Archive for Bonds

15 Dec

COT Bonds Charts: Speculator Changes led by SOFR 3M & 5-Year Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday December 10th 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 3M & 5-Year Bonds

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 (209,405 contracts) with the 5-Year Bonds (70,670 contracts), the Ultra 10-Year Bonds (57,215 contracts), the SOFR 1-Month (47,335 contracts), the US Treasury Bonds (19,282 contracts) and the 10-Year Bonds (16,185 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-59,567 contracts), the 2-Year Bonds (-52,025 contracts) and the Ultra Treasury Bonds (-2,020 contracts) also having lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (92 percent) and the US Treasury Bonds (70 percent) lead the bond markets this week.

On the downside, the 2-Year Bonds (15 percent) and the 5-Year Bond (10 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (38.3 percent) vs Fed Funds previous week (49.3 percent)
2-Year Bond (14.7 percent) vs 2-Year Bond previous week (18.0 percent)
5-Year Bond (10.3 percent) vs 5-Year Bond previous week (6.5 percent)
10-Year Bond (25.3 percent) vs 10-Year Bond previous week (23.8 percent)
Ultra 10-Year Bond (43.9 percent) vs Ultra 10-Year Bond previous week (29.3 percent)
US Treasury Bond (69.7 percent) vs US Treasury Bond previous week (63.0 percent)
Ultra US Treasury Bond (91.7 percent) vs Ultra US Treasury Bond previous week (92.5 percent)
SOFR 1-Month (51.4 percent) vs SOFR 1-Month previous week (39.7 percent)
SOFR 3-Months (43.4 percent) vs SOFR 3-Months previous week (32.5 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (51 percent) and the Ultra Treasury Bonds (36 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (14 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-45 percent), the SOFR 3-Months (-14 percent) and the 5-Year Bonds (-6 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-44.7 percent) vs Fed Funds previous week (-30.5 percent)
2-Year Bond (14.3 percent) vs 2-Year Bond previous week (11.3 percent)
5-Year Bond (-5.9 percent) vs 5-Year Bond previous week (-11.7 percent)
10-Year Bond (2.4 percent) vs 10-Year Bond previous week (-4.1 percent)
Ultra 10-Year Bond (-0.8 percent) vs Ultra 10-Year Bond previous week (-25.4 percent)
US Treasury Bond (5.3 percent) vs US Treasury Bond previous week (5.2 percent)
Ultra US Treasury Bond (35.8 percent) vs Ultra US Treasury Bond previous week (48.9 percent)
SOFR 1-Month (51.4 percent) vs SOFR 1-Month previous week (32.7 percent)
SOFR 3-Months (-14.2 percent) vs SOFR 3-Months previous week (-25.0 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 -88,471 contracts in the data reported through Tuesday. This was a weekly decline of -59,567 contracts from the previous week which had a total of -28,904 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 38.3 percent. The commercials are Bullish with a score of 59.3 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.871.92.3
– Percent of Open Interest Shorts:16.565.92.8
– Net Position:-88,47195,143-6,672
– Gross Longs:170,5361,131,25736,896
– Gross Shorts:259,0071,036,11443,568
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.359.372.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.741.030.4

 

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 resulted in a net position of -327,476 contracts in the data reported through Tuesday. This was a weekly lift of 209,405 contracts from the previous week which had a total of -536,881 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 43.4 percent. The commercials are Bullish with a score of 57.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.5 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:13.159.20.3
– Percent of Open Interest Shorts:16.156.20.4
– Net Position:-327,476337,197-9,721
– Gross Longs:1,466,0296,611,79233,875
– Gross Shorts:1,793,5056,274,59543,596
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.457.082.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.214.11.3

 

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 resulted in a net position of -69,330 contracts in the data reported through Tuesday. This was a weekly increase of 47,335 contracts from the previous week which had a total of -116,665 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 51.4 percent. The commercials are Bearish with a score of 48.7 percent and the small traders (not shown in chart) are Bullish with a score of 53.4 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:18.867.60.0
– Percent of Open Interest Shorts:24.262.10.0
– Net Position:-69,33069,643-313
– Gross Longs:238,301858,711131
– Gross Shorts:307,631789,068444
– Long to Short Ratio:0.8 to 11.1 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.448.753.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:51.4-51.32.5

 

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 -1,254,924 contracts in the data reported through Tuesday. This was a weekly lowering of -52,025 contracts from the previous week which had a total of -1,202,899 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 14.7 percent. The commercials are Bullish-Extreme with a score of 83.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.7 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.378.26.1
– Percent of Open Interest Shorts:40.652.22.8
– Net Position:-1,254,9241,113,690141,234
– Gross Longs:481,9863,348,411260,916
– Gross Shorts:1,736,9102,234,721119,682
– Long to Short Ratio:0.3 to 11.5 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.783.880.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.3-15.0-6.2

 

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 -1,790,430 contracts in the data reported through Tuesday. This was a weekly advance of 70,670 contracts from the previous week which had a total of -1,861,100 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 10.3 percent. The commercials are Bullish-Extreme with a score of 88.6 percent and the small traders (not shown in chart) are Bullish with a score of 73.5 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:6.985.16.8
– Percent of Open Interest Shorts:36.557.35.0
– Net Position:-1,790,4301,682,114108,316
– Gross Longs:419,4395,145,585408,423
– Gross Shorts:2,209,8693,463,471300,107
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.388.673.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.912.0-14.6

 

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 -875,716 contracts in the data reported through Tuesday. This was a weekly lift of 16,185 contracts from the previous week which had a total of -891,901 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 25.3 percent. The commercials are Bullish with a score of 78.6 percent and the small traders (not shown in chart) are Bullish with a score of 77.9 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:9.979.19.4
– Percent of Open Interest Shorts:29.660.78.0
– Net Position:-875,716815,38460,332
– Gross Longs:438,5383,516,621416,813
– Gross Shorts:1,314,2542,701,237356,481
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.378.677.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.43.1-11.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -106,082 contracts in the data reported through Tuesday. This was a weekly advance of 57,215 contracts from the previous week which had a total of -163,297 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 43.9 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bullish with a score of 79.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.773.310.1
– Percent of Open Interest Shorts:20.566.012.6
– Net Position:-106,082161,350-55,268
– Gross Longs:346,4011,620,031223,359
– Gross Shorts:452,4831,458,681278,627
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.939.879.2
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.8-7.015.0

 

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 -39,493 contracts in the data reported through Tuesday. This was a weekly gain of 19,282 contracts from the previous week which had a total of -58,775 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 69.7 percent. The commercials are Bearish-Extreme with a score of 18.3 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.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.165.610.9
– Percent of Open Interest Shorts:24.267.37.1
– Net Position:-39,493-31,48970,982
– Gross Longs:410,9091,221,804203,350
– Gross Shorts:450,4021,253,293132,368
– Long to Short Ratio:0.9 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.718.367.6
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.30.5-11.5

 

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 -216,372 contracts in the data reported through Tuesday. This was a weekly decline of -2,020 contracts from the previous week which had a total of -214,352 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 91.7 percent. The commercials are Bearish-Extreme with a score of 1.5 percent and the small traders (not shown in chart) are Bearish with a score of 40.7 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:8.180.110.1
– Percent of Open Interest Shorts:20.169.48.7
– Net Position:-216,372191,70524,667
– Gross Longs:144,4221,433,739180,858
– Gross Shorts:360,7941,242,034156,191
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):91.71.540.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:35.8-51.731.6

 

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 Dec

COT Bonds Charts: Speculator bets led by SOFR 1-Month, 10-Year & 2-Year Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday December 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 1-Month, 10-Year & 2-Year Bonds

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

Leading the gains for the bond markets was the SOFR 1-Month (110,282 contracts), the 10-Year Bonds (34,702 contracts), the 2-Year Bonds (31,747 contracts) and the Fed Funds (16,165 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-108,271 contracts), the 5-Year Bonds (-95,529 contracts), the Ultra 10-Year Bonds (-43,833 contracts), the Ultra Treasury Bonds (-19,666 contracts) and with the US Treasury Bonds (-11,361 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (92 percent) and the US Treasury Bonds (63 percent) lead the bond markets this week.

On the downside, the 5-Year Bond (7 percent) and the 2-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 10-Year Bonds (24 percent), the Ultra 10-Year Bonds (29 percent) and the SOFR 3-Months (33 percent).

Strength Statistics:
Fed Funds (49.3 percent) vs Fed Funds previous week (46.3 percent)
2-Year Bond (18.0 percent) vs 2-Year Bond previous week (16.0 percent)
5-Year Bond (6.5 percent) vs 5-Year Bond previous week (11.6 percent)
10-Year Bond (23.8 percent) vs 10-Year Bond previous week (20.5 percent)
Ultra 10-Year Bond (29.3 percent) vs Ultra 10-Year Bond previous week (40.5 percent)
US Treasury Bond (63.0 percent) vs US Treasury Bond previous week (67.0 percent)
Ultra US Treasury Bond (92.5 percent) vs Ultra US Treasury Bond previous week (100.0 percent)
SOFR 1-Month (39.7 percent) vs SOFR 1-Month previous week (12.6 percent)
SOFR 3-Months (32.5 percent) vs SOFR 3-Months previous week (38.1 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (49 percent) and the SOFR 1-Month (33 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (11 percent) are the next highest positive movers in the latest trends data.

The Ultra 10-Year Bonds (-25 percent) and the SOFR 3-Months (-25 percent) lead the downside trend scores currently with the 5-Year Bonds (-12 percent) and the 10-Year Bonds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-30.5 percent) vs Fed Funds previous week (-31.7 percent)
2-Year Bond (11.3 percent) vs 2-Year Bond previous week (6.8 percent)
5-Year Bond (-11.7 percent) vs 5-Year Bond previous week (-7.2 percent)
10-Year Bond (-4.1 percent) vs 10-Year Bond previous week (-5.8 percent)
Ultra 10-Year Bond (-25.4 percent) vs Ultra 10-Year Bond previous week (-11.3 percent)
US Treasury Bond (5.2 percent) vs US Treasury Bond previous week (4.4 percent)
Ultra US Treasury Bond (48.9 percent) vs Ultra US Treasury Bond previous week (48.3 percent)
SOFR 1-Month (32.7 percent) vs SOFR 1-Month previous week (-2.9 percent)
SOFR 3-Months (-25.0 percent) vs SOFR 3-Months previous week (-28.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -28,904 contracts in the data reported through Tuesday. This was a weekly advance of 16,165 contracts from the previous week which had a total of -45,069 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.3 percent. The commercials are Bearish with a score of 47.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.167.02.8
– Percent of Open Interest Shorts:16.065.22.7
– Net Position:-28,90427,4311,473
– Gross Longs:215,6151,023,43843,078
– Gross Shorts:244,519996,00741,605
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.347.087.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.525.842.4

 

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 resulted in a net position of -536,881 contracts in the data reported through Tuesday. This was a weekly lowering of -108,271 contracts from the previous week which had a total of -428,610 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.5 percent. The commercials are Bullish with a score of 68.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.560.50.3
– Percent of Open Interest Shorts:16.355.50.4
– Net Position:-536,881552,005-15,124
– Gross Longs:1,269,5976,701,10829,815
– Gross Shorts:1,806,4786,149,10344,939
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.568.179.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.026.1-10.3

 

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 resulted in a net position of -116,665 contracts in the data reported through Tuesday. This was a weekly rise of 110,282 contracts from the previous week which had a total of -226,947 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.7 percent. The commercials are Bullish with a score of 60.2 percent and the small traders (not shown in chart) are Bullish with a score of 57.1 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.367.50.1
– Percent of Open Interest Shorts:28.957.90.0
– Net Position:-116,665116,518147
– Gross Longs:234,263819,843660
– Gross Shorts:350,928703,325513
– Long to Short Ratio:0.7 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.760.257.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.7-32.911.3

 

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 -1,202,899 contracts in the data reported through Tuesday. This was a weekly boost of 31,747 contracts from the previous week which had a total of -1,234,646 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.0 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.6 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.877.56.0
– Percent of Open Interest Shorts:39.852.72.8
– Net Position:-1,202,8991,061,813141,086
– Gross Longs:506,3653,324,264259,271
– Gross Shorts:1,709,2642,262,451118,185
– Long to Short Ratio:0.3 to 11.5 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.079.980.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-10.4-11.6

 

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 -1,861,100 contracts in the data reported through Tuesday. This was a weekly decline of -95,529 contracts from the previous week which had a total of -1,765,571 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.5 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bullish with a score of 75.6 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.785.36.8
– Percent of Open Interest Shorts:37.556.54.8
– Net Position:-1,861,1001,741,156119,944
– Gross Longs:402,0725,148,595409,306
– Gross Shorts:2,263,1723,407,439289,362
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.592.375.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.718.0-11.7

 

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 -891,901 contracts in the data reported through Tuesday. This was a weekly increase of 34,702 contracts from the previous week which had a total of -926,603 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.8 percent. The commercials are Bullish-Extreme with a score of 81.9 percent and the small traders (not shown in chart) are Bullish with a score of 75.5 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.779.49.5
– Percent of Open Interest Shorts:29.560.78.4
– Net Position:-891,901842,62149,280
– Gross Longs:434,9113,572,758425,946
– Gross Shorts:1,326,8122,730,137376,666
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.881.975.5
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.112.3-12.6

 

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 -163,297 contracts in the data reported through Tuesday. This was a weekly decline of -43,833 contracts from the previous week which had a total of -119,464 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.3 percent. The commercials are Bullish with a score of 57.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.974.010.3
– Percent of Open Interest Shorts:22.464.012.7
– Net Position:-163,297216,058-52,761
– Gross Longs:323,9011,609,439224,218
– Gross Shorts:487,1981,393,381276,979
– Long to Short Ratio:0.7 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.357.380.8
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.424.713.5

 

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 -58,775 contracts in the data reported through Tuesday. This was a weekly decrease of -11,361 contracts from the previous week which had a total of -47,414 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.0 percent. The commercials are Bearish with a score of 25.1 percent and the small traders (not shown in chart) are Bullish with a score of 66.9 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.065.511.1
– Percent of Open Interest Shorts:25.166.17.4
– Net Position:-58,775-11,13369,908
– Gross Longs:408,0171,217,310206,464
– Gross Shorts:466,7921,228,443136,556
– Long to Short Ratio:0.9 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.025.166.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.22.5-15.3

 

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 -214,352 contracts in the data reported through Tuesday. This was a weekly lowering of -19,666 contracts from the previous week which had a total of -194,686 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 92.5 percent. The commercials are Bearish-Extreme with a score of 5.5 percent and the small traders (not shown in chart) are Bearish with a score of 25.4 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.579.410.2
– Percent of Open Interest Shorts:20.568.19.4
– Net Position:-214,352200,50913,843
– Gross Longs:150,4231,410,435181,097
– Gross Shorts:364,7751,209,926167,254
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):92.55.525.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:48.9-62.216.5

 

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 Nov

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

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday November 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 lower by 5-Year & 10-Year Bonds

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

Leading the gains for the bond markets was the Ultra Treasury Bonds (15,980 contracts) with the US Treasury Bonds (6,123 contracts) and the SOFR 1-Month (4,701 contracts) also seeing small positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-113,816 contracts), the 10-Year Bonds (-91,701 contracts), the SOFR 3-Months (-61,073 contracts), the Fed Funds (-57,577 contracts), the 2-Year Bonds (-23,473 contracts) and with the Ultra 10-Year Bonds (-14,477 contracts) also recording lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (100 percent) and the US Treasury Bonds (71 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent) and the 2-Year Bonds (2 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 10-Year Bonds (22 percent), the Ultra 10-Year Bonds (27 percent) and the SOFR 1-Month (36 percent).

Strength Statistics:
Fed Funds (44.4 percent) vs Fed Funds previous week (55.1 percent)
2-Year Bond (2.5 percent) vs 2-Year Bond previous week (4.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (6.1 percent)
10-Year Bond (22.3 percent) vs 10-Year Bond previous week (31.0 percent)
Ultra 10-Year Bond (27.2 percent) vs Ultra 10-Year Bond previous week (30.9 percent)
US Treasury Bond (71.1 percent) vs US Treasury Bond previous week (68.9 percent)
Ultra US Treasury Bond (100.0 percent) vs Ultra US Treasury Bond previous week (93.1 percent)
SOFR 1-Month (36.2 percent) vs SOFR 1-Month previous week (35.1 percent)
SOFR 3-Months (44.7 percent) vs SOFR 3-Months previous week (47.9 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (25 percent) and the SOFR 1-Month (23 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (14 percent) and the  are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-35 percent), the Ultra 10-Year Bonds (-23 percent) and the 5-Year Bonds (-20 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-45.6 percent) vs Fed Funds previous week (-44.9 percent)
2-Year Bond (-14.1 percent) vs 2-Year Bond previous week (-15.6 percent)
5-Year Bond (-20.4 percent) vs 5-Year Bond previous week (-16.9 percent)
10-Year Bond (5.0 percent) vs 10-Year Bond previous week (31.0 percent)
Ultra 10-Year Bond (-22.7 percent) vs Ultra 10-Year Bond previous week (-19.5 percent)
US Treasury Bond (14.1 percent) vs US Treasury Bond previous week (19.1 percent)
Ultra US Treasury Bond (24.6 percent) vs Ultra US Treasury Bond previous week (9.5 percent)
SOFR 1-Month (22.5 percent) vs SOFR 1-Month previous week (14.5 percent)
SOFR 3-Months (-34.6 percent) vs SOFR 3-Months previous week (-43.1 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -55,140 contracts in the data reported through Tuesday. This was a weekly decline of -57,577 contracts from the previous week which had a total of 2,437 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 44.4 percent. The commercials are Bullish with a score of 52.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.566.31.9
– Percent of Open Interest Shorts:11.863.02.1
– Net Position:-55,14057,093-1,953
– Gross Longs:144,4251,126,40232,994
– Gross Shorts:199,5651,069,30934,947
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.452.481.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-45.643.019.1

 

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 reached a net position of -300,954 contracts in the data reported through Tuesday. This was a weekly fall of -61,073 contracts from the previous week which had a total of -239,881 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 44.7 percent. The commercials are Bullish with a score of 56.1 percent and the small traders (not shown in chart) are Bullish with a score of 77.9 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:13.358.30.3
– Percent of Open Interest Shorts:16.055.40.5
– Net Position:-300,954319,102-18,148
– Gross Longs:1,462,5836,428,18235,198
– Gross Shorts:1,763,5376,109,08053,346
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.756.177.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-34.635.8-12.5

 

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 reached a net position of -130,957 contracts in the data reported through Tuesday. This was a weekly rise of 4,701 contracts from the previous week which had a total of -135,658 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 63.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.3 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:13.764.30.0
– Percent of Open Interest Shorts:24.553.60.0
– Net Position:-130,957131,159-202
– Gross Longs:167,017782,983230
– Gross Shorts:297,974651,824432
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.263.854.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.5-22.63.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -1,447,344 contracts in the data reported through Tuesday. This was a weekly reduction of -23,473 contracts from the previous week which had a total of -1,423,871 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 2.5 percent. The commercials are Bullish-Extreme with a score of 96.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.078.56.0
– Percent of Open Interest Shorts:42.350.62.6
– Net Position:-1,447,3441,288,654158,690
– Gross Longs:508,8053,626,185276,844
– Gross Shorts:1,956,1492,337,531118,154
– Long to Short Ratio:0.3 to 11.6 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.596.686.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.118.7-9.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,983,026 contracts in the data reported through Tuesday. This was a weekly fall of -113,816 contracts from the previous week which had a total of -1,869,210 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 75.9 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:6.082.76.3
– Percent of Open Interest Shorts:35.255.34.5
– Net Position:-1,983,0261,861,574121,452
– Gross Longs:407,6695,621,654429,703
– Gross Shorts:2,390,6953,760,080308,251
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.075.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.429.1-13.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -907,502 contracts in the data reported through Tuesday. This was a weekly fall of -91,701 contracts from the previous week which had a total of -815,801 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-Extreme with a score of 83.6 percent and the small traders (not shown in chart) are Bullish with a score of 75.9 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:8.978.19.3
– Percent of Open Interest Shorts:28.060.18.2
– Net Position:-907,502856,30351,199
– Gross Longs:424,5093,710,545442,533
– Gross Shorts:1,332,0112,854,242391,334
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.383.675.9
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.06.2-23.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -171,268 contracts in the data reported through Tuesday. This was a weekly decrease of -14,477 contracts from the previous week which had a total of -156,791 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 27.2 percent. The commercials are Bullish with a score of 68.0 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.874.49.7
– Percent of Open Interest Shorts:21.463.313.2
– Net Position:-171,268249,454-78,186
– Gross Longs:312,4131,678,313219,354
– Gross Shorts:483,6811,428,859297,540
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.268.065.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.730.1-3.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -35,645 contracts in the data reported through Tuesday. This was a weekly increase of 6,123 contracts from the previous week which had a total of -41,768 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 71.1 percent. The commercials are Bearish-Extreme with a score of 16.7 percent and the small traders (not shown in chart) are Bullish with a score of 68.2 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:20.959.510.2
– Percent of Open Interest Shorts:22.661.36.7
– Net Position:-35,645-36,09371,738
– Gross Longs:430,7521,226,901209,744
– Gross Shorts:466,3971,262,994138,006
– Long to Short Ratio:0.9 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.116.768.2
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.1-3.6-20.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -225,304 contracts in the data reported through Tuesday. This was a weekly lift of 15,980 contracts from the previous week which had a total of -241,284 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bearish with a score of 26.8 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:9.177.210.0
– Percent of Open Interest Shorts:21.465.79.2
– Net Position:-225,304210,50714,797
– Gross Longs:166,4671,410,459183,468
– Gross Shorts:391,7711,199,952168,671
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.026.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.6-27.4-2.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.

Bonds COT Updates Financial News
17 Nov

COT Bonds Charts: Large Speculator bets led by 2-Year & Ultra Treasury Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday November 12th 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 & Ultra Treasury Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (62,488 contracts) with the Ultra Treasury Bonds (23,124 contracts), the SOFR 1-Month (13,378 contracts) and the 10-Year Bonds (2,469 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-145,254 contracts), the 5-Year Bonds (-101,801 contracts), the Fed Funds (-21,463 contracts), the Ultra 10-Year Bonds (-16,352 contracts) and with the US Treasury Bonds (-4,017 contracts) also having lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (99 percent) and the US Treasury Bonds (69 percent) lead the bond markets this week. The Fed Funds (55 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the 2-Year Bonds (4 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (55.1 percent) vs Fed Funds previous week (59.0 percent)
2-Year Bond (4.0 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (5.8 percent)
10-Year Bond (31.0 percent) vs 10-Year Bond previous week (30.8 percent)
Ultra 10-Year Bond (27.9 percent) vs Ultra 10-Year Bond previous week (31.7 percent)
US Treasury Bond (68.9 percent) vs US Treasury Bond previous week (70.3 percent)
Ultra US Treasury Bond (99.5 percent) vs Ultra US Treasury Bond previous week (88.8 percent)
SOFR 1-Month (35.1 percent) vs SOFR 1-Month previous week (31.8 percent)
SOFR 3-Months (47.9 percent) vs SOFR 3-Months previous week (55.4 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (31 percent) and the US Treasury Bonds (19 percent) lead the past six weeks trends for bonds.

The Fed Funds (-45 percent) and the SOFR 3-Months (-43 percent) lead the downside trend scores currently with the 5-Year Bonds (-18 percent) and the Ultra 10-Year Bonds (-18 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-44.9 percent) vs Fed Funds previous week (-35.5 percent)
2-Year Bond (-15.6 percent) vs 2-Year Bond previous week (-27.9 percent)
5-Year Bond (-18.0 percent) vs 5-Year Bond previous week (-12.1 percent)
10-Year Bond (31.0 percent) vs 10-Year Bond previous week (19.6 percent)
Ultra 10-Year Bond (-17.5 percent) vs Ultra 10-Year Bond previous week (-23.6 percent)
US Treasury Bond (19.1 percent) vs US Treasury Bond previous week (40.0 percent)
Ultra US Treasury Bond (10.1 percent) vs Ultra US Treasury Bond previous week (0.9 percent)
SOFR 1-Month (14.5 percent) vs SOFR 1-Month previous week (-1.4 percent)
SOFR 3-Months (-43.1 percent) vs SOFR 3-Months previous week (-40.7 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 2,437 contracts in the data reported through Tuesday. This was a weekly reduction of -21,463 contracts from the previous week which had a total of 23,900 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 55.1 percent. The commercials are Bearish with a score of 43.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.062.82.0
– Percent of Open Interest Shorts:8.862.42.6
– Net Position:2,4376,593-9,030
– Gross Longs:141,580990,05131,284
– Gross Shorts:139,143983,45840,314
– Long to Short Ratio:1.0 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.143.268.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.943.210.2

 

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 -239,881 contracts in the data reported through Tuesday. This was a weekly decline of -145,254 contracts from the previous week which had a total of -94,627 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 47.9 percent. The commercials are Bullish with a score of 52.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.9 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:13.458.70.3
– Percent of Open Interest Shorts:15.656.40.4
– Net Position:-239,881248,953-9,072
– Gross Longs:1,441,0646,328,02737,413
– Gross Shorts:1,680,9456,079,07446,485
– Long to Short Ratio:0.9 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.952.582.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-43.144.0-9.1

 

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 -135,658 contracts in the data reported through Tuesday. This was a weekly advance of 13,378 contracts from the previous week which had a total of -149,036 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 64.8 percent and the small traders (not shown in chart) are Bullish with a score of 56.8 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:12.465.00.0
– Percent of Open Interest Shorts:24.053.50.0
– Net Position:-135,658135,542116
– Gross Longs:146,041764,353207
– Gross Shorts:281,699628,81191
– Long to Short Ratio:0.5 to 11.2 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.164.856.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.5-14.76.3

 

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 -1,423,871 contracts in the data reported through Tuesday. This was a weekly rise of 62,488 contracts from the previous week which had a total of -1,486,359 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 4.0 percent. The commercials are Bullish-Extreme with a score of 94.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.5 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.979.05.9
– Percent of Open Interest Shorts:42.751.72.4
– Net Position:-1,423,8711,260,796163,075
– Gross Longs:551,7543,651,061274,880
– Gross Shorts:1,975,6252,390,265111,805
– Long to Short Ratio:0.3 to 11.5 to 12.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.094.687.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.620.3-9.5

 

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 -1,869,210 contracts in the data reported through Tuesday. This was a weekly decline of -101,801 contracts from the previous week which had a total of -1,767,409 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 77.6 percent.

Price Trend-Following Model: Weak Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.96.5
– Percent of Open Interest Shorts:35.957.84.5
– Net Position:-1,869,2101,740,989128,221
– Gross Longs:441,1445,459,346415,574
– Gross Shorts:2,310,3543,718,357287,353
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.077.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.028.0-16.1

 

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 -815,801 contracts in the data reported through Tuesday. This was a weekly gain of 2,469 contracts from the previous week which had a total of -818,270 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 31.0 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 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:9.178.59.6
– Percent of Open Interest Shorts:26.962.18.3
– Net Position:-815,801752,02963,772
– Gross Longs:419,1603,608,341443,088
– Gross Shorts:1,234,9612,856,312379,316
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.070.879.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:31.0-29.2-19.4

 

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 -156,791 contracts in the data reported through Tuesday. This was a weekly lowering of -16,352 contracts from the previous week which had a total of -140,439 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 27.9 percent. The commercials are Bullish with a score of 63.0 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.174.29.8
– Percent of Open Interest Shorts:22.263.613.3
– Net Position:-156,791233,234-76,443
– Gross Longs:332,7611,638,773217,334
– Gross Shorts:489,5521,405,539293,777
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.963.067.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.528.8-8.4

 

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 -41,768 contracts in the data reported through Tuesday. This was a weekly decrease of -4,017 contracts from the previous week which had a total of -37,751 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 68.9 percent. The commercials are Bearish with a score of 23.5 percent and the small traders (not shown in chart) are Bullish with a score of 58.7 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:22.063.710.2
– Percent of Open Interest Shorts:24.264.57.2
– Net Position:-41,768-16,08357,851
– Gross Longs:425,1581,230,934197,990
– Gross Shorts:466,9261,247,017140,139
– Long to Short Ratio:0.9 to 11.0 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.923.558.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.1-1.3-34.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -241,284 contracts in the data reported through Tuesday. This was a weekly lift of 23,124 contracts from the previous week which had a total of -264,408 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 99.5 percent. The commercials are Bearish-Extreme with a score of 16.3 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 US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.278.99.7
– Percent of Open Interest Shorts:22.665.210.0
– Net Position:-241,284245,400-4,116
– Gross Longs:164,7341,420,045175,057
– Gross Shorts:406,0181,174,645179,173
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):99.516.30.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.11.1-34.0

 

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
10 Nov

COT Bonds Charts: Speculator Bets led by SOFR 1-Month & 10-Year Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday November 5th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 1-Month & 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 1-Month (128,987 contracts) with the 10-Year Bonds (82,913 contracts), the Ultra Treasury Bonds (45,626 contracts) and the US Treasury Bonds (17,066 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-129,805 contracts), the 5-Year Bonds (-86,938 contracts), the SOFR 3-Months (-42,478 contracts), the Ultra 10-Year Bonds (-37,405 contracts) and with the 2-Year Bonds (-6,998 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (89 percent) and the US Treasury Bonds (70 percent) lead the bond markets this week. The Fed Funds (59 percent) comes in as the next highest in the weekly strength scores.

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

Strength Statistics:
Fed Funds (59.0 percent) vs Fed Funds previous week (83.0 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (0.4 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (5.2 percent)
10-Year Bond (30.8 percent) vs 10-Year Bond previous week (22.9 percent)
Ultra 10-Year Bond (31.2 percent) vs Ultra 10-Year Bond previous week (39.7 percent)
US Treasury Bond (70.3 percent) vs US Treasury Bond previous week (64.4 percent)
Ultra US Treasury Bond (88.8 percent) vs Ultra US Treasury Bond previous week (67.7 percent)
SOFR 1-Month (31.8 percent) vs SOFR 1-Month previous week (0.0 percent)
SOFR 3-Months (55.4 percent) vs SOFR 3-Months previous week (57.6 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (40 percent) and the 10-Year Bonds (20 percent) lead the past six weeks trends for bonds.

The SOFR 3-Months (-41 percent), the Fed Funds (-36 percent) and the 2-Year Bonds (-28 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-23 percent) and the 5-Year Bonds (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-35.5 percent) vs Fed Funds previous week (-4.6 percent)
2-Year Bond (-27.9 percent) vs 2-Year Bond previous week (-28.8 percent)
5-Year Bond (-12.8 percent) vs 5-Year Bond previous week (-5.2 percent)
10-Year Bond (19.6 percent) vs 10-Year Bond previous week (18.2 percent)
Ultra 10-Year Bond (-23.3 percent) vs Ultra 10-Year Bond previous week (-13.0 percent)
US Treasury Bond (40.0 percent) vs US Treasury Bond previous week (19.1 percent)
Ultra US Treasury Bond (0.9 percent) vs Ultra US Treasury Bond previous week (-16.5 percent)
SOFR 1-Month (-1.4 percent) vs SOFR 1-Month previous week (-24.0 percent)
SOFR 3-Months (-40.7 percent) vs SOFR 3-Months previous week (-37.1 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 23,900 contracts in the data reported through Tuesday. This was a weekly decline of -129,805 contracts from the previous week which had a total of 153,705 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.0 percent. The commercials are Bearish with a score of 38.8 percent and the small traders (not shown in chart) are Bullish with a score of 73.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.163.21.9
– Percent of Open Interest Shorts:10.564.42.4
– Net Position:23,900-17,536-6,364
– Gross Longs:175,995918,03027,974
– Gross Shorts:152,095935,56634,338
– Long to Short Ratio:1.2 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.038.873.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-35.532.623.2

 

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 reached a net position of -94,627 contracts in the data reported through Tuesday. This was a weekly lowering of -42,478 contracts from the previous week which had a total of -52,149 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.4 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.258.30.4
– Percent of Open Interest Shorts:15.257.30.4
– Net Position:-94,62797,514-2,887
– Gross Longs:1,459,8565,974,74937,490
– Gross Shorts:1,554,4835,877,23540,377
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.444.686.3
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.740.9-2.1

 

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 reached a net position of -149,036 contracts in the data reported through Tuesday. This was a weekly advance of 128,987 contracts from the previous week which had a total of -278,023 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.8 percent. The commercials are Bullish with a score of 68.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.4 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.564.00.0
– Percent of Open Interest Shorts:27.450.00.1
– Net Position:-149,036149,470-434
– Gross Longs:144,949686,481371
– Gross Shorts:293,985537,011805
– Long to Short Ratio:0.5 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.868.352.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.41.41.5

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -1,486,359 contracts in the data reported through Tuesday. This was a weekly lowering of -6,998 contracts from the previous week which had a total of -1,479,361 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.2 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.779.76.0
– Percent of Open Interest Shorts:45.549.42.5
– Net Position:-1,486,3591,333,658152,701
– Gross Longs:516,5733,510,416264,257
– Gross Shorts:2,002,9322,176,758111,556
– Long to Short Ratio:0.3 to 11.6 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.984.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.934.8-10.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,767,409 contracts in the data reported through Tuesday. This was a weekly reduction of -86,938 contracts from the previous week which had a total of -1,680,471 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.

Price Trend-Following Model: Weak Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.484.96.6
– Percent of Open Interest Shorts:35.659.14.1
– Net Position:-1,767,4091,614,843152,566
– Gross Longs:464,3805,316,837412,049
– Gross Shorts:2,231,7893,701,994259,483
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.082.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.822.9-16.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -818,270 contracts in the data reported through Tuesday. This was a weekly rise of 82,913 contracts from the previous week which had a total of -901,183 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.8 percent. The commercials are Bullish with a score of 65.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.5 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.977.110.6
– Percent of Open Interest Shorts:27.861.68.2
– Net Position:-818,270707,726110,544
– Gross Longs:451,4053,519,123486,142
– Gross Shorts:1,269,6752,811,397375,598
– Long to Short Ratio:0.4 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.865.489.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.6-24.1-2.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -140,439 contracts in the data reported through Tuesday. This was a weekly lowering of -37,405 contracts from the previous week which had a total of -103,034 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.2 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.375.19.7
– Percent of Open Interest Shorts:20.865.712.6
– Net Position:-140,439204,526-64,087
– Gross Longs:312,5051,637,544211,011
– Gross Shorts:452,9441,433,018275,098
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.258.174.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.331.4-3.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -37,751 contracts in the data reported through Tuesday. This was a weekly rise of 17,066 contracts from the previous week which had a total of -54,817 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.3 percent. The commercials are Bearish-Extreme with a score of 16.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.9 percent.

Price Trend-Following Model: Weak Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.762.911.1
– Percent of Open Interest Shorts:24.764.97.1
– Net Position:-37,751-36,56374,314
– Gross Longs:427,2321,182,686207,708
– Gross Shorts:464,9831,219,249133,394
– Long to Short Ratio:0.9 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.316.669.9
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:40.0-25.8-26.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -264,408 contracts in the data reported through Tuesday. This was a weekly rise of 45,626 contracts from the previous week which had a total of -310,034 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 88.8 percent. The commercials are Bearish with a score of 25.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.9 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.178.010.5
– Percent of Open Interest Shorts:23.963.310.4
– Net Position:-264,408263,521887
– Gross Longs:161,8121,394,705186,882
– Gross Shorts:426,2201,131,184185,995
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):88.825.46.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.912.3-37.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.

Bonds COT Updates Financial News
03 Nov

COT Bonds Charts: Speculator Bets led by Ultra Treasury Bonds & US Treasury Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday October 29th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Ultra Treasury Bonds & US Treasury Bonds

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

Leading the gains for the bond markets was the Ultra Treasury Bonds (32,269 contracts) with the US Treasury Bonds (19,020 contracts) and the Fed Funds (17,490 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-98,451 contracts), the 10-Year Bonds (-52,992 contracts), the Ultra 10-Year Bonds (-39,312 contracts), the 5-Year Bonds (-39,484 contracts), the SOFR 1-Month (-28,806 contracts) and with the SOFR 3-Months (-86 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (83 percent) and the Ultra Treasury Bonds (68 percent) lead the bond markets this week. The US Treasury Bonds (64 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (0 percent), the SOFR 1-Month (0 percent) and the 5-Year Bonds (3 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (83.0 percent) vs Fed Funds previous week (79.8 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (6.3 percent)
5-Year Bond (3.5 percent) vs 5-Year Bond previous week (5.9 percent)
10-Year Bond (22.9 percent) vs 10-Year Bond previous week (28.0 percent)
Ultra 10-Year Bond (36.5 percent) vs Ultra 10-Year Bond previous week (44.6 percent)
US Treasury Bond (64.4 percent) vs US Treasury Bond previous week (57.8 percent)
Ultra US Treasury Bond (67.7 percent) vs Ultra US Treasury Bond previous week (52.8 percent)
SOFR 1-Month (0.0 percent) vs SOFR 1-Month previous week (7.1 percent)
SOFR 3-Months (57.6 percent) vs SOFR 3-Months previous week (57.6 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (19 percent) and the 10-Year Bonds (18 percent) lead the past six weeks trends for bonds.

The SOFR 3-Months (-37 percent), the 2-Year Bonds (-29 percent) and the SOFR 1-Month (-24 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-4.6 percent) vs Fed Funds previous week (35.6 percent)
2-Year Bond (-28.9 percent) vs 2-Year Bond previous week (-23.9 percent)
5-Year Bond (-5.3 percent) vs 5-Year Bond previous week (4.8 percent)
10-Year Bond (18.2 percent) vs 10-Year Bond previous week (16.4 percent)
Ultra 10-Year Bond (-12.0 percent) vs Ultra 10-Year Bond previous week (-1.6 percent)
US Treasury Bond (19.1 percent) vs US Treasury Bond previous week (-3.3 percent)
Ultra US Treasury Bond (-16.5 percent) vs Ultra US Treasury Bond previous week (-38.5 percent)
SOFR 1-Month (-24.0 percent) vs SOFR 1-Month previous week (-27.9 percent)
SOFR 3-Months (-37.1 percent) vs SOFR 3-Months previous week (-41.1 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of 153,705 contracts in the data reported through Tuesday. This was a weekly increase of 17,490 contracts from the previous week which had a total of 136,215 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.0 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bearish with a score of 42.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.357.21.7
– Percent of Open Interest Shorts:14.363.12.7
– Net Position:153,705-130,471-23,234
– Gross Longs:469,5421,263,93537,401
– Gross Shorts:315,8371,394,40660,635
– Long to Short Ratio:1.5 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.018.342.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.64.6-0.5

 

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 -52,149 contracts in the data reported through Tuesday. This was a weekly lowering of -86 contracts from the previous week which had a total of -52,063 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.6 percent. The commercials are Bearish with a score of 42.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.557.90.4
– Percent of Open Interest Shorts:15.057.30.5
– Net Position:-52,14964,149-12,000
– Gross Longs:1,476,9905,917,93040,674
– Gross Shorts:1,529,1395,853,78152,674
– Long to Short Ratio:1.0 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.642.981.3
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-37.138.3-11.5

 

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 equaled a net position of -278,023 contracts in the data reported through Tuesday. This was a weekly decrease of -28,806 contracts from the previous week which had a total of -249,217 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 50.9 percent.

Price Trend-Following Model: Strong Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.969.40.0
– Percent of Open Interest Shorts:30.648.60.1
– Net Position:-278,023278,649-626
– Gross Longs:132,190930,913413
– Gross Shorts:410,213652,2641,039
– Long to Short Ratio:0.3 to 11.4 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.050.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.023.127.1

 

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 -1,479,361 contracts in the data reported through Tuesday. This was a weekly decline of -98,451 contracts from the previous week which had a total of -1,380,910 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.9 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.180.05.9
– Percent of Open Interest Shorts:44.750.92.4
– Net Position:-1,479,3611,318,151161,210
– Gross Longs:545,6773,620,929268,615
– Gross Shorts:2,025,0382,302,778107,405
– Long to Short Ratio:0.3 to 11.6 to 12.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.886.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.933.10.8

 

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 -1,680,471 contracts in the data reported through Tuesday. This was a weekly lowering of -39,484 contracts from the previous week which had a total of -1,640,987 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.5 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.3 percent.

Price Trend-Following Model: Weak Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.384.17.1
– Percent of Open Interest Shorts:34.260.24.1
– Net Position:-1,680,4711,493,749186,722
– Gross Longs:458,6885,255,655441,574
– Gross Shorts:2,139,1593,761,906254,852
– Long to Short Ratio:0.2 to 11.4 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.5100.088.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.38.5-2.9

 

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 -901,183 contracts in the data reported through Tuesday. This was a weekly reduction of -52,992 contracts from the previous week which had a total of -848,191 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.9 percent. The commercials are Bullish with a score of 75.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.6 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.377.910.4
– Percent of Open Interest Shorts:28.960.78.0
– Net Position:-901,183790,410110,773
– Gross Longs:429,0783,583,452478,912
– Gross Shorts:1,330,2612,793,042368,139
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.975.589.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.2-18.8-8.5

 

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 -103,034 contracts in the data reported through Tuesday. This was a weekly fall of -39,312 contracts from the previous week which had a total of -63,722 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.5 percent. The commercials are Bullish with a score of 54.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.173.59.8
– Percent of Open Interest Shorts:20.865.113.4
– Net Position:-103,034183,187-80,153
– Gross Longs:353,2101,614,142214,437
– Gross Shorts:456,2441,430,955294,590
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.554.865.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.020.9-11.6

 

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 -54,817 contracts in the data reported through Tuesday. This was a weekly gain of 19,020 contracts from the previous week which had a total of -73,837 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.4 percent. The commercials are Bearish-Extreme with a score of 17.7 percent and the small traders (not shown in chart) are Bullish with a score of 79.1 percent.

Price Trend-Following Model: Weak Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.863.412.0
– Percent of Open Interest Shorts:25.865.37.2
– Net Position:-54,817-33,07987,896
– Gross Longs:417,1931,159,696219,436
– Gross Shorts:472,0101,192,775131,540
– Long to Short Ratio:0.9 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.417.779.1
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.1-10.2-16.8

 

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 -310,034 contracts in the data reported through Tuesday. This was a weekly rise of 32,269 contracts from the previous week which had a total of -342,303 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.7 percent. The commercials are Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.078.410.6
– Percent of Open Interest Shorts:26.561.210.5
– Net Position:-310,034307,6592,375
– Gross Longs:160,8921,396,250188,474
– Gross Shorts:470,9261,088,591186,099
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.747.59.0
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.539.5-61.3

 

Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.

Bonds COT Updates Financial News
19 Oct

COT Bonds Charts: Speculator bets led by 10-Year & US Treasury Bonds

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday October 15th 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 & US Treasury Bonds

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 10-Year Bonds (95,064 contracts) with the US Treasury Bonds (15,997 contracts), the Ultra 10-Year Bonds (7,419 contracts) and the SOFR 1-Month (7,304 contracts) showing positive weeks as well.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-246,502 contracts), the 2-Year Bonds (-117,224 contracts), the Fed Funds (-64,706 contracts), the 5-Year Bonds (-29,699 contracts) and the Ultra Treasury Bonds (-38,975 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (78 percent) and the SOFR 3-Months (67 percent) lead the bond markets this week. The US Treasury Bonds (63 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (7 percent), the 2-Year Bonds (9 percent) and the SOFR 1-Month (10 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (78.0 percent) vs Fed Funds previous week (90.0 percent)
2-Year Bond (8.6 percent) vs 2-Year Bond previous week (16.0 percent)
5-Year Bond (6.5 percent) vs 5-Year Bond previous week (8.4 percent)
10-Year Bond (26.4 percent) vs 10-Year Bond previous week (17.4 percent)
Ultra 10-Year Bond (42.3 percent) vs Ultra 10-Year Bond previous week (40.7 percent)
US Treasury Bond (62.5 percent) vs US Treasury Bond previous week (57.0 percent)
Ultra US Treasury Bond (62.5 percent) vs Ultra US Treasury Bond previous week (80.6 percent)
SOFR 1-Month (9.6 percent) vs SOFR 1-Month previous week (7.7 percent)
SOFR 3-Months (66.6 percent) vs SOFR 3-Months previous week (79.3 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (40 percent) and the 10-Year Bonds (13 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (5 percent) are the next highest positive movers in the latest trends data.

The SOFR 1-Month (-29 percent), the SOFR 3-Months (-26 percent) and the 2-Year Bonds (-23 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (40.2 percent) vs Fed Funds previous week (69.8 percent)
2-Year Bond (-23.0 percent) vs 2-Year Bond previous week (-12.5 percent)
5-Year Bond (5.4 percent) vs 5-Year Bond previous week (3.4 percent)
10-Year Bond (13.0 percent) vs 10-Year Bond previous week (-4.3 percent)
Ultra 10-Year Bond (1.8 percent) vs Ultra 10-Year Bond previous week (5.3 percent)
US Treasury Bond (-9.5 percent) vs US Treasury Bond previous week (-21.6 percent)
Ultra US Treasury Bond (-37.5 percent) vs Ultra US Treasury Bond previous week (-5.8 percent)
SOFR 1-Month (-29.2 percent) vs SOFR 1-Month previous week (-47.6 percent)
SOFR 3-Months (-26.3 percent) vs SOFR 3-Months previous week (-9.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 126,765 contracts in the data reported through Tuesday. This was a weekly decrease of -64,706 contracts from the previous week which had a total of 191,471 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 78.0 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.854.61.6
– Percent of Open Interest Shorts:14.659.82.7
– Net Position:126,765-104,535-22,230
– Gross Longs:422,5431,109,59631,783
– Gross Shorts:295,7781,214,13154,013
– Long to Short Ratio:1.4 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.023.044.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:40.2-38.3-12.5

 

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 totaled a net position of 121,918 contracts in the data reported through Tuesday. This was a weekly reduction of -246,502 contracts from the previous week which had a total of 368,420 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 66.6 percent. The commercials are Bearish with a score of 33.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.558.30.4
– Percent of Open Interest Shorts:13.359.60.3
– Net Position:121,918-127,3295,411
– Gross Longs:1,459,0405,861,02535,753
– Gross Shorts:1,337,1225,988,35430,342
– Long to Short Ratio:1.1 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.633.090.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.326.13.3

 

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 totaled a net position of -215,156 contracts in the data reported through Tuesday. This was a weekly boost of 7,304 contracts from the previous week which had a total of -222,460 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 9.6 percent. The commercials are Bullish-Extreme with a score of 90.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.7 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:12.367.10.0
– Percent of Open Interest Shorts:31.148.20.1
– Net Position:-215,156215,684-528
– Gross Longs:140,428766,626556
– Gross Shorts:355,584550,9421,084
– Long to Short Ratio:0.4 to 11.4 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.690.651.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-29.229.20.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -1,342,260 contracts in the data reported through Tuesday. This was a weekly reduction of -117,224 contracts from the previous week which had a total of -1,225,036 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 8.6 percent. The commercials are Bullish-Extreme with a score of 87.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.6 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.579.36.2
– Percent of Open Interest Shorts:42.653.22.2
– Net Position:-1,342,2601,162,975179,285
– Gross Longs:557,7153,535,657276,550
– Gross Shorts:1,899,9752,372,68297,265
– Long to Short Ratio:0.3 to 11.5 to 12.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.687.492.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.025.63.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,630,024 contracts in the data reported through Tuesday. This was a weekly decline of -29,699 contracts from the previous week which had a total of -1,600,325 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.5 percent. The commercials are Bullish-Extreme with a score of 97.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.384.27.0
– Percent of Open Interest Shorts:33.460.84.3
– Net Position:-1,630,0241,461,880168,144
– Gross Longs:452,5895,248,489437,087
– Gross Shorts:2,082,6133,786,609268,943
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.597.684.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.4-1.1-13.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -865,065 contracts in the data reported through Tuesday. This was a weekly lift of 95,064 contracts from the previous week which had a total of -960,129 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 26.4 percent. The commercials are Bullish with a score of 70.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.6 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.278.39.7
– Percent of Open Interest Shorts:28.562.47.2
– Net Position:-865,065747,361117,704
– Gross Longs:477,9303,684,020458,041
– Gross Shorts:1,342,9952,936,659340,337
– Long to Short Ratio:0.4 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.470.391.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.0-12.2-7.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -75,048 contracts in the data reported through Tuesday. This was a weekly gain of 7,419 contracts from the previous week which had a total of -82,467 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 42.3 percent. The commercials are Bearish with a score of 46.2 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.273.59.3
– Percent of Open Interest Shorts:19.766.612.8
– Net Position:-75,048151,418-76,370
– Gross Longs:355,8721,610,178204,283
– Gross Shorts:430,9201,458,760280,653
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.346.267.6
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.86.4-18.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -60,178 contracts in the data reported through Tuesday. This was a weekly lift of 15,997 contracts from the previous week which had a total of -76,175 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-Extreme with a score of 18.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.7 percent.

Price Trend-Following Model: Weak Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.864.412.9
– Percent of Open Interest Shorts:25.266.17.8
– Net Position:-60,178-30,07390,251
– Gross Longs:388,1581,148,257229,519
– Gross Shorts:448,3361,178,330139,268
– Long to Short Ratio:0.9 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.518.780.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.518.7-19.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -321,226 contracts in the data reported through Tuesday. This was a weekly reduction of -38,975 contracts from the previous week which had a total of -282,251 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 Bullish with a score of 52.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.4 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.580.210.2
– Percent of Open Interest Shorts:28.161.710.0
– Net Position:-321,226318,5422,684
– Gross Longs:164,2821,384,793175,351
– Gross Shorts:485,5081,066,251172,667
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.552.99.4
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-37.552.9-35.0

 

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
12 Oct

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

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday October 8th 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 & US Treasury Bonds

The COT bond market speculator bets were overall lower this week as 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 10-Year Bonds (183,760 contracts) with the US Treasury Bonds (20,403 contracts) also showing a positive week.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-225,896 contracts), the 2-Year Bonds (-46,817 contracts), the Fed Funds (-54,222 contracts), the 5-Year Bonds (-49,535 contracts), the SOFR 1-Month (-27,938 contracts), the Ultra Treasury Bonds (-19,033 contracts) and with the Ultra 10-Year Bonds (-1,918 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (90 percent) and the Ultra Treasury Bonds (81 percent) lead the bond markets this week. The SOFR 3-Months (79 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (8 percent), the SOFR 1-Month (8 percent), the 10-Year Bonds (16 percent) and the 2-Year Bonds (16 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (90.0 percent) vs Fed Funds previous week (100.0 percent)
2-Year Bond (16.0 percent) vs 2-Year Bond previous week (19.0 percent)
5-Year Bond (8.4 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (16.1 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (40.7 percent) vs Ultra 10-Year Bond previous week (41.1 percent)
US Treasury Bond (57.0 percent) vs US Treasury Bond previous week (49.8 percent)
Ultra US Treasury Bond (80.6 percent) vs Ultra US Treasury Bond previous week (89.4 percent)
SOFR 1-Month (7.7 percent) vs SOFR 1-Month previous week (15.0 percent)
SOFR 3-Months (79.3 percent) vs SOFR 3-Months previous week (91.0 percent)

Fed Funds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (70 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (5 percent) and the 5-Year Bonds (3 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-22 percent) and the 2-Year Bonds (-13 percent) lead the downside trend scores currently with the SOFR 3-Months (-9 percent) and the Ultra Treasury Bonds (-6 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (69.8 percent) vs Fed Funds previous week (70.6 percent)
2-Year Bond (-12.5 percent) vs 2-Year Bond previous week (-1.6 percent)
5-Year Bond (3.4 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (-4.0 percent) vs 10-Year Bond previous week (-9.3 percent)
Ultra 10-Year Bond (5.3 percent) vs Ultra 10-Year Bond previous week (11.5 percent)
US Treasury Bond (-21.6 percent) vs US Treasury Bond previous week (-22.0 percent)
Ultra US Treasury Bond (-5.8 percent) vs Ultra US Treasury Bond previous week (28.9 percent)
SOFR 1-Month (-47.6 percent) vs SOFR 1-Month previous week (-50.9 percent)
SOFR 3-Months (-9.4 percent) vs SOFR 3-Months previous week (11.0 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 191,471 contracts in the data reported through Tuesday. This was a weekly reduction of -54,222 contracts from the previous week which had a total of 245,693 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 90.0 percent. The commercials are Bearish-Extreme with a score of 9.5 percent and the small traders (not shown in chart) are Bullish with a score of 62.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.150.94.1
– Percent of Open Interest Shorts:13.959.54.6
– Net Position:191,471-179,097-12,374
– Gross Longs:481,1311,059,60784,379
– Gross Shorts:289,6601,238,70496,753
– Long to Short Ratio:1.7 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.09.562.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:69.8-68.4-4.2

 

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 reached a net position of 368,420 contracts in the data reported through Tuesday. This was a weekly lowering of -225,896 contracts from the previous week which had a total of 594,316 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 79.3 percent. The commercials are Bearish with a score of 20.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.955.71.0
– Percent of Open Interest Shorts:12.359.40.9
– Net Position:368,420-373,1234,703
– Gross Longs:1,630,4415,720,105100,511
– Gross Shorts:1,262,0216,093,22895,808
– Long to Short Ratio:1.3 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.320.390.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.49.13.4

 

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 reached a net position of -222,460 contracts in the data reported through Tuesday. This was a weekly lowering of -27,938 contracts from the previous week which had a total of -194,522 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 7.7 percent. The commercials are Bullish-Extreme with a score of 92.5 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 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:10.266.40.8
– Percent of Open Interest Shorts:29.746.80.9
– Net Position:-222,460223,071-611
– Gross Longs:115,999755,4029,260
– Gross Shorts:338,459532,3319,871
– Long to Short Ratio:0.3 to 11.4 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.792.551.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-47.647.51.5

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -1,225,036 contracts in the data reported through Tuesday. This was a weekly reduction of -46,817 contracts from the previous week which had a total of -1,178,219 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 16.0 percent. The commercials are Bullish with a score of 78.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.377.66.6
– Percent of Open Interest Shorts:41.954.32.3
– Net Position:-1,225,0361,034,896190,140
– Gross Longs:635,2543,446,184292,339
– Gross Shorts:1,860,2902,411,288102,199
– Long to Short Ratio:0.3 to 11.4 to 12.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.078.096.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.513.82.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,600,325 contracts in the data reported through Tuesday. This was a weekly reduction of -49,535 contracts from the previous week which had a total of -1,550,790 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 8.4 percent. The commercials are Bullish-Extreme with a score of 92.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.9 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.883.47.4
– Percent of Open Interest Shorts:33.461.04.3
– Net Position:-1,600,3251,404,836195,489
– Gross Longs:488,5965,223,372463,588
– Gross Shorts:2,088,9213,818,536268,099
– Long to Short Ratio:0.2 to 11.4 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.492.889.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.4-4.2-0.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -960,129 contracts in the data reported through Tuesday. This was a weekly gain of 183,760 contracts from the previous week which had a total of -1,143,889 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 with a score of 77.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.1 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.69.8
– Percent of Open Interest Shorts:30.060.96.6
– Net Position:-960,129805,589154,540
– Gross Longs:489,6053,746,029475,440
– Gross Shorts:1,449,7342,940,440320,900
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.177.499.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.06.2-0.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -82,467 contracts in the data reported through Tuesday. This was a weekly reduction of -1,918 contracts from the previous week which had a total of -80,549 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 40.7 percent. The commercials are Bearish with a score of 47.3 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.073.99.6
– Percent of Open Interest Shorts:19.766.912.9
– Net Position:-82,467155,448-72,981
– Gross Longs:352,1731,630,033211,286
– Gross Shorts:434,6401,474,585284,267
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.747.369.6
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.33.0-21.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -76,175 contracts in the data reported through Tuesday. This was a weekly advance of 20,403 contracts from the previous week which had a total of -96,578 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.0 percent. The commercials are Bearish with a score of 20.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.4 percent.

Price Trend-Following Model: Weak Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.665.113.5
– Percent of Open Interest Shorts:24.966.67.7
– Net Position:-76,175-25,386101,561
– Gross Longs:362,5401,148,669237,597
– Gross Shorts:438,7151,174,055136,036
– Long to Short Ratio:0.8 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.020.388.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.619.43.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -282,251 contracts in the data reported through Tuesday. This was a weekly fall of -19,033 contracts from the previous week which had a total of -263,218 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 80.6 percent. The commercials are Bearish with a score of 26.6 percent and the small traders (not shown in chart) are Bearish with a score of 28.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.179.210.6
– Percent of Open Interest Shorts:26.763.69.6
– Net Position:-282,251265,92616,325
– Gross Longs:172,8561,351,055180,774
– Gross Shorts:455,1071,085,129164,449
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.626.628.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.86.10.4

 

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
28 Sep

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

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday September 24th 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 & 5-Year Bonds

The COT bond market speculator bets were 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 (68,748 contracts) with the 5-Year Bonds (39,428 contracts), the SOFR 1-Month (37,194 contracts), the Fed Funds (37,053 contracts), the SOFR 3-Months (26,227 contracts), the Ultra 10-Year Bonds (7,961 contracts) and the Ultra Treasury Bonds (7,924 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the US Treasury Bonds (-42,871 contracts) and the 2-Year Bonds (-20,140 contracts).

*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 Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (100 percent) and the SOFR 3-Months (96 percent) lead the bond markets this week. The Ultra Treasury Bonds (88 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 10-Year Bond (6 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). The next lowest strength scores were the 2-Year Bonds (27 percent), the SOFR 1-Month (29 percent) and the US Treasury Bonds (30 percent).

Strength Statistics:
Fed Funds (100.0 percent) vs Fed Funds previous week (92.8 percent)
2-Year Bond (27.5 percent) vs 2-Year Bond previous week (28.7 percent)
5-Year Bond (11.2 percent) vs 5-Year Bond previous week (8.8 percent)
10-Year Bond (5.5 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (50.1 percent) vs Ultra 10-Year Bond previous week (48.4 percent)
US Treasury Bond (30.3 percent) vs US Treasury Bond previous week (45.3 percent)
Ultra US Treasury Bond (87.9 percent) vs Ultra US Treasury Bond previous week (84.2 percent)
SOFR 1-Month (28.5 percent) vs SOFR 1-Month previous week (18.7 percent)
SOFR 3-Months (96.1 percent) vs SOFR 3-Months previous week (94.7 percent)

Fed Funds & Ultra Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (60 percent) and the Ultra Treasury Bonds (38 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (24 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-44 percent) and the SOFR 1-Month (-42 percent) lead the downside trend scores currently with the 10-Year Bonds (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (60.0 percent) vs Fed Funds previous week (50.8 percent)
2-Year Bond (3.7 percent) vs 2-Year Bond previous week (5.0 percent)
5-Year Bond (8.6 percent) vs 5-Year Bond previous week (5.8 percent)
10-Year Bond (-13.2 percent) vs 10-Year Bond previous week (-25.4 percent)
Ultra 10-Year Bond (23.5 percent) vs Ultra 10-Year Bond previous week (24.7 percent)
US Treasury Bond (-44.0 percent) vs US Treasury Bond previous week (-18.1 percent)
Ultra US Treasury Bond (38.3 percent) vs Ultra US Treasury Bond previous week (47.3 percent)
SOFR 1-Month (-42.1 percent) vs SOFR 1-Month previous week (-45.7 percent)
SOFR 3-Months (12.8 percent) vs SOFR 3-Months previous week (15.5 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 215,860 contracts in the data reported through Tuesday. This was a weekly lift of 37,053 contracts from the previous week which had a total of 178,807 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 50.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.251.81.3
– Percent of Open Interest Shorts:12.760.42.2
– Net Position:215,860-196,844-19,016
– Gross Longs:506,6911,182,91830,705
– Gross Shorts:290,8311,379,76249,721
– Long to Short Ratio:1.7 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.050.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:60.0-57.9-16.0

 

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 recorded a net position of 692,822 contracts in the data reported through Tuesday. This was a weekly gain of 26,227 contracts from the previous week which had a total of 666,595 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 96.1 percent. The commercials are Bearish-Extreme with a score of 3.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.052.70.3
– Percent of Open Interest Shorts:12.759.00.3
– Net Position:692,822-693,686864
– Gross Longs:2,075,1755,741,88833,659
– Gross Shorts:1,382,3536,435,57432,795
– Long to Short Ratio:1.5 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):96.13.788.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.8-12.8-0.4

 

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 -143,333 contracts in the data reported through Tuesday. This was a weekly lift of 37,194 contracts from the previous week which had a total of -180,527 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 28.5 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 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:16.261.60.0
– Percent of Open Interest Shorts:26.850.90.1
– Net Position:-143,333143,950-617
– Gross Longs:216,897827,328419
– Gross Shorts:360,230683,3781,036
– Long to Short Ratio:0.6 to 11.2 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.571.751.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-42.142.01.3

 

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 -1,046,560 contracts in the data reported through Tuesday. This was a weekly lowering of -20,140 contracts from the previous week which had a total of -1,026,420 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 27.5 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 94.7 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:16.375.56.5
– Percent of Open Interest Shorts:39.756.22.3
– Net Position:-1,046,560860,274186,286
– Gross Longs:730,1283,375,823288,592
– Gross Shorts:1,776,6882,515,549102,306
– Long to Short Ratio:0.4 to 11.3 to 12.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.565.194.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.7-3.0-5.3

 

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 -1,554,432 contracts in the data reported through Tuesday. This was a weekly lift of 39,428 contracts from the previous week which had a total of -1,593,860 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.2 percent. The commercials are Bullish-Extreme with a score of 85.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.6 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.182.47.4
– Percent of Open Interest Shorts:33.362.03.6
– Net Position:-1,554,4321,311,411243,021
– Gross Longs:587,8235,292,601477,254
– Gross Shorts:2,142,2553,981,190234,233
– Long to Short Ratio:0.3 to 11.3 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.285.098.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.6-11.4-0.8

 

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 -1,025,278 contracts in the data reported through Tuesday. This was a weekly increase of 68,748 contracts from the previous week which had a total of -1,094,026 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 5.5 percent. The commercials are Bullish-Extreme with a score of 95.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.2 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.579.49.6
– Percent of Open Interest Shorts:30.261.17.2
– Net Position:-1,025,278904,645120,633
– Gross Longs:467,8283,925,429476,178
– Gross Shorts:1,493,1063,020,784355,545
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.595.092.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.224.2-4.9

 

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 -37,679 contracts in the data reported through Tuesday. This was a weekly boost of 7,961 contracts from the previous week which had a total of -45,640 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 Bullish with a score of 50.1 percent. The commercials are Bearish with a score of 31.1 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 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.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.773.110.6
– Percent of Open Interest Shorts:17.568.613.3
– Net Position:-37,67995,760-58,081
– Gross Longs:333,4301,551,322224,447
– Gross Shorts:371,1091,455,562282,528
– Long to Short Ratio:0.9 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.131.178.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.5-24.2-13.9

 

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 -152,582 contracts in the data reported through Tuesday. This was a weekly reduction of -42,871 contracts from the previous week which had a total of -109,711 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 30.3 percent. The commercials are Bearish with a score of 42.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.165.114.3
– Percent of Open Interest Shorts:28.862.97.9
– Net Position:-152,58239,846112,736
– Gross Longs:353,8201,143,670251,077
– Gross Shorts:506,4021,103,824138,341
– Long to Short Ratio:0.7 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.342.496.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.038.48.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -266,379 contracts in the data reported through Tuesday. This was a weekly advance of 7,924 contracts from the previous week which had a total of -274,303 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.9 percent. The commercials are Bearish-Extreme with a score of 13.1 percent and the small traders (not shown in chart) are Bearish with a score of 49.3 percent.

Price Trend-Following Model: Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.478.210.9
– Percent of Open Interest Shorts:26.064.29.3
– Net Position:-266,379238,94727,432
– Gross Longs:178,4251,337,926186,442
– Gross Shorts:444,8041,098,979159,010
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):87.913.149.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:38.3-40.0-3.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

 

Bonds COT Updates Financial News
21 Sep

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

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday September 17th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Bets led by Fed Funds & 5-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (235,228 contracts) with the 5-Year Bonds (126,136 contracts) and the Ultra 10-Year Bonds (10,506 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-77,632 contracts), the 10-Year Bonds (-71,921 contracts), the SOFR 1-Month (-44,450 contracts), the US Treasury Bonds (-45,481 contracts), the 2-Year Bonds (-20,204 contracts) and with the Ultra Treasury Bonds (-15,145 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (100 percent) and the SOFR 3-Months (95 percent) lead the bond markets this week. The Ultra Treasury Bonds (84 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 10-Year Bond (0 percent), the 5-Year Bonds (9 percent) and the SOFR 1-Month (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (29 percent) and the US Treasury Bonds (45 percent).

Strength Statistics:
Fed Funds (100.0 percent) vs Fed Funds previous week (50.4 percent)
2-Year Bond (28.7 percent) vs 2-Year Bond previous week (30.0 percent)
5-Year Bond (8.8 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (5.6 percent)
Ultra 10-Year Bond (48.4 percent) vs Ultra 10-Year Bond previous week (46.2 percent)
US Treasury Bond (45.3 percent) vs US Treasury Bond previous week (61.1 percent)
Ultra US Treasury Bond (84.2 percent) vs Ultra US Treasury Bond previous week (91.2 percent)
SOFR 1-Month (18.7 percent) vs SOFR 1-Month previous week (30.4 percent)
SOFR 3-Months (94.7 percent) vs SOFR 3-Months previous week (98.7 percent)

Fed Funds & Ultra Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (55 percent) and the Ultra Treasury Bonds (47 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (25 percent) was the next highest positive movers in the latest trends data.

The SOFR 1-Month (-45.7 percent), the 10-Year Bonds (-25 percent) and the US Treasury Bonds (-18 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (54.7 percent) vs Fed Funds previous week (32.6 percent)
2-Year Bond (5.0 percent) vs 2-Year Bond previous week (6.2 percent)
5-Year Bond (5.8 percent) vs 5-Year Bond previous week (-3.9 percent)
10-Year Bond (-24.9 percent) vs 10-Year Bond previous week (-23.0 percent)
Ultra 10-Year Bond (24.7 percent) vs Ultra 10-Year Bond previous week (11.4 percent)
US Treasury Bond (-18.1 percent) vs US Treasury Bond previous week (-6.4 percent)
Ultra US Treasury Bond (47.3 percent) vs Ultra US Treasury Bond previous week (73.0 percent)
SOFR 1-Month (-45.7 percent) vs SOFR 1-Month previous week (-41.4 percent)
SOFR 3-Months (15.5 percent) vs SOFR 3-Months previous week (29.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 178,807 contracts in the data reported through Tuesday. This was a weekly boost of 235,228 contracts from the previous week which had a total of -56,421 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bearish with a score of 43.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.953.61.8
– Percent of Open Interest Shorts:17.060.52.8
– Net Position:178,807-155,837-22,970
– Gross Longs:564,7011,215,89940,036
– Gross Shorts:385,8941,371,73663,006
– Long to Short Ratio:1.5 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.043.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.7-52.3-20.8

 

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 totaled a net position of 666,595 contracts in the data reported through Tuesday. This was a weekly reduction of -77,632 contracts from the previous week which had a total of 744,227 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 94.7 percent. The commercials are Bearish-Extreme with a score of 4.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.954.50.4
– Percent of Open Interest Shorts:11.360.20.4
– Net Position:666,595-675,5628,967
– Gross Longs:2,000,5506,449,29950,395
– Gross Shorts:1,333,9557,124,86141,428
– Long to Short Ratio:1.5 to 10.9 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):94.74.692.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.5-16.27.0

 

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 totaled a net position of -180,527 contracts in the data reported through Tuesday. This was a weekly decrease of -44,450 contracts from the previous week which had a total of -136,077 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 18.7 percent. The commercials are Bullish-Extreme with a score of 82.4 percent and the small traders (not shown in chart) are Bearish with a score of 23.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.564.50.0
– Percent of Open Interest Shorts:30.150.60.3
– Net Position:-180,527184,536-4,009
– Gross Longs:219,572856,650379
– Gross Shorts:400,099672,1144,388
– Long to Short Ratio:0.5 to 11.3 to 10.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.782.423.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-45.746.4-24.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -1,026,420 contracts in the data reported through Tuesday. This was a weekly reduction of -20,204 contracts from the previous week which had a total of -1,006,216 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 28.7 percent. The commercials are Bullish with a score of 65.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.877.06.5
– Percent of Open Interest Shorts:38.656.92.8
– Net Position:-1,026,420867,872158,548
– Gross Longs:637,1643,321,163279,299
– Gross Shorts:1,663,5842,453,291120,751
– Long to Short Ratio:0.4 to 11.4 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.765.786.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.0-4.9-3.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,593,860 contracts in the data reported through Tuesday. This was a weekly lift of 126,136 contracts from the previous week which had a total of -1,719,996 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 8.8 percent. The commercials are Bullish-Extreme with a score of 91.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.582.27.1
– Percent of Open Interest Shorts:34.460.54.0
– Net Position:-1,593,8601,391,327202,533
– Gross Longs:607,5405,260,229455,505
– Gross Shorts:2,201,4003,868,902252,972
– Long to Short Ratio:0.3 to 11.4 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.891.791.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.8-3.8-8.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -1,094,026 contracts in the data reported through Tuesday. This was a weekly lowering of -71,921 contracts from the previous week which had a total of -1,022,105 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 98.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.879.89.8
– Percent of Open Interest Shorts:31.160.66.7
– Net Position:-1,094,026943,854150,172
– Gross Longs:431,0393,910,709479,362
– Gross Shorts:1,525,0652,966,855329,190
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.098.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.936.52.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -45,640 contracts in the data reported through Tuesday. This was a weekly advance of 10,506 contracts from the previous week which had a total of -56,146 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 48.4 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.473.810.1
– Percent of Open Interest Shorts:17.668.812.9
– Net Position:-45,640105,997-60,357
– Gross Longs:325,9631,559,701212,603
– Gross Shorts:371,6031,453,704272,960
– Long to Short Ratio:0.9 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.433.977.0
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.7-21.5-23.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -109,711 contracts in the data reported through Tuesday. This was a weekly lowering of -45,481 contracts from the previous week which had a total of -64,230 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 45.3 percent. The commercials are Bearish with a score of 27.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.465.014.1
– Percent of Open Interest Shorts:26.665.27.7
– Net Position:-109,711-2,942112,653
– Gross Longs:358,3171,142,280247,909
– Gross Shorts:468,0281,145,222135,256
– Long to Short Ratio:0.8 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.327.996.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.111.212.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -274,303 contracts in the data reported through Tuesday. This was a weekly reduction of -15,145 contracts from the previous week which had a total of -259,158 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 84.2 percent. The commercials are Bearish-Extreme with a score of 8.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.8 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.277.411.6
– Percent of Open Interest Shorts:26.164.29.0
– Net Position:-274,303228,72845,575
– Gross Longs:176,4561,335,723200,411
– Gross Shorts:450,7591,106,995154,836
– Long to Short Ratio:0.4 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):84.28.072.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:47.3-64.634.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.

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