US Treasury Bond previous week (15.0 percent)
Ultra US Treasury Bond (-8.6 percent) vs Ultra US Treasury Bond previous week (11.5 percent)
SOFR 1-Month (19.3 percent) vs SOFR 1-Month previous week (12.0 percent)
SOFR 3-Months (-15.4 percent) vs SOFR 3-Months previous week (-10.6 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -77,811 contracts in the data reported through Tuesday. This was a weekly reduction of -137,251 contracts from the previous week which had a total of 59,440 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 44.8 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.762.22.4
– Percent of Open Interest Shorts:20.359.61.5
– Net Position:-77,81157,42320,388
– Gross Longs:367,7131,368,00953,049
– Gross Shorts:445,5241,310,58632,661
– Long to Short Ratio:0.8 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.853.089.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-55.253.021.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -595,601 contracts in the data reported through Tuesday. This was a weekly decrease of -70,989 contracts from the previous week which had a total of -524,612 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 29.5 percent. The commercials are Bullish with a score of 70.4 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.456.80.3
– Percent of Open Interest Shorts:17.952.20.3
– Net Position:-595,601596,564-963
– Gross Longs:1,736,8077,384,52033,194
– Gross Shorts:2,332,4086,787,95634,157
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.570.477.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.415.5-0.2

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -273,872 contracts in the data reported through Tuesday. This was a weekly lowering of -689 contracts from the previous week which had a total of -273,183 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 30.0 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.369.60.0
– Percent of Open Interest Shorts:34.351.70.0
– Net Position:-273,872273,962-90
– Gross Longs:249,4721,063,233174
– Gross Shorts:523,344789,271264
– Long to Short Ratio:0.5 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.070.066.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.3-19.52.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,225,122 contracts in the data reported through Tuesday. This was a weekly boost of 79,758 contracts from the previous week which had a total of -1,304,880 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 25.6 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.474.15.4
– Percent of Open Interest Shorts:43.249.83.0
– Net Position:-1,225,1221,115,768109,354
– Gross Longs:752,0843,395,299245,486
– Gross Shorts:1,977,2062,279,531136,132
– Long to Short Ratio:0.4 to 11.5 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.675.443.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.0-18.60.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -2,136,519 contracts in the data reported through Tuesday. This was a weekly advance of 132,601 contracts from the previous week which had a total of -2,269,120 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 25.7 percent. The commercials are Bullish with a score of 73.8 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.981.96.5
– Percent of Open Interest Shorts:40.652.44.4
– Net Position:-2,136,5191,990,497146,022
– Gross Longs:603,9755,528,980440,705
– Gross Shorts:2,740,4943,538,483294,683
– Long to Short Ratio:0.2 to 11.6 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.773.868.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.2-13.5-0.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -655,640 contracts in the data reported through Tuesday. This was a weekly advance of 214,865 contracts from the previous week which had a total of -870,505 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 58.4 percent. The commercials are Bearish with a score of 41.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.073.97.7
– Percent of Open Interest Shorts:26.463.96.2
– Net Position:-655,640573,09682,544
– Gross Longs:861,2224,248,520441,892
– Gross Shorts:1,516,8623,675,424359,348
– Long to Short Ratio:0.6 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.441.367.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.73.0-17.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -235,282 contracts in the data reported through Tuesday. This was a weekly boost of 13,920 contracts from the previous week which had a total of -249,202 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 46.7 percent. The commercials are Bullish with a score of 68.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.078.68.5
– Percent of Open Interest Shorts:21.164.813.1
– Net Position:-235,282352,921-117,639
– Gross Longs:308,8302,021,438219,966
– Gross Shorts:544,1121,668,517337,605
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.768.70.0
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:31.0-15.0-54.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -23,070 contracts in the data reported through Tuesday. This was a weekly lowering of -36,905 contracts from the previous week which had a total of 13,835 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 75.3 percent. The commercials are Bearish-Extreme with a score of 16.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.376.113.5
– Percent of Open Interest Shorts:10.681.37.1
– Net Position:-23,070-93,965117,035
– Gross Longs:170,5631,395,383247,802
– Gross Shorts:193,6331,489,348130,767
– Long to Short Ratio:0.9 to 10.9 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.316.266.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.0-0.6-9.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -258,822 contracts in the data reported through Tuesday. This was a weekly reduction of -23,725 contracts from the previous week which had a total of -235,097 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 74.1 percent. The commercials are Bearish with a score of 39.1 percent and the small traders (not shown in chart) are Bearish with a score of 20.8 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.983.38.7
– Percent of Open Interest Shorts:19.071.58.4
– Net Position:-258,822253,2695,553
– Gross Longs:149,1361,791,990187,039
– Gross Shorts:407,9581,538,721181,486
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.139.120.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.616.4-20.7

 

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.

Bonds COT Updates Financial News
18 Jan

COT Bonds Charts: Speculator Bets led by 10-Year Bonds & 5-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 January 13th 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 10-Year Bonds & 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall higher this week as seven out of the nine bond markets we cover had higher positioning while the other two markets had lower speculator contracts.

Leading the gains for the bond markets was the 10-Year Bonds (45,047 contracts) with the 5-Year Bonds (43,633 contracts), the 2-Year Bonds (41,774 contracts), the SOFR 1-Month (36,024 contracts), the US Treasury Bonds (20,667 contracts), the Ultra 10-Year Bonds (12,726 contracts) and the Ultra Treasury Bonds (10,650 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-179,227 contracts) and the Fed Funds (-100,918 contracts) also registering lower bets on the week.

Bond Price Performance led by small gains in SOFRs

In the bond markets price performance changes, the five-day percent changes were led by the three-month and one-month Secured Overnight Financing Rates (SOFR), which rose by 0.13% and 0.07%, respectively. The Fed Funds (0.02%) were virtually unchanged on the week, while the 2-Year Bond saw a minuscule fall by -0.04%.

The US Treasury Bond was down by -0.14%, the 5-Year Bond fell by -0.22%, and the 10-Year Note was lower by -0.36%.

Bonds Data:

Bonds Market Speculators Data Table
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 US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
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 US Treasury Bonds (88 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The Fed Funds (64 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (17.8 percent) and the 5-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (64.3 percent) vs Fed Funds previous week (78.6 percent)
2-Year Bond (17.8 percent) vs 2-Year Bond previous week (13.7 percent)
5-Year Bond (19.4 percent) vs 5-Year Bond previous week (17.4 percent)
10-Year Bond (32.7 percent) vs 10-Year Bond previous week (27.3 percent)
Ultra 10-Year Bond (42.9 percent) vs Ultra 10-Year Bond previous week (39.5 percent)
US Treasury Bond (88.2 percent) vs US Treasury Bond previous week (81.0 percent)
Ultra US Treasury Bond (83.0 percent) vs Ultra US Treasury Bond previous week (79.0 percent)
SOFR 1-Month (30.1 percent) vs SOFR 1-Month previous week (23.8 percent)
SOFR 3-Months (33.2 percent) vs SOFR 3-Months previous week (42.4 percent)

Ultra 10-Year Bonds & US Treasury Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (34 percent) and the US Treasury Bonds (15 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (12 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-31.9 percent), the 10-Year Bonds (-16 percent) and the SOFR 3-Months (-11 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-31.9 percent) vs Fed Funds previous week (-8.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (-7.8 percent)
5-Year Bond (8.4 percent) vs 5-Year Bond previous week (-1.0 percent)
10-Year Bond (-16.0 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (34.5 percent) vs Ultra 10-Year Bond previous week (6.1 percent)
US Treasury Bond (15.0 percent) vs US Treasury Bond previous week (8.6 percent)
Ultra US Treasury Bond (11.5 percent) vs Ultra US Treasury Bond previous week (14.2 percent)
SOFR 1-Month (12.0 percent) vs SOFR 1-Month previous week (0.5 percent)
SOFR 3-Months (-10.6 percent) vs SOFR 3-Months previous week (4.9 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of 59,440 contracts in the data reported through Tuesday. This was a weekly decrease of -100,918 contracts from the previous week which had a total of 160,358 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 64.3 percent. The commercials are Bearish with a score of 33.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.059.02.6
– Percent of Open Interest Shorts:20.262.91.5
– Net Position:59,440-83,08823,648
– Gross Longs:494,2041,268,84855,093
– Gross Shorts:434,7641,351,93631,445
– Long to Short Ratio:1.1 to 10.9 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.333.193.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.929.622.1

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -524,612 contracts in the data reported through Tuesday. This was a weekly reduction of -179,227 contracts from the previous week which had a total of -345,385 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 33.2 percent. The commercials are Bullish with a score of 66.6 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 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 StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.256.30.2
– Percent of Open Interest Shorts:18.352.20.1
– Net Position:-524,612522,5622,050
– Gross Longs:1,807,4497,187,93221,089
– Gross Shorts:2,332,0616,665,37019,039
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.266.679.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.610.51.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -273,183 contracts in the data reported through Tuesday. This was a weekly lift of 36,024 contracts from the previous week which had a total of -309,207 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 30.1 percent. The commercials are Bullish with a score of 69.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.5 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.471.30.0
– Percent of Open Interest Shorts:36.252.50.0
– Net Position:-273,183272,850333
– Gross Longs:251,9441,033,988546
– Gross Shorts:525,127761,138213
– Long to Short Ratio:0.5 to 11.4 to 12.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.169.867.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.0-12.00.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,304,880 contracts in the data reported through Tuesday. This was a weekly increase of 41,774 contracts from the previous week which had a total of -1,346,654 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 17.8 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish with a score of 52.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.876.15.5
– Percent of Open Interest Shorts:44.049.82.6
– Net Position:-1,304,8801,176,303128,577
– Gross Longs:659,9423,402,936245,623
– Gross Shorts:1,964,8222,226,633117,046
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.882.252.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.0-1.87.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,269,120 contracts in the data reported through Tuesday. This was a weekly rise of 43,633 contracts from the previous week which had a total of -2,312,753 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 19.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.36.6
– Percent of Open Interest Shorts:41.451.74.5
– Net Position:-2,269,1202,126,524142,596
– Gross Longs:515,4615,601,486445,017
– Gross Shorts:2,784,5813,474,962302,421
– Long to Short Ratio:0.2 to 11.6 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.480.967.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.4-8.4-5.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -870,505 contracts in the data reported through Tuesday. This was a weekly gain of 45,047 contracts from the previous week which had a total of -915,552 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 32.7 percent. The commercials are Bullish with a score of 71.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.576.87.6
– Percent of Open Interest Shorts:27.763.06.1
– Net Position:-870,505785,65084,855
– Gross Longs:713,2724,383,326432,679
– Gross Shorts:1,583,7773,597,676347,824
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.771.268.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.026.5-18.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -249,202 contracts in the data reported through Tuesday. This was a weekly boost of 12,726 contracts from the previous week which had a total of -261,928 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 42.9 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.679.58.9
– Percent of Open Interest Shorts:20.366.712.1
– Net Position:-249,202330,563-81,361
– Gross Longs:275,3382,057,956231,470
– Gross Shorts:524,5401,727,393312,831
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.962.831.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:34.5-27.1-25.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of 13,835 contracts in the data reported through Tuesday. This was a weekly increase of 20,667 contracts from the previous week which had a total of -6,832 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 88.2 percent. The commercials are Bearish-Extreme with a score of 8.1 percent and the small traders (not shown in chart) are Bullish with a score of 61.8 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.475.513.3
– Percent of Open Interest Shorts:8.682.37.3
– Net Position:13,835-123,423109,588
– Gross Longs:170,4101,370,974241,908
– Gross Shorts:156,5751,494,397132,320
– Long to Short Ratio:1.1 to 10.9 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):88.28.161.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.0-1.2-25.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -235,097 contracts in the data reported through Tuesday. This was a weekly boost of 10,650 contracts from the previous week which had a total of -245,747 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 with a score of 29.7 percent and the small traders (not shown in chart) are Bearish with a score of 21.8 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 StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.68.6
– Percent of Open Interest Shorts:18.172.78.3
– Net Position:-235,097228,6016,496
– Gross Longs:146,9411,761,337182,270
– Gross Shorts:382,0381,532,736175,774
– Long to Short Ratio:0.4 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.029.721.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.5-5.8-16.0

 

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.

Bonds COT Updates Financial News
21 Sep

COT Bonds Charts: Weekly Speculator Bets led higher by SOFR 3-Months & 5-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison

Open Interest Strength Levels vs Past 3-Years (Where are Traders putting positions in?)

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 September 16th 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 3-Months & 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall higher this week as six out of the nine bond markets we cover had higher positioning while the other three markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 3-Months (167,521 contracts) with the 5-Year Bonds (117,989 contracts), the Fed Funds (87,943 contracts), the 10-Year Bonds (38,673 contracts), the Ultra 10-Year Bonds (8,102 contracts) and the US Treasury Bonds (4,470 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were  the SOFR 1-Month (-88,017 contracts), the 2-Year Bonds (-28,509 contracts) and the Ultra Treasury Bonds (-14,274 contracts) also registering lower bets on the week.

Fed Funds leads Bonds Price Changes

Leading the bond market’s price performance this week was the Fed Funds, with a modest gain of 0.29%. The Fed Funds have been up by 0.28% over the past 30 days, and are higher by 1.34% over the past 90 days.

Next up, we have the 1-Month Secured Overnight Financing Rate, which rose by 0.25% followed by the 3-Month Secured Overnight Financing Rate, which was a tick higher by 0.09%. Both of these markets are up by over 1% in the last 90 days, respectively.

The 2-Year Bonds were virtually unchanged, with a 0.04% gain on the week. The 2-year bond has been higher by 0.75% over the past 90 days.

The 5-Year Bonds were slightly lower, with a -0.15% decline on the week. However, the 5-Year Bonds have increased by over 2% in the past 90 days. The 10-Year Bonds were lower by -0.39%. The 10-Year Bonds are up by 1% over the past 30 days, and higher by over 3% in the past 90 days.

Finally, the U.S. Treasury Bond was lower by -1.03% over the past week. However, the U.S. Treasury Bond has been higher by 1.54% in the past 30 days, and has advanced by 3.22% in the past 90 days.

Bonds Data:

Bonds Market Speculators Data Table
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 Ultra Treasury Bonds & SOFR 3-Months

Bonds Market Strength Index Comparison
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 (72 percent) and the SOFR 3-Months (55 percent) lead the bond markets this week. The US Treasury Bonds (51 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 1-Month (0 percent), the 2-Year Bonds (7 percent) and the 5-Year Bonds (11 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (42.9 percent) vs Fed Funds previous week (29.1 percent)
2-Year Bond (7.0 percent) vs 2-Year Bond previous week (9.4 percent)
5-Year Bond (10.9 percent) vs 5-Year Bond previous week (5.7 percent)
10-Year Bond (36.2 percent) vs 10-Year Bond previous week (31.9 percent)
Ultra 10-Year Bond (38.2 percent) vs Ultra 10-Year Bond previous week (36.0 percent)
US Treasury Bond (50.6 percent) vs US Treasury Bond previous week (49.1 percent)
Ultra US Treasury Bond (72.4 percent) vs Ultra US Treasury Bond previous week (77.8 percent)
SOFR 1-Month (0.0 percent) vs SOFR 1-Month previous week (20.7 percent)
SOFR 3-Months (55.2 percent) vs SOFR 3-Months previous week (46.5 percent)

Ultra 10-Year Bonds & SOFR 3-Months top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (25 percent) and the SOFR 3-Months (18 percent) lead the past six weeks trends for bonds. The Fed Funds (17 percent) are the next highest positive movers in the latest trends data.

The SOFR 1-Month (-64 percent) leads the downside trend scores currently with the Ultra US Treasury Bond (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (16.8 percent) vs Fed Funds previous week (-36.0 percent)
2-Year Bond (-6.6 percent) vs 2-Year Bond previous week (-14.6 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (-1.9 percent)
10-Year Bond (15.7 percent) vs 10-Year Bond previous week (4.3 percent)
Ultra 10-Year Bond (25.0 percent) vs Ultra 10-Year Bond previous week (19.4 percent)
US Treasury Bond (5.7 percent) vs US Treasury Bond previous week (4.2 percent)
Ultra US Treasury Bond (-11.6 percent) vs Ultra US Treasury Bond previous week (-7.6 percent)
SOFR 1-Month (-64.0 percent) vs SOFR 1-Month previous week (-14.4 percent)
SOFR 3-Months (17.7 percent) vs SOFR 3-Months previous week (12.0 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -119,513 contracts in the data reported through Tuesday. This was a weekly advance of 87,943 contracts from the previous week which had a total of -207,456 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 42.9 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.263.61.9
– Percent of Open Interest Shorts:19.059.41.4
– Net Position:-119,513107,07112,442
– Gross Longs:359,3231,606,50347,927
– Gross Shorts:478,8361,499,43235,485
– Long to Short Ratio:0.8 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.954.678.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.8-17.83.4

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -98,483 contracts in the data reported through Tuesday. This was a weekly gain of 167,521 contracts from the previous week which had a total of -266,004 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 55.2 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.455.40.3
– Percent of Open Interest Shorts:15.254.70.3
– Net Position:-98,48397,806677
– Gross Longs:1,999,5867,670,13135,703
– Gross Shorts:2,098,0697,572,32535,026
– Long to Short Ratio:1.0 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.244.678.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.7-18.911.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week recorded a net position of -297,794 contracts in the data reported through Tuesday. This was a weekly fall of -88,017 contracts from the previous week which had a total of -209,777 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 66.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.771.30.0
– Percent of Open Interest Shorts:29.653.40.0
– Net Position:-297,794297,7931
– Gross Longs:193,2271,182,295273
– Gross Shorts:491,021884,502272
– Long to Short Ratio:0.4 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.066.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-64.064.2-2.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -1,403,470 contracts in the data reported through Tuesday. This was a weekly reduction of -28,509 contracts from the previous week which had a total of -1,374,961 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 7.0 percent. The commercials are Bullish-Extreme with a score of 90.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.578.55.7
– Percent of Open Interest Shorts:43.451.02.3
– Net Position:-1,403,4701,248,246155,224
– Gross Longs:569,1433,564,142258,784
– Gross Shorts:1,972,6132,315,896103,560
– Long to Short Ratio:0.3 to 11.5 to 12.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.090.878.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.65.96.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -2,436,774 contracts in the data reported through Tuesday. This was a weekly rise of 117,989 contracts from the previous week which had a total of -2,554,763 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 10.9 percent. The commercials are Bullish-Extreme with a score of 86.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.86.8
– Percent of Open Interest Shorts:43.850.73.8
– Net Position:-2,436,7742,234,545202,229
– Gross Longs:519,3775,660,026458,365
– Gross Shorts:2,956,1513,425,481256,136
– Long to Short Ratio:0.2 to 11.7 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.986.887.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-4.6-2.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -819,299 contracts in the data reported through Tuesday. This was a weekly rise of 38,673 contracts from the previous week which had a total of -857,972 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 36.2 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.575.58.9
– Percent of Open Interest Shorts:28.663.46.0
– Net Position:-819,299659,945159,354
– Gross Longs:728,7674,088,798481,431
– Gross Shorts:1,548,0663,428,853322,077
– Long to Short Ratio:0.5 to 11.2 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.253.593.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.7-25.814.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -266,822 contracts in the data reported through Tuesday. This was a weekly gain of 8,102 contracts from the previous week which had a total of -274,924 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 38.2 percent. The commercials are Bullish with a score of 63.4 percent and the small traders (not shown in chart) are Bearish with a score of 46.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.575.39.6
– Percent of Open Interest Shorts:25.761.312.4
– Net Position:-266,822332,797-65,975
– Gross Longs:345,3101,791,967228,464
– Gross Shorts:612,1321,459,170294,439
– Long to Short Ratio:0.6 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.263.446.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.0-20.8-14.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -94,138 contracts in the data reported through Tuesday. This was a weekly gain of 4,470 contracts from the previous week which had a total of -98,608 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 50.6 percent. The commercials are Bearish with a score of 26.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.377.014.1
– Percent of Open Interest Shorts:13.479.26.7
– Net Position:-94,138-41,776135,914
– Gross Longs:151,5791,412,245258,901
– Gross Shorts:245,7171,454,021122,987
– Long to Short Ratio:0.6 to 11.0 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.626.8100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.7-12.622.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -263,219 contracts in the data reported through Tuesday. This was a weekly reduction of -14,274 contracts from the previous week which had a total of -248,945 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 72.4 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.882.39.2
– Percent of Open Interest Shorts:20.069.29.2
– Net Position:-263,219262,589630
– Gross Longs:135,4681,645,379183,916
– Gross Shorts:398,6871,382,790183,286
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.442.715.8
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.611.21.5

 

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.

Bonds COT Updates Financial News
13 Sep

COT Bonds Charts: Speculator Bets led by 5-Year & Ultra 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 September 9th 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 5-Year & Ultra 10-Year Bonds

Bonds Market Net Speculators Positions
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 5-Year Bonds (127,224 contracts) with the Ultra 10-Year Bonds (59,952 contracts), the SOFR 3-Months (59,011 contracts), the 10-Year Bonds (10,386 contracts) and the Fed Funds (8,418 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-78,878 contracts), the SOFR 1-Month (-72,136 contracts), the US Treasury Bonds (-21,340 contracts), and the Ultra Treasury Bonds (-14,274 contracts) also registering lower bets on the week.

US Treasury Bond leads Price Performance

The bond market price performance this week was led by the long US Treasury Bond with a gain of 1.56% on the week. The US Treasury Bond has been up by 3.50% over the last 30 days and higher by 3.10% over the last 90 days.

The Fed Funds increased by 0.29% for the week. The 1-Month Secured Overnight Financing Rate was up by a quarter of a percent, followed by the 10-Year Note, which rose by 0.23% on the week. The 10-year is higher over 2% in the last 30 days, and for the last 90 days, the 10-year has risen by 2.62%.

The 3-Month Secured Overnight Financing Rate and the 2-Year Bond were virtually unchanged, as well as the 5-Year Bond, which saw a minuscule dip of -0.05%.

Bonds Data:

Bonds Market Speculators Data Table
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 Ultra Treasury Bonds

Bonds Market Strength Index Comparison
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 (72 percent) lead the bond markets this week.

On the downside, the 5-Year Bond (6 percent), the 2-Year Bonds (9 percent) and the SOFR 1-Month (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (29.1 percent) vs Fed Funds previous week (27.8 percent)
2-Year Bond (9.4 percent) vs 2-Year Bond previous week (16.1 percent)
5-Year Bond (5.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (31.3 percent) vs 10-Year Bond previous week (30.1 percent)
Ultra 10-Year Bond (35.1 percent) vs Ultra 10-Year Bond previous week (19.3 percent)
US Treasury Bond (49.1 percent) vs US Treasury Bond previous week (56.5 percent)
Ultra US Treasury Bond (72.4 percent) vs Ultra US Treasury Bond previous week (77.8 percent)
SOFR 1-Month (16.8 percent) vs SOFR 1-Month previous week (34.6 percent)
SOFR 3-Months (46.5 percent) vs SOFR 3-Months previous week (43.5 percent)

Ultra 10-Year Bonds & SOFR 3-Months top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (19 percent) and the SOFR 3-Months (12 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (4 percent) and the 10-Year Bond (4 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-36 percent) leads the downside trend scores currently with the 2-Year Bonds (-15 percent), the SOFR 1-Month (-15 percent) and the Ultra Treasury Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-36.0 percent) vs Fed Funds previous week (-42.3 percent)
2-Year Bond (-14.6 percent) vs 2-Year Bond previous week (-4.0 percent)
5-Year Bond (-1.9 percent) vs 5-Year Bond previous week (-9.5 percent)
10-Year Bond (4.2 percent) vs 10-Year Bond previous week (-13.0 percent)
Ultra 10-Year Bond (19.0 percent) vs Ultra 10-Year Bond previous week (15.4 percent)
US Treasury Bond (4.2 percent) vs US Treasury Bond previous week (2.0 percent)
Ultra US Treasury Bond (-11.6 percent) vs Ultra US Treasury Bond previous week (-7.6 percent)
SOFR 1-Month (-15.1 percent) vs SOFR 1-Month previous week (6.4 percent)
SOFR 3-Months (12.0 percent) vs SOFR 3-Months previous week (8.0 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -207,456 contracts in the data reported through Tuesday. This was a weekly increase of 8,418 contracts from the previous week which had a total of -215,874 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 29.1 percent. The commercials are Bullish with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 64.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.669.81.9
– Percent of Open Interest Shorts:19.860.71.8
– Net Position:-207,456205,8101,646
– Gross Longs:241,0311,579,71042,737
– Gross Shorts:448,4871,373,90041,091
– Long to Short Ratio:0.5 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.170.664.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-36.040.7-29.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -266,004 contracts in the data reported through Tuesday. This was a weekly gain of 59,011 contracts from the previous week which had a total of -325,015 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 46.5 percent. The commercials are Bullish with a score of 52.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.355.40.3
– Percent of Open Interest Shorts:16.353.50.2
– Net Position:-266,004255,76210,242
– Gross Longs:1,927,6287,452,20441,362
– Gross Shorts:2,193,6327,196,44231,120
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.552.883.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.0-13.211.7

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -209,777 contracts in the data reported through Tuesday. This was a weekly decline of -72,136 contracts from the previous week which had a total of -137,641 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 82.9 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.768.30.1
– Percent of Open Interest Shorts:27.154.90.0
– Net Position:-209,777209,228549
– Gross Longs:213,0101,065,129958
– Gross Shorts:422,787855,901409
– Long to Short Ratio:0.5 to 11.2 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.882.968.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.115.7-5.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,374,961 contracts in the data reported through Tuesday. This was a weekly reduction of -78,878 contracts from the previous week which had a total of -1,296,083 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 9.4 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish with a score of 76.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.178.85.5
– Percent of Open Interest Shorts:42.451.82.3
– Net Position:-1,374,9611,225,975148,986
– Gross Longs:549,0723,577,509251,198
– Gross Shorts:1,924,0332,351,534102,212
– Long to Short Ratio:0.3 to 11.5 to 12.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.488.476.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.619.4-3.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -2,554,763 contracts in the data reported through Tuesday. This was a weekly rise of 127,224 contracts from the previous week which had a total of -2,681,987 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 5.7 percent. The commercials are Bullish-Extreme with a score of 91.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.784.27.2
– Percent of Open Interest Shorts:44.350.13.6
– Net Position:-2,554,7632,315,862238,901
– Gross Longs:455,1525,716,348486,457
– Gross Shorts:3,009,9153,400,486247,556
– Long to Short Ratio:0.2 to 11.7 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.791.097.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-1.719.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -857,972 contracts in the data reported through Tuesday. This was a weekly rise of 10,386 contracts from the previous week which had a total of -868,358 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 31.3 percent. The commercials are Bullish with a score of 61.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.977.48.9
– Percent of Open Interest Shorts:28.263.86.3
– Net Position:-857,972719,102138,870
– Gross Longs:627,2894,079,093471,296
– Gross Shorts:1,485,2613,359,991332,426
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.361.886.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.2-11.714.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -274,924 contracts in the data reported through Tuesday. This was a weekly advance of 59,952 contracts from the previous week which had a total of -334,876 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 35.1 percent. The commercials are Bullish with a score of 62.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.574.710.0
– Percent of Open Interest Shorts:26.160.912.3
– Net Position:-274,924329,264-54,340
– Gross Longs:344,1781,775,423237,817
– Gross Shorts:619,1021,446,159292,157
– Long to Short Ratio:0.6 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.162.460.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.0-23.313.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -98,608 contracts in the data reported through Tuesday. This was a weekly lowering of -21,340 contracts from the previous week which had a total of -77,268 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 49.1 percent. The commercials are Bearish with a score of 29.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.776.413.8
– Percent of Open Interest Shorts:14.078.26.7
– Net Position:-98,608-32,796131,404
– Gross Longs:159,9341,409,130254,567
– Gross Shorts:258,5421,441,926123,163
– Long to Short Ratio:0.6 to 11.0 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.129.4100.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.2-12.927.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -263,219 contracts in the data reported through Tuesday. This was a weekly lowering of -14,274 contracts from the previous week which had a total of -248,945 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 72.4 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.882.39.2
– Percent of Open Interest Shorts:20.069.29.2
– Net Position:-263,219262,589630
– Gross Longs:135,4681,645,379183,916
– Gross Shorts:398,6871,382,790183,286
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.442.715.8
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.611.21.5

 

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.

Bonds COT Updates Financial News
07 Sep

COT Bonds Charts: Speculator Bets led by Fed Funds & 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 September 2nd 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 Fed Funds & 10-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall lower this week as just two out of the nine bond markets we cover had higher positioning while the other seven markets had lower speculator contracts.

Leading the gains for the bond markets was the Fed Funds (177,949 contracts) with the 10-Year Bonds (15,471 contracts) also showing a positive week.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-218,016 contracts), the SOFR 1-Month (-113,143 contracts), the US Treasury Bonds (-41,255 contracts), the SOFR 3-Months (-40,153 contracts), the 2-Year Bonds (-33,001 contracts), the Ultra Treasury Bonds (-14,274 contracts) and with the Ultra 10-Year Bonds (-6,205 contracts) also registering lower bets on the week.

U.S. Treasury Bond leads Bond Price Performance this week

Leading the bond market’s price changes this week were the longer bonds, as the long U.S. Treasury Bond rose by 1.54% on the week. This bond has seen a 3.11% gain over the last 30 days.

Next, the 10-Year Note was higher by 0.5% on the week. The 10-Year Note has also been up by 2.39% over the last 30 days and is higher by 1.24% over the last 90 days.

The 5-Year Bond was up by 0.25% over the last five days, has been up by 1.51% over the last 30 days, and is up by almost 1% over the last 90 days.

The Fed Funds Futures price was up by 0.24% this week, followed by the 1-Month Secured Overnight Financing Rate, which was up by 0.21% while the 3-Month Secured Overnight Financing Rate was up by just 0.12%.

The 2-Year Bond was virtually unchanged this week. The 2-Year Bond has been up by 0.51% over the last 30 days and is virtually unchanged over the last 90 days.

Bonds Data:

Bonds Market Speculators Data Table
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 Ultra Treasury Bonds & US Treasury Bonds

Bonds Market Strength Index Comparison
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 (72 percent) and the US Treasury Bonds (56 percent) lead the bond markets this week.

On the downside, the 5-Year Bond (0 percent), the 2-Year Bonds (16 percent) and the Ultra 10-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (27.8 percent) vs Fed Funds previous week (0.0 percent)
2-Year Bond (16.1 percent) vs 2-Year Bond previous week (18.9 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (30.1 percent) vs 10-Year Bond previous week (28.4 percent)
Ultra 10-Year Bond (18.3 percent) vs Ultra 10-Year Bond previous week (19.8 percent)
US Treasury Bond (56.5 percent) vs US Treasury Bond previous week (70.8 percent)
Ultra US Treasury Bond (72.4 percent) vs Ultra US Treasury Bond previous week (77.8 percent)
SOFR 1-Month (34.6 percent) vs SOFR 1-Month previous week (62.5 percent)
SOFR 3-Months (43.5 percent) vs SOFR 3-Months previous week (45.6 percent)

Ultra 10-Year Bonds & SOFR 3-Months top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (15 percent) and the SOFR 3-Months (8 percent) lead the past six weeks trends for bonds. The SOFR 1-Month (6 percent) is the next highest positive movers in the latest trends data.

The Fed Funds (-42 percent), the 10-Year Bonds (-13 percent) and the Ultra Treasury Bonds (-12 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-42.3 percent) vs Fed Funds previous week (-70.1 percent)
2-Year Bond (-4.0 percent) vs 2-Year Bond previous week (3.1 percent)
5-Year Bond (-9.5 percent) vs 5-Year Bond previous week (1.9 percent)
10-Year Bond (-13.0 percent) vs 10-Year Bond previous week (-12.2 percent)
Ultra 10-Year Bond (14.6 percent) vs Ultra 10-Year Bond previous week (12.6 percent)
US Treasury Bond (2.0 percent) vs US Treasury Bond previous week (32.7 percent)
Ultra US Treasury Bond (-11.6 percent) vs Ultra US Treasury Bond previous week (-7.6 percent)
SOFR 1-Month (6.4 percent) vs SOFR 1-Month previous week (30.7 percent)
SOFR 3-Months (8.0 percent) vs SOFR 3-Months previous week (10.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -215,874 contracts in the data reported through Tuesday. This was a weekly gain of 177,949 contracts from the previous week which had a total of -393,823 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 27.8 percent. The commercials are Bullish with a score of 72.1 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.868.72.0
– Percent of Open Interest Shorts:21.757.81.9
– Net Position:-215,874215,322552
– Gross Longs:213,4361,361,06439,020
– Gross Shorts:429,3101,145,74238,468
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.872.162.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-42.347.2-29.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -325,015 contracts in the data reported through Tuesday. This was a weekly fall of -40,153 contracts from the previous week which had a total of -284,862 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 43.5 percent. The commercials are Bullish with a score of 56.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.456.20.3
– Percent of Open Interest Shorts:16.953.80.3
– Net Position:-325,015322,1012,914
– Gross Longs:1,865,2367,310,67438,455
– Gross Shorts:2,190,2516,988,57335,541
– Long to Short Ratio:0.9 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.556.279.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.0-9.09.3

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -137,641 contracts in the data reported through Tuesday. This was a weekly reduction of -113,143 contracts from the previous week which had a total of -24,498 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 34.6 percent. The commercials are Bullish with a score of 65.1 percent and the small traders (not shown in chart) are Bullish with a score of 69.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.563.30.1
– Percent of Open Interest Shorts:26.153.80.0
– Net Position:-137,641136,4411,200
– Gross Longs:238,504913,0691,444
– Gross Shorts:376,145776,628244
– Long to Short Ratio:0.6 to 11.2 to 15.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.665.169.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.4-5.6-6.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,296,083 contracts in the data reported through Tuesday. This was a weekly fall of -33,001 contracts from the previous week which had a total of -1,263,082 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 16.1 percent. The commercials are Bullish-Extreme with a score of 81.7 percent and the small traders (not shown in chart) are Bullish with a score of 71.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.778.85.4
– Percent of Open Interest Shorts:41.152.42.4
– Net Position:-1,296,0831,162,858133,225
– Gross Longs:516,7043,474,513239,624
– Gross Shorts:1,812,7872,311,655106,399
– Long to Short Ratio:0.3 to 11.5 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.181.771.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.05.00.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -2,681,987 contracts in the data reported through Tuesday. This was a weekly reduction of -218,016 contracts from the previous week which had a total of -2,463,971 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 85.5 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.384.76.6
– Percent of Open Interest Shorts:45.048.83.9
– Net Position:-2,681,9872,490,236191,751
– Gross Longs:438,4975,874,650459,219
– Gross Shorts:3,120,4843,384,414267,468
– Long to Short Ratio:0.1 to 11.7 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.085.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.510.32.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -868,358 contracts in the data reported through Tuesday. This was a weekly lift of 15,471 contracts from the previous week which had a total of -883,829 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 30.1 percent. The commercials are Bullish with a score of 65.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.2 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.678.08.6
– Percent of Open Interest Shorts:28.363.76.1
– Net Position:-868,358742,101126,257
– Gross Longs:603,4084,061,677445,942
– Gross Shorts:1,471,7663,319,576319,685
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.165.182.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.011.512.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -334,876 contracts in the data reported through Tuesday. This was a weekly fall of -6,205 contracts from the previous week which had a total of -328,671 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 18.3 percent. The commercials are Bullish with a score of 78.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.6 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.276.29.8
– Percent of Open Interest Shorts:27.559.612.1
– Net Position:-334,876388,934-54,058
– Gross Longs:310,1761,785,627229,949
– Gross Shorts:645,0521,396,693284,007
– Long to Short Ratio:0.5 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.378.460.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.6-19.914.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -77,268 contracts in the data reported through Tuesday. This was a weekly lowering of -41,255 contracts from the previous week which had a total of -36,013 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 56.5 percent. The commercials are Bearish with a score of 33.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.6 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.177.713.1
– Percent of Open Interest Shorts:12.378.87.7
– Net Position:-77,268-20,25097,518
– Gross Longs:145,6681,403,628237,421
– Gross Shorts:222,9361,423,878139,903
– Long to Short Ratio:0.7 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.533.179.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.0-4.18.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -263,219 contracts in the data reported through Tuesday. This was a weekly fall of -14,274 contracts from the previous week which had a total of -248,945 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 72.4 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.882.39.2
– Percent of Open Interest Shorts:20.069.29.2
– Net Position:-263,219262,589630
– Gross Longs:135,4681,645,379183,916
– Gross Shorts:398,6871,382,790183,286
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.442.715.8
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.611.21.5

 

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.

Bonds COT Updates Financial News
30 Aug

COT Bonds Charts: Speculator Changes led by SOFR 3-Months, 2-Year & 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 26th 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 3-Months, 2-Year & 10-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall higher this week as six out of the nine bond markets we cover had higher positioning while the other three markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 3-Months (83,284 contracts) with the 10-Year Bonds (61,687 contracts), the 2-Year Bonds (61,457 contracts), the 5-Year Bonds (44,412 contracts), the US Treasury Bonds (15,030 contracts) and the Ultra 10-Year Bonds (10,479 contracts) also showing positive weekly position changes.

The bond markets with declines in speculator bets for the week were the Fed Funds (-76,769 contracts), the SOFR 1-Month (-11,568 contracts) and with the Ultra Treasury Bonds (-6,783 contracts) also registering lower bets on the week.

10-Year Bonds lead price gains for the week

The bond markets price performance this week saw the 10-Year Note edge up by 0.40% to lead the bonds over the last 5 days. Next was the 5-Year Bond, which rose by 0.38% on the week. The Fed Funds was up by 0.23%, the 2-Year Bond was up by 0.16%, while the 3-month secured overnight financing rate was up by 0.11%. On the downside, the 1-month secured overnight financing rate was lower by a minuscule -0.01%, while the long U.S. Treasury bond was down by -0.52% on the week.

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

Bonds Market Strength Index Comparison
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 (78 percent) and the US Treasury Bonds (71 percent) lead the bond markets this week. The SOFR 1-Month (62 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (0 percent), the 5-Year Bonds (5 percent), the 2-Year Bonds (19 percent) and the Ultra 10-Year Bonds (19.8 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (0.0 percent) vs Fed Funds previous week (12.0 percent)
2-Year Bond (18.9 percent) vs 2-Year Bond previous week (13.7 percent)
5-Year Bond (4.8 percent) vs 5-Year Bond previous week (2.7 percent)
10-Year Bond (28.4 percent) vs 10-Year Bond previous week (21.7 percent)
Ultra 10-Year Bond (19.8 percent) vs Ultra 10-Year Bond previous week (17.2 percent)
US Treasury Bond (70.8 percent) vs US Treasury Bond previous week (65.6 percent)
Ultra US Treasury Bond (77.8 percent) vs Ultra US Treasury Bond previous week (80.3 percent)
SOFR 1-Month (62.5 percent) vs SOFR 1-Month previous week (65.3 percent)
SOFR 3-Months (45.6 percent) vs SOFR 3-Months previous week (41.3 percent)

US Treasury Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (33 percent) and the SOFR 1-Month (31 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (13 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-70 percent), the 10-Year Bonds (-12 percent) and the Ultra Treasury Bonds (-8 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-70.1 percent) vs Fed Funds previous week (-54.9 percent)
2-Year Bond (3.1 percent) vs 2-Year Bond previous week (-4.9 percent)
5-Year Bond (2.0 percent) vs 5-Year Bond previous week (0.4 percent)
10-Year Bond (-12.2 percent) vs 10-Year Bond previous week (-11.5 percent)
Ultra 10-Year Bond (12.6 percent) vs Ultra 10-Year Bond previous week (17.2 percent)
US Treasury Bond (32.7 percent) vs US Treasury Bond previous week (20.1 percent)
Ultra US Treasury Bond (-7.6 percent) vs Ultra US Treasury Bond previous week (-7.3 percent)
SOFR 1-Month (30.7 percent) vs SOFR 1-Month previous week (33.3 percent)
SOFR 3-Months (10.4 percent) vs SOFR 3-Months previous week (14.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -393,823 contracts in the data reported through Tuesday. This was a weekly fall of -76,769 contracts from the previous week which had a total of -317,054 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 69.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

 

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.470.81.9
– Percent of Open Interest Shorts:25.255.31.6
– Net Position:-393,823387,7416,082
– Gross Longs:234,9981,768,68946,345
– Gross Shorts:628,8211,380,94840,263
– Long to Short Ratio:0.4 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.069.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-70.172.40.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -284,862 contracts in the data reported through Tuesday. This was a weekly advance of 83,284 contracts from the previous week which had a total of -368,146 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 Bearish with a score of 45.6 percent. The commercials are Bullish with a score of 54.3 percent and the small traders (not shown in chart) are Bullish with a score of 78.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.756.20.3
– Percent of Open Interest Shorts:16.953.90.3
– Net Position:-284,862284,938-76
– Gross Longs:1,879,8237,177,12535,672
– Gross Shorts:2,164,6856,892,18735,748
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.654.378.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.4-8.2-21.8

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -24,498 contracts in the data reported through Tuesday. This was a weekly lowering of -11,568 contracts from the previous week which had a total of -12,930 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 62.5 percent. The commercials are Bearish with a score of 37.2 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.059.80.1
– Percent of Open Interest Shorts:20.458.50.0
– Net Position:-24,49823,0791,419
– Gross Longs:333,1331,050,5572,063
– Gross Shorts:357,6311,027,478644
– Long to Short Ratio:0.9 to 11.0 to 13.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.537.269.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:30.7-30.1-4.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,263,082 contracts in the data reported through Tuesday. This was a weekly lift of 61,457 contracts from the previous week which had a total of -1,324,539 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 18.9 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.177.46.8
– Percent of Open Interest Shorts:39.252.93.3
– Net Position:-1,263,0821,103,308159,774
– Gross Longs:502,1533,487,542307,308
– Gross Shorts:1,765,2352,384,234147,534
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.975.479.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.1-7.610.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,463,971 contracts in the data reported through Tuesday. This was a weekly advance of 44,412 contracts from the previous week which had a total of -2,508,383 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 4.8 percent. The commercials are Bullish-Extreme with a score of 95.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.582.06.5
– Percent of Open Interest Shorts:39.451.54.0
– Net Position:-2,463,9712,276,169187,802
– Gross Longs:483,2326,128,955488,889
– Gross Shorts:2,947,2033,852,786301,087
– Long to Short Ratio:0.2 to 11.6 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.895.884.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.0-3.86.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -883,829 contracts in the data reported through Tuesday. This was a weekly advance of 61,687 contracts from the previous week which had a total of -945,516 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 28.4 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.076.58.9
– Percent of Open Interest Shorts:24.763.66.2
– Net Position:-883,829729,027154,802
– Gross Longs:508,5524,316,228503,746
– Gross Shorts:1,392,3813,587,201348,944
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.463.291.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.26.022.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -328,671 contracts in the data reported through Tuesday. This was a weekly boost of 10,479 contracts from the previous week which had a total of -339,150 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 19.8 percent. The commercials are Bullish with a score of 74.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.472.79.8
– Percent of Open Interest Shorts:23.558.811.6
– Net Position:-328,671375,957-47,286
– Gross Longs:310,4481,972,725266,499
– Gross Shorts:639,1191,596,768313,785
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.874.966.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.6-18.215.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -36,013 contracts in the data reported through Tuesday. This was a weekly boost of 15,030 contracts from the previous week which had a total of -51,043 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 70.8 percent. The commercials are Bearish-Extreme with a score of 17.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.178.711.4
– Percent of Open Interest Shorts:8.781.96.6
– Net Position:-36,013-72,481108,494
– Gross Longs:158,7161,767,293255,791
– Gross Shorts:194,7291,839,774147,297
– Long to Short Ratio:0.8 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.817.990.2
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.7-36.731.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -248,945 contracts in the data reported through Tuesday. This was a weekly decline of -6,783 contracts from the previous week which had a total of -242,162 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 77.8 percent. The commercials are Bearish with a score of 38.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.081.18.6
– Percent of Open Interest Shorts:17.269.88.7
– Net Position:-248,945250,719-1,774
– Gross Longs:132,9741,797,826191,259
– Gross Shorts:381,9191,547,107193,033
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.838.113.3
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.64.68.5

 

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.

Bonds COT Updates Financial News
23 Aug

COT Bonds Charts: Speculator Bets led by gains in 5-Year Bond & 2-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 19th 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 5-Year Bonds & 2-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were 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 5-Year Bonds (57,986 contracts) with the 2-Year Bonds (55,058 contracts), the Ultra 10-Year Bonds (21,171 contracts), the SOFR 1-Month (15,722 contracts) and the US Treasury Bonds (9,751 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-85,699 contracts), the Fed Funds (-83,387 contracts), the Ultra Treasury Bonds (-33,030 contracts) and the 10-Year Bonds (-3,293 contracts) also registering lower bets on the week.

Weekly Price Changes led by US Treasury Bonds

The weekly price performance for the major U.S. bond markets showed slight increases across the board for the most part. The long U.S. Treasury bonds led the last 5 days price changes with a gain of 0.75% followed by the 10-Year Notes which rose by 0.57%. The 5-Year Bond was up by 0.40% while the 2-Year Bond was slightly higher by just 0.22%. The 3-Month Secured Overnight Financing Rate was up by 0.14% while the 1-Month Secured Overnight Financing Rate and the Fed Funds were virtually unchanged as well.

Bonds Data:

Bonds Market Speculators Data Table
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 Ultra Treasury Bonds & US Treasury Bonds

Bonds Market Strength Index Comparison
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 (80 percent) and the US Treasury Bonds (66 percent) lead the bond markets this week. The SOFR 1-Month (65 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (0 percent), the 5-Year Bonds (3 percent), the 2-Year Bonds (13 percent) and the Ultra 10-Year Bonds (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (0.0 percent) vs Fed Funds previous week (14.8 percent)
2-Year Bond (13.4 percent) vs 2-Year Bond previous week (8.9 percent)
5-Year Bond (2.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (21.7 percent) vs 10-Year Bond previous week (22.1 percent)
Ultra 10-Year Bond (17.2 percent) vs Ultra 10-Year Bond previous week (11.9 percent)
US Treasury Bond (65.6 percent) vs US Treasury Bond previous week (62.2 percent)
Ultra US Treasury Bond (80.3 percent) vs Ultra US Treasury Bond previous week (92.7 percent)
SOFR 1-Month (65.3 percent) vs SOFR 1-Month previous week (61.4 percent)
SOFR 3-Months (41.3 percent) vs SOFR 3-Months previous week (45.7 percent)

SOFR 1-Month & US Treasury Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (33 percent) and the US Treasury Bonds (20 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (17 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-62 percent) leads the downside trend scores currently with the 10-Year Bonds (-11 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-62.4 percent) vs Fed Funds previous week (-43.2 percent)
2-Year Bond (-4.8 percent) vs 2-Year Bond previous week (-8.2 percent)
5-Year Bond (0.4 percent) vs 5-Year Bond previous week (-4.2 percent)
10-Year Bond (-11.5 percent) vs 10-Year Bond previous week (-17.3 percent)
Ultra 10-Year Bond (17.2 percent) vs Ultra 10-Year Bond previous week (8.4 percent)
US Treasury Bond (20.1 percent) vs US Treasury Bond previous week (15.2 percent)
Ultra US Treasury Bond (-7.3 percent) vs Ultra US Treasury Bond previous week (6.7 percent)
SOFR 1-Month (33.3 percent) vs SOFR 1-Month previous week (26.1 percent)
SOFR 3-Months (14.2 percent) vs SOFR 3-Months previous week (20.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -317,054 contracts in the data reported through Tuesday. This was a weekly decrease of -83,387 contracts from the previous week which had a total of -233,667 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 58.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.571.02.2
– Percent of Open Interest Shorts:24.057.32.3
– Net Position:-317,054319,912-2,858
– Gross Longs:244,3101,659,27951,339
– Gross Shorts:561,3641,339,36754,197
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.058.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-62.465.2-10.7

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -368,146 contracts in the data reported through Tuesday. This was a weekly fall of -85,699 contracts from the previous week which had a total of -282,447 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 41.3 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.356.70.5
– Percent of Open Interest Shorts:17.353.80.5
– Net Position:-368,146358,3459,801
– Gross Longs:1,768,2797,024,13466,827
– Gross Shorts:2,136,4256,665,78957,026
– Long to Short Ratio:0.8 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.358.183.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-12.7-14.5

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -12,930 contracts in the data reported through Tuesday. This was a weekly lift of 15,722 contracts from the previous week which had a total of -28,652 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 65.3 percent. The commercials are Bearish with a score of 33.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.866.70.3
– Percent of Open Interest Shorts:16.766.10.0
– Net Position:-12,9308,5804,350
– Gross Longs:229,471969,5174,631
– Gross Shorts:242,401960,937281
– Long to Short Ratio:0.9 to 11.0 to 116.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.333.775.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.3-33.31.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,324,539 contracts in the data reported through Tuesday. This was a weekly advance of 55,058 contracts from the previous week which had a total of -1,379,597 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 13.4 percent. The commercials are Bullish-Extreme with a score of 86.6 percent and the small traders (not shown in chart) are Bullish with a score of 67.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.379.15.7
– Percent of Open Interest Shorts:40.652.53.0
– Net Position:-1,324,5391,202,916121,623
– Gross Longs:512,2673,582,207258,933
– Gross Shorts:1,836,8062,379,291137,310
– Long to Short Ratio:0.3 to 11.5 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.486.667.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.88.4-7.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -2,508,383 contracts in the data reported through Tuesday. This was a weekly gain of 57,986 contracts from the previous week which had a total of -2,566,369 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 2.7 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.382.96.4
– Percent of Open Interest Shorts:41.551.43.7
– Net Position:-2,508,3832,310,706197,677
– Gross Longs:539,0756,090,238471,602
– Gross Shorts:3,047,4583,779,532273,925
– Long to Short Ratio:0.2 to 11.6 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.797.786.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.4-1.64.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -945,516 contracts in the data reported through Tuesday. This was a weekly decline of -3,293 contracts from the previous week which had a total of -942,223 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 21.7 percent. The commercials are Bullish with a score of 76.9 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.98.5
– Percent of Open Interest Shorts:27.562.46.3
– Net Position:-945,516826,011119,505
– Gross Longs:523,3084,158,543453,913
– Gross Shorts:1,468,8243,332,532334,408
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.776.980.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.513.04.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -339,150 contracts in the data reported through Tuesday. This was a weekly boost of 21,171 contracts from the previous week which had a total of -360,321 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 17.2 percent. The commercials are Bullish with a score of 77.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.477.19.4
– Percent of Open Interest Shorts:26.061.611.2
– Net Position:-339,150385,087-45,937
– Gross Longs:308,6071,919,822234,113
– Gross Shorts:647,7571,534,735280,050
– Long to Short Ratio:0.5 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.277.367.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.2-22.713.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -51,043 contracts in the data reported through Tuesday. This was a weekly rise of 9,751 contracts from the previous week which had a total of -60,794 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 65.6 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.3 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.075.613.2
– Percent of Open Interest Shorts:10.879.16.9
– Net Position:-51,043-62,680113,723
– Gross Longs:144,9761,367,940239,442
– Gross Shorts:196,0191,430,620125,719
– Long to Short Ratio:0.7 to 11.0 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.620.895.3
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.1-27.234.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -242,162 contracts in the data reported through Tuesday. This was a weekly lowering of -33,030 contracts from the previous week which had a total of -209,132 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 80.3 percent. The commercials are Bearish with a score of 30.4 percent and the small traders (not shown in chart) are Bearish with a score of 27.2 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.481.49.3
– Percent of Open Interest Shorts:18.470.08.8
– Net Position:-242,162230,41511,747
– Gross Longs:129,4181,647,663188,953
– Gross Shorts:371,5801,417,248177,206
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.330.427.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.3-2.727.1

 

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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