Archive for Bonds

12 Apr

COT Bonds Charts: Weekly Speculator Changes led by 5-Year Bonds

By InvestMacro 

Bonds Market Open Interest Comparison

Open Interest (OI) is the amount of contracts that are currently live in the marketplace. OI Strength shows the current strength compared to the past 3-years.

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 April 7th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 5-Year Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (33,911 contracts) with the SOFR 3-Months (24,825 contracts), the SOFR 1-Month (8,889 contracts), the Ultra Treasury Bonds (7,746 contracts) and also the Ultra 10-Year Bonds (5,825 contracts) seeing positive weeks.

The bond markets with declines in speculator bets for the week were  the 2-Year Bonds (-74,691 contracts), the 10-Year Bonds (-39,561 contracts), the US Treasury Bonds (-27,363 contracts), and with the Fed Funds (-23,798 contracts) also recording lower bets on the week.

The US Treasury Bond leads the Bonds Market’s price performance

In the Bond Markets, the long US Treasury Bond was the biggest winner on the week with a modest 0.36% gain. This was followed by the Ten-Year Note, which rose by 0.34% on the week. The Five-Year Bond was slightly higher with a 0.24% rise and was followed by the Two-Year Bond, which rose by a similar 0.11% uptick.

Fed Funds were virtually unchanged at a 0.02% rise, while the 1-Month SOFR ticked up by 0.02%, and the 3-Month SOFR followed with a 0.01% edge higher.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (74 percent) and the SOFR 1-Month (68 percent) lead the bond markets this week. The Ultra 10-Year Bonds (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (30 percent) and the 10-Year Bonds (38 percent).

Strength Statistics:
Fed Funds (45.3 percent) vs Fed Funds previous week (48.7 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (6.4 percent)
5-Year Bond (58.6 percent) vs 5-Year Bond previous week (56.8 percent)
10-Year Bond (38.3 percent) vs 10-Year Bond previous week (43.0 percent)
Ultra 10-Year Bond (66.6 percent) vs Ultra 10-Year Bond previous week (65.0 percent)
US Treasury Bond (62.9 percent) vs US Treasury Bond previous week (72.4 percent)
Ultra US Treasury Bond (73.5 percent) vs Ultra US Treasury Bond previous week (70.6 percent)
SOFR 1-Month (67.7 percent) vs SOFR 1-Month previous week (66.1 percent)
SOFR 3-Months (29.9 percent) vs SOFR 3-Months previous week (28.6 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (27 percent) and the SOFR 1-Month (20 percent) lead the past six weeks trends for bonds. The Fed Funds (19 percent) are the next highest positive movers in the latest trends data.

The 2-Year Bond (-31 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-29 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (19.2 percent) vs Fed Funds previous week (25.6 percent)
2-Year Bond (-31.2 percent) vs 2-Year Bond previous week (-34.6 percent)
5-Year Bond (26.6 percent) vs 5-Year Bond previous week (29.6 percent)
10-Year Bond (-5.9 percent) vs 10-Year Bond previous week (11.2 percent)
Ultra 10-Year Bond (-28.6 percent) vs Ultra 10-Year Bond previous week (-18.1 percent)
US Treasury Bond (-22.3 percent) vs US Treasury Bond previous week (-13.2 percent)
Ultra US Treasury Bond (7.5 percent) vs Ultra US Treasury Bond previous week (2.6 percent)
SOFR 1-Month (20.1 percent) vs SOFR 1-Month previous week (5.0 percent)
SOFR 3-Months (10.4 percent) vs SOFR 3-Months previous week (7.6 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week came in at a net position of -74,504 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -23,798 contracts from the previous week which had a total of -50,706 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.3 percent.
  • The Commercials are Bullish with a score of 53.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 76.3 percent.

Price Trend-Following Model: Weak Uptrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.264.72.6
– Percent of Open Interest Shorts:21.261.51.8
– Net Position:-74,50459,45715,047
– Gross Longs:315,7741,191,54547,913
– Gross Shorts:390,2781,132,08832,866
– Long to Short Ratio:0.8 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.353.376.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.2-17.9-15.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -564,314 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 24,825 contracts from the previous week which had a total of -589,139 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent.
  • The Commercials are Bullish with a score of 70.5 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 41.4 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.858.40.2
– Percent of Open Interest Shorts:21.553.70.1
– Net Position:-564,314563,506808
– Gross Longs:2,024,3407,040,93018,517
– Gross Shorts:2,588,6546,477,42417,709
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.970.541.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.4-10.5-1.3

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -57,619 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 8,889 contracts from the previous week which had a total of -66,508 net contracts.
  • This week’s current strength score (range over the past 3 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 32.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 67.0 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:23.061.40.0
– Percent of Open Interest Shorts:27.457.00.0
– Net Position:-57,61957,55069
– Gross Longs:299,348800,504201
– Gross Shorts:356,967742,954132
– Long to Short Ratio:0.8 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.732.367.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.1-20.1-0.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week came in at a net position of -1,712,015 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -74,691 contracts from the previous week which had a total of -1,637,324 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 10.7 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:11.280.64.7
– Percent of Open Interest Shorts:47.645.73.1
– Net Position:-1,712,0151,638,97873,037
– Gross Longs:525,5603,791,639220,318
– Gross Shorts:2,237,5752,152,661147,281
– Long to Short Ratio:0.2 to 11.8 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.010.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.234.1-16.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week came in at a net position of -1,552,929 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 33,911 contracts from the previous week which had a total of -1,586,840 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.6 percent.
  • The Commercials are Bearish with a score of 43.8 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 22.5 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:10.280.56.1
– Percent of Open Interest Shorts:34.357.45.2
– Net Position:-1,552,9291,494,03958,890
– Gross Longs:656,8015,190,375393,143
– Gross Shorts:2,209,7303,696,336334,253
– Long to Short Ratio:0.3 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.643.822.5
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.6-23.1-41.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week came in at a net position of -823,624 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -39,561 contracts from the previous week which had a total of -784,063 net contracts.
  • This week’s current strength score (range over the past 3 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 73.1 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 23.8 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.178.77.7
– Percent of Open Interest Shorts:27.263.17.2
– Net Position:-823,624799,34224,282
– Gross Longs:567,6834,032,672394,531
– Gross Shorts:1,391,3073,233,330370,249
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.373.123.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.94.68.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week came in at a net position of -161,387 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 5,825 contracts from the previous week which had a total of -167,212 net contracts.
  • This week’s current strength score (range over the past 3 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 46.2 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 22.9 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.881.98.3
– Percent of Open Interest Shorts:15.670.512.9
– Net Position:-161,387268,760-107,373
– Gross Longs:207,7811,934,136196,994
– Gross Shorts:369,1681,665,376304,367
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.646.222.9
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.632.6-12.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week came in at a net position of -58,996 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -27,363 contracts from the previous week which had a total of -31,633 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.9 percent.
  • The Commercials are Bearish with a score of 34.7 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 52.7 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:11.174.113.4
– Percent of Open Interest Shorts:14.476.67.6
– Net Position:-58,996-44,309103,305
– Gross Longs:197,9531,324,620239,238
– Gross Shorts:256,9491,368,929135,933
– Long to Short Ratio:0.8 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.934.752.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.333.8-47.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week came in at a net position of -260,383 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 7,746 contracts from the previous week which had a total of -268,129 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.5 percent.
  • The Commercials are Bearish with a score of 42.2 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 14.1 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:5.685.88.1
– Percent of Open Interest Shorts:17.174.38.2
– Net Position:-260,383261,393-1,010
– Gross Longs:126,5011,941,140184,064
– Gross Shorts:386,8841,679,747185,074
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.542.214.1
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.5-2.4-14.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
05 Apr

COT Bonds Charts: Speculator Bets led by SOFR 1-Month this week

By InvestMacro 

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

The latest COT data is updated through Tuesday March 31st 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

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

Leading the gains for the bond markets was the SOFR 1-Month (64,159 contracts) with the Ultra 10-Year Bonds (11,341 contracts), the Ultra Treasury Bonds (11,058 contracts) and the 2-Year Bonds (855 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-163,229 contracts), the 10-Year Bonds (-142,176 contracts), the 5-Year Bonds (-138,404 contracts), the US Treasury Bonds (-38,203 contracts) and with the Fed Funds (-18,664 contracts) also seeing lower bets on the week.

The Bond market price performances were higher across the board this week

The major Bond Markets were led higher this week in price performance by the long U.S. Treasury Bond, which rose by 0.55% over the past five days. The 10-Year Note followed along with a 0.24% increase, while the 5-Year Bond was higher by 0.11%.

The 2-Year Bond was slightly higher with a 0.03% uptick, and the Fed Funds Futures saw a minuscule edge higher by 0.01%. The 1-Month Secured Overnight Financing Rate also was up by 0.01%, as was the 3-Month Secured Overnight Financing Rate, which also rose by 0.01%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (72 percent) and the Ultra Treasury Bonds (71 percent) lead the bond markets this week. The SOFR 1-Month (66 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0 percent) comes in at the lowest strength level currently and continues to be in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (29 percent) and the 10-Year Bonds (43 percent).

Strength Statistics:
Fed Funds (48.7 percent) vs Fed Funds previous week (51.3 percent)
2-Year Bond (0.1 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (56.8 percent) vs 5-Year Bond previous week (64.0 percent)
10-Year Bond (43.0 percent) vs 10-Year Bond previous week (60.0 percent)
Ultra 10-Year Bond (65.0 percent) vs Ultra 10-Year Bond previous week (62.0 percent)
US Treasury Bond (72.4 percent) vs US Treasury Bond previous week (85.7 percent)
Ultra US Treasury Bond (70.6 percent) vs Ultra US Treasury Bond previous week (66.5 percent)
SOFR 1-Month (66.1 percent) vs SOFR 1-Month previous week (54.9 percent)
SOFR 3-Months (28.6 percent) vs SOFR 3-Months previous week (37.2 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (30 percent) and the Fed Funds (26 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (11 percent) are the next highest positive movers in the latest trends data.

The 2-Year Bond (-35 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-18 percent) and the US Treasury Bond (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (25.6 percent) vs Fed Funds previous week (20.2 percent)
2-Year Bond (-35.3 percent) vs 2-Year Bond previous week (-30.5 percent)
5-Year Bond (29.6 percent) vs 5-Year Bond previous week (34.6 percent)
10-Year Bond (11.2 percent) vs 10-Year Bond previous week (20.5 percent)
Ultra 10-Year Bond (-18.1 percent) vs Ultra 10-Year Bond previous week (-6.8 percent)
US Treasury Bond (-13.2 percent) vs US Treasury Bond previous week (2.3 percent)
Ultra US Treasury Bond (2.6 percent) vs Ultra US Treasury Bond previous week (-3.2 percent)
SOFR 1-Month (5.0 percent) vs SOFR 1-Month previous week (-3.3 percent)
SOFR 3-Months (7.6 percent) vs SOFR 3-Months previous week (1.9 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 -50,706 contracts in the data reported through Tuesday. This was a weekly fall of -18,664 contracts from the previous week which had a total of -32,042 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.7 percent. The commercials are Bearish with a score of 49.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.5 percent.

Price Trend-Following Model: Weak Uptrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.165.33.8
– Percent of Open Interest Shorts:17.563.93.0
– Net Position:-50,70631,53019,176
– Gross Longs:331,4801,430,17583,806
– Gross Shorts:382,1861,398,64564,630
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.749.483.5
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.6-25.81.5

 

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 -589,139 contracts in the data reported through Tuesday. This was a weekly fall of -163,229 contracts from the previous week which had a total of -425,910 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 with a score of 28.6 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.458.30.2
– Percent of Open Interest Shorts:21.353.40.2
– Net Position:-589,139586,4762,663
– Gross Longs:1,953,6046,958,45626,736
– Gross Shorts:2,542,7436,371,98024,073
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.671.743.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.6-7.81.5

 

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 -66,508 contracts in the data reported through Tuesday. This was a weekly gain of 64,159 contracts from the previous week which had a total of -130,667 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.1 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 66.8 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.058.11.5
– Percent of Open Interest Shorts:27.054.11.5
– Net Position:-66,50866,512-4
– Gross Longs:378,084955,98425,104
– Gross Shorts:444,592889,47225,108
– Long to Short Ratio:0.9 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.133.966.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.0-5.00.0

 

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 -1,637,324 contracts in the data reported through Tuesday. This was a weekly gain of 855 contracts from the previous week which had a total of -1,638,179 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 0.1 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.0 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:12.080.24.5
– Percent of Open Interest Shorts:46.646.93.2
– Net Position:-1,637,3241,572,07365,251
– Gross Longs:565,5403,787,152214,812
– Gross Shorts:2,202,8642,215,079149,561
– Long to Short Ratio:0.3 to 11.7 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.1100.015.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-35.340.2-22.6

 

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 -1,586,840 contracts in the data reported through Tuesday. This was a weekly reduction of -138,404 contracts from the previous week which had a total of -1,448,436 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.8 percent. The commercials are Bearish with a score of 45.7 percent and the small traders (not shown in chart) are Bearish with a score of 22.7 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:10.080.66.2
– Percent of Open Interest Shorts:34.457.25.3
– Net Position:-1,586,8401,527,54059,300
– Gross Longs:651,2445,250,315401,332
– Gross Shorts:2,238,0843,722,775342,032
– Long to Short Ratio:0.3 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.845.722.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.6-27.7-31.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -784,063 contracts in the data reported through Tuesday. This was a weekly decrease of -142,176 contracts from the previous week which had a total of -641,887 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 43.0 percent. The commercials are Bullish with a score of 65.9 percent and the small traders (not shown in chart) are Bearish with a score of 29.5 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.277.87.8
– Percent of Open Interest Shorts:27.463.37.1
– Net Position:-784,063748,32535,738
– Gross Longs:626,4864,009,481403,820
– Gross Shorts:1,410,5493,261,156368,082
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.065.929.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.2-8.2-17.2

 

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 -167,212 contracts in the data reported through Tuesday. This was a weekly advance of 11,341 contracts from the previous week which had a total of -178,553 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.0 percent. The commercials are Bearish with a score of 48.4 percent and the small traders (not shown in chart) are Bearish with a score of 21.1 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.682.18.5
– Percent of Open Interest Shorts:15.770.313.1
– Net Position:-167,212276,819-109,607
– Gross Longs:203,3241,931,851199,734
– Gross Shorts:370,5361,655,032309,341
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.048.421.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.110.721.1

 

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 -31,633 contracts in the data reported through Tuesday. This was a weekly decrease of -38,203 contracts from the previous week which had a total of 6,570 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.4 percent. The commercials are Bearish with a score of 28.2 percent and the small traders (not shown in chart) are Bullish with a score of 51.3 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:11.973.313.4
– Percent of Open Interest Shorts:13.677.27.8
– Net Position:-31,633-69,728101,361
– Gross Longs:214,5371,323,153241,653
– Gross Shorts:246,1701,392,881140,292
– Long to Short Ratio:0.9 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.428.251.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.220.0-27.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -268,129 contracts in the data reported through Tuesday. This was a weekly increase of 11,058 contracts from the previous week which had a total of -279,187 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 70.6 percent. The commercials are Bearish with a score of 38.5 percent and the small traders (not shown in chart) are Bearish with a score of 32.0 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:5.785.18.7
– Percent of Open Interest Shorts:17.773.88.0
– Net Position:-268,129251,70116,428
– Gross Longs:126,5281,897,318194,931
– Gross Shorts:394,6571,645,617178,503
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.638.532.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.6-0.7-5.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
29 Mar

COT Bonds Charts: Weekly Speculator Bets boosted by record week for 5-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday March 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 5-Year Bonds

Bonds Market Net Speculators Positions
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 5-Year Bonds (325,016 contracts) with the SOFR 3-Months (134,015 contracts), the SOFR 1-Month (58,570 contracts) and the Ultra 10-Year Bonds (27,241 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were  the 2-Year Bonds (-155,512 contracts), the 10-Year Bonds (-44,009 contracts), the Fed Funds (-8,643 contracts), the Ultra Treasury Bonds (-8,050 contracts) and with the US Treasury Bonds (-2,194 contracts) also registering lower bets on the week.

Speculators slash their bearish 5-Year Bond bets by most on record

The 5-Year Bond this week highlights the weekly speculator changes for the Bonds markets. The 5-Year Bonds speculator positions rose this week by 325,016 weekly net contracts and have now risen for three consecutive weeks. The 5-Year Bond speculator bets have been improving and have been positive in 9 out of the past 12 weeks with a gain of +954,361 net contracts over these past 12 weeks. This week’s rise by 325,016 weekly net contracts represents the highest 1-week change on record for speculator bets, according to CFTC data going back to the late 1980s.

The 5-Year Bond speculator positions, like most of the other major Bond positions, have been consistently bearish in recent years (the last time there has been multiple weeks of bullish positions for the 5-Year was in 2021). The 5-Year Bond hit an all-time low in speculator positions in September at a position of -2,463,971 net contracts. However, since that all-time low position, there has been an improvement in the 5-Year Bond speculator position, and this week the overall position comes in at -1,448,436 net contracts.

Bond market price performance was mostly unchanged on the week

The Bonds markets were modestly changed over the past five days, with the Two-Year Bond seeing a slight uptick by 0.10%, while the One-Month Secured Overnight Financing Rate (SOFR) was just a tick higher by 0.02%, and the Three-Month SOFR was higher by even less at an increase of 0.01%. The Fed Funds was relatively unchanged. The Five-Year Bond was slightly lower by -0.10%, while the Treasury Bonds were lower by -0.22%, and the Ten-Year Note was down by -0.30% on the week.

 

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (86 percent) and the Ultra Treasury Bonds (66 percent) lead the bond markets this week. The 5-Year Bonds (64 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the SOFR 3-Months (37 percent).

Strength Statistics:
Fed Funds (51.3 percent) vs Fed Funds previous week (52.6 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (13.6 percent)
5-Year Bond (64.0 percent) vs 5-Year Bond previous week (47.1 percent)
10-Year Bond (60.0 percent) vs 10-Year Bond previous week (65.3 percent)
Ultra 10-Year Bond (62.0 percent) vs Ultra 10-Year Bond previous week (54.6 percent)
US Treasury Bond (85.7 percent) vs US Treasury Bond previous week (86.4 percent)
Ultra US Treasury Bond (66.5 percent) vs Ultra US Treasury Bond previous week (69.5 percent)
SOFR 1-Month (54.9 percent) vs SOFR 1-Month previous week (44.7 percent)
SOFR 3-Months (37.2 percent) vs SOFR 3-Months previous week (30.1 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (35 percent), 10-Year Bonds (20 percent) and the Fed Funds (20 percent) lead the past six weeks trends for bonds.

The 2-Year Bond (-31 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-7 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (20.2 percent) vs Fed Funds previous week (24.3 percent)
2-Year Bond (-30.5 percent) vs 2-Year Bond previous week (-11.8 percent)
5-Year Bond (34.6 percent) vs 5-Year Bond previous week (20.0 percent)
10-Year Bond (20.5 percent) vs 10-Year Bond previous week (15.7 percent)
Ultra 10-Year Bond (-6.8 percent) vs Ultra 10-Year Bond previous week (-5.4 percent)
US Treasury Bond (2.3 percent) vs US Treasury Bond previous week (7.8 percent)
Ultra US Treasury Bond (-3.2 percent) vs Ultra US Treasury Bond previous week (-0.8 percent)
SOFR 1-Month (-3.3 percent) vs SOFR 1-Month previous week (-15.0 percent)
SOFR 3-Months (1.9 percent) vs SOFR 3-Months previous week (-0.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -32,042 contracts in the data reported through Tuesday. This was a weekly reduction of -8,643 contracts from the previous week which had a total of -23,399 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 51.3 percent. The commercials are Bearish with a score of 47.4 percent and the small traders (not shown in chart) are Bullish with a score of 75.1 percent.

Price Trend-Following Model: Weak Uptrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.863.12.6
– Percent of Open Interest Shorts:17.362.31.9
– Net Position:-32,04217,69814,344
– Gross Longs:350,2431,397,66357,058
– Gross Shorts:382,2851,379,96542,714
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.347.475.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.2-19.7-6.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -425,910 contracts in the data reported through Tuesday. This was a weekly rise of 134,015 contracts from the previous week which had a total of -559,925 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 37.2 percent. The commercials are Bullish with a score of 63.1 percent and the small traders (not shown in chart) are Bearish with a score of 42.3 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.457.40.2
– Percent of Open Interest Shorts:18.953.90.1
– Net Position:-425,910424,3931,517
– Gross Longs:1,864,9746,971,50419,178
– Gross Shorts:2,290,8846,547,11117,661
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.263.142.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.9-1.90.6

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -130,667 contracts in the data reported through Tuesday. This was a weekly boost of 58,570 contracts from the previous week which had a total of -189,237 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 54.9 percent. The commercials are Bearish with a score of 45.1 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.258.81.2
– Percent of Open Interest Shorts:29.750.31.2
– Net Position:-130,667130,758-91
– Gross Longs:327,967909,19518,922
– Gross Shorts:458,634778,43719,013
– Long to Short Ratio:0.7 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.945.166.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.33.3-0.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,638,179 contracts in the data reported through Tuesday. This was a weekly decrease of -155,512 contracts from the previous week which had a total of -1,482,667 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish with a score of 30.2 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:12.080.24.5
– Percent of Open Interest Shorts:46.347.62.8
– Net Position:-1,638,1791,555,76782,412
– Gross Longs:572,8973,825,356213,847
– Gross Shorts:2,211,0762,269,589131,435
– Long to Short Ratio:0.3 to 11.7 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.030.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.534.5-13.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,448,436 contracts in the data reported through Tuesday. This was a weekly boost of 325,016 contracts from the previous week which had a total of -1,773,452 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 64.0 percent. The commercials are Bearish with a score of 39.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.5 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:11.079.86.1
– Percent of Open Interest Shorts:33.158.45.5
– Net Position:-1,448,4361,409,43539,001
– Gross Longs:722,7445,244,682401,263
– Gross Shorts:2,171,1803,835,247362,262
– Long to Short Ratio:0.3 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.039.114.5
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:34.6-30.8-48.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -641,887 contracts in the data reported through Tuesday. This was a weekly fall of -44,009 contracts from the previous week which had a total of -597,878 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.0 percent. The commercials are Bearish with a score of 45.1 percent and the small traders (not shown in chart) are Bearish with a score of 32.4 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:14.674.87.8
– Percent of Open Interest Shorts:27.163.27.0
– Net Position:-641,887600,13441,753
– Gross Longs:755,8443,863,211404,699
– Gross Shorts:1,397,7313,263,077362,946
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.045.132.4
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.5-17.9-21.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -178,553 contracts in the data reported through Tuesday. This was a weekly boost of 27,241 contracts from the previous week which had a total of -205,794 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.0 percent. The commercials are Bearish with a score of 46.7 percent and the small traders (not shown in chart) are Bearish with a score of 35.0 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.981.58.8
– Percent of Open Interest Shorts:16.470.012.7
– Net Position:-178,553270,472-91,919
– Gross Longs:208,3771,917,811207,204
– Gross Shorts:386,9301,647,339299,123
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.046.735.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.8-4.934.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of 6,570 contracts in the data reported through Tuesday. This was a weekly reduction of -2,194 contracts from the previous week which had a total of 8,764 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 85.7 percent. The commercials are Bearish with a score of 21.1 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 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:13.272.712.9
– Percent of Open Interest Shorts:12.878.17.8
– Net Position:6,570-97,53890,968
– Gross Longs:236,1951,302,472231,398
– Gross Shorts:229,6251,400,010140,430
– Long to Short Ratio:1.0 to 10.9 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):85.721.144.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.36.1-21.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -279,187 contracts in the data reported through Tuesday. This was a weekly lowering of -8,050 contracts from the previous week which had a total of -271,137 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 66.5 percent. The commercials are Bearish with a score of 40.8 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 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:5.984.68.9
– Percent of Open Interest Shorts:18.573.07.9
– Net Position:-279,187257,62021,567
– Gross Longs:131,8311,881,002197,970
– Gross Shorts:411,0181,623,382176,403
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.540.837.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.2-4.922.0

 

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
07 Mar

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

By InvestMacro

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

The latest COT data is updated through Tuesday March 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 10-Year Bonds & Fed Funds

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

Leading the gains for the bond markets was the 10-Year Bonds (119,513 contracts) with the Fed Funds (49,366 contracts), the Ultra Treasury Bonds (24,793 contracts), the US Treasury Bonds (15,191 contracts) and the 2-Year Bonds (9,495 contracts) also showed a positive week.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-89,757 contracts), the 5-Year Bonds (-25,863 contracts), the SOFR 3-Months (-15,481 contracts) and with the SOFR 1-Month (-4,108 contracts) also recording lower bets on the week.

Bond Markets Price Performances were lower across the board this week

The Fed Funds was the only market this week that did not see a dip in price performance as the Fed Funds were approximately unchanged on the week. The one-month Secured Overnight Financing Rate was lower by -0.01%, while the three-month Secured Overnight Financing Rate was also lower by -0.01%.

The 2-Year Bond fell by -0.55% on the week, while the 5-Year Bond was lower by -1.09% and the 10-Year Note was down by -1.58%.  The long US Treasury Bond was the largest decliner on the week with a drop lower by -2.5%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (90 percent) and the Ultra Treasury Bonds (75 percent) lead the bond markets this week. The Ultra 10-Year Bonds (71 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (15 percent) and the SOFR 3-Months (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the 5-Year Bonds (28 percent).

Strength Statistics:
Fed Funds (33.1 percent) vs Fed Funds previous week (26.1 percent)
2-Year Bond (14.5 percent) vs 2-Year Bond previous week (13.5 percent)
5-Year Bond (27.8 percent) vs 5-Year Bond previous week (29.0 percent)
10-Year Bond (58.5 percent) vs 10-Year Bond previous week (44.2 percent)
Ultra 10-Year Bond (71.0 percent) vs Ultra 10-Year Bond previous week (95.3 percent)
US Treasury Bond (90.4 percent) vs US Treasury Bond previous week (85.1 percent)
Ultra US Treasury Bond (75.3 percent) vs Ultra US Treasury Bond previous week (66.0 percent)
SOFR 1-Month (46.8 percent) vs SOFR 1-Month previous week (47.5 percent)
SOFR 3-Months (18.6 percent) vs SOFR 3-Months previous week (19.4 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (24 percent) and the SOFR 1-Month (17 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (15 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-12 percent), the 2-Year Bonds (-11 percent) and the SOFR 3-Months (-10 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-11.7 percent) vs Fed Funds previous week (-38.2 percent)
2-Year Bond (-11.1 percent) vs 2-Year Bond previous week (-4.2 percent)
5-Year Bond (2.2 percent) vs 5-Year Bond previous week (9.6 percent)
10-Year Bond (0.1 percent) vs 10-Year Bond previous week (11.5 percent)
Ultra 10-Year Bond (24.4 percent) vs Ultra 10-Year Bond previous week (52.3 percent)
US Treasury Bond (15.1 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (1.2 percent) vs Ultra US Treasury Bond previous week (-17.0 percent)
SOFR 1-Month (16.8 percent) vs SOFR 1-Month previous week (17.4 percent)
SOFR 3-Months (-9.6 percent) vs SOFR 3-Months previous week (-12.5 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 -160,245 contracts in the data reported through Tuesday. This was a weekly boost of 49,366 contracts from the previous week which had a total of -209,611 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.1 percent. The commercials are Bullish with a score of 64.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.0 percent.

Price Trend-Following Model: Weak Uptrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.567.42.5
– Percent of Open Interest Shorts:21.359.71.3
– Net Position:-160,245139,11521,130
– Gross Longs:227,0081,224,03845,288
– Gross Shorts:387,2531,084,92324,158
– Long to Short Ratio:0.6 to 11.1 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.164.790.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.711.61.0

 

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 totaled a net position of -778,512 contracts in the data reported through Tuesday. This was a weekly decline of -15,481 contracts from the previous week which had a total of -763,031 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 18.6 percent. The commercials are Bullish-Extreme with a score of 81.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.157.40.5
– Percent of Open Interest Shorts:19.051.60.4
– Net Position:-778,512765,40413,108
– Gross Longs:1,729,3847,557,16264,763
– Gross Shorts:2,507,8966,791,75851,655
– Long to Short Ratio:0.7 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.681.284.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.69.06.9

 

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 -177,288 contracts in the data reported through Tuesday. This was a weekly reduction of -4,108 contracts from the previous week which had a total of -173,180 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.8 percent. The commercials are Bullish with a score of 53.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.360.00.0
– Percent of Open Interest Shorts:37.246.20.0
– Net Position:-177,288177,472-184
– Gross Longs:298,453767,910160
– Gross Shorts:475,741590,438344
– Long to Short Ratio:0.6 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.853.266.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.8-16.8-0.2

 

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 -1,338,541 contracts in the data reported through Tuesday. This was a weekly lift of 9,495 contracts from the previous week which had a total of -1,348,036 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 14.5 percent. The commercials are Bullish-Extreme with a score of 88.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.3 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:14.875.55.3
– Percent of Open Interest Shorts:44.648.13.0
– Net Position:-1,338,5411,232,909105,632
– Gross Longs:666,3773,393,548238,612
– Gross Shorts:2,004,9182,160,639132,980
– Long to Short Ratio:0.3 to 11.6 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.588.641.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.113.2-1.8

 

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 -2,090,794 contracts in the data reported through Tuesday. This was a weekly lowering of -25,863 contracts from the previous week which had a total of -2,064,931 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.8 percent. The commercials are Bullish with a score of 71.3 percent and the small traders (not shown in chart) are Bullish with a score of 63.1 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:7.581.96.5
– Percent of Open Interest Shorts:38.453.24.3
– Net Position:-2,090,7941,942,942147,852
– Gross Longs:510,6625,547,849438,288
– Gross Shorts:2,601,4563,604,907290,436
– Long to Short Ratio:0.2 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.871.363.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.2-2.50.7

 

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 -654,507 contracts in the data reported through Tuesday. This was a weekly advance of 119,513 contracts from the previous week which had a total of -774,020 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.5 percent. The commercials are Bearish with a score of 47.9 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 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:11.277.77.9
– Percent of Open Interest Shorts:23.266.37.3
– Net Position:-654,507620,30534,202
– Gross Longs:611,9654,244,872431,657
– Gross Shorts:1,266,4723,624,567397,455
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.547.941.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.16.6-19.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -145,020 contracts in the data reported through Tuesday. This was a weekly lowering of -89,757 contracts from the previous week which had a total of -55,263 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 71.0 percent. The commercials are Bearish with a score of 38.1 percent and the small traders (not shown in chart) are Bearish with a score of 34.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.878.59.6
– Percent of Open Interest Shorts:15.668.913.3
– Net Position:-145,020238,200-93,180
– Gross Longs:243,4461,948,642237,999
– Gross Shorts:388,4661,710,442331,179
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.038.134.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.4-30.719.2

 

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 20,265 contracts in the data reported through Tuesday. This was a weekly increase of 15,191 contracts from the previous week which had a total of 5,074 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 90.4 percent. The commercials are Bearish-Extreme with a score of 3.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.5 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:11.670.313.8
– Percent of Open Interest Shorts:10.579.26.0
– Net Position:20,265-163,455143,190
– Gross Longs:212,3131,289,561253,391
– Gross Shorts:192,0481,453,016110,201
– Long to Short Ratio:1.1 to 10.9 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.43.380.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.1-18.018.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -255,694 contracts in the data reported through Tuesday. This was a weekly boost of 24,793 contracts from the previous week which had a total of -280,487 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.3 percent. The commercials are Bearish with a score of 34.8 percent and the small traders (not shown in chart) are Bearish with a score of 29.2 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.883.58.4
– Percent of Open Interest Shorts:18.372.67.8
– Net Position:-255,694241,96513,729
– Gross Longs:152,5141,860,020187,508
– Gross Shorts:408,2081,618,055173,779
– Long to Short Ratio:0.4 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.334.829.2
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-4.38.4

 

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
21 Feb

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

By InvestMacro

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

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

Weekly Speculator Changes led by 2-Year Bonds & Ultra 10-Year Bonds

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

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

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

10-Year Note Leads Price Returns this week

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (86 percent) and the Ultra 10-Year Bonds (83 percent) lead the bond markets this week.

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

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

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (44 percent) and the SOFR 1-Month (37 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (11 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-55.6 percent) leads the downside trend scores currently with the SOFR 3-Months (-20 percent) following next with lower trend scores.

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

30-Day Federal Funds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.1 percent. The commercials are Bullish with a score of 75.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -734,430 contracts in the data reported through Tuesday. This was a weekly reduction of -272,311 contracts from the previous week which had a total of -462,119 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.3 percent. The commercials are Bullish with a score of 77.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -95,055 contracts in the data reported through Tuesday. This was a weekly gain of 16,688 contracts from the previous week which had a total of -111,743 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 61.1 percent. The commercials are Bearish with a score of 38.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.8 percent.

Price Trend-Following Model: Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,234,408 contracts in the data reported through Tuesday. This was a weekly rise of 55,279 contracts from the previous week which had a total of -1,289,687 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.6 percent. The commercials are Bullish with a score of 76.5 percent and the small traders (not shown in chart) are Bearish with a score of 43.6 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -2,157,242 contracts in the data reported through Tuesday. This was a weekly fall of -42,478 contracts from the previous week which had a total of -2,114,764 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.7 percent. The commercials are Bullish with a score of 75.3 percent and the small traders (not shown in chart) are Bullish with a score of 65.5 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -877,853 contracts in the data reported through Tuesday. This was a weekly fall of -64,826 contracts from the previous week which had a total of -813,027 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.8 percent. The commercials are Bullish with a score of 74.2 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -100,029 contracts in the data reported through Tuesday. This was a weekly boost of 53,282 contracts from the previous week which had a total of -153,311 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.2 percent. The commercials are Bearish with a score of 37.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of 6,425 contracts in the data reported through Tuesday. This was a weekly boost of 6,517 contracts from the previous week which had a total of -92 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 85.6 percent. The commercials are Bearish-Extreme with a score of 1.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.6 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -275,188 contracts in the data reported through Tuesday. This was a weekly fall of -4,642 contracts from the previous week which had a total of -270,546 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 68.0 percent. The commercials are Bearish with a score of 39.3 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
08 Feb

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

By InvestMacro

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

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

Weekly Speculator Changes led by SOFR 1-Months, SOFR 3-Months & Ultra 10-Year Bonds

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

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

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

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

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

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (79 percent) and the Ultra Treasury Bonds (70 percent) lead the bond markets this week. The Ultra 10-Year Bonds (60 percent) comes in as the next highest in the weekly strength scores.

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

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

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

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

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

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

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -194,703 contracts in the data reported through Tuesday. This was a weekly fall of -78,674 contracts from the previous week which had a total of -116,029 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.3 percent. The commercials are Bullish with a score of 69.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Price Trend-Following Model: Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -546,807 contracts in the data reported through Tuesday. This was a weekly gain of 47,235 contracts from the previous week which had a total of -594,042 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.0 percent. The commercials are Bullish with a score of 67.9 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -103,083 contracts in the data reported through Tuesday. This was a weekly gain of 104,956 contracts from the previous week which had a total of -208,039 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.7 percent. The commercials are Bearish with a score of 40.3 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 percent.

Price Trend-Following Model: Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,347,602 contracts in the data reported through Tuesday. This was a weekly lowering of -128,603 contracts from the previous week which had a total of -1,218,999 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.6 percent. The commercials are Bullish-Extreme with a score of 90.2 percent and the small traders (not shown in chart) are Bearish with a score of 39.4 percent.

Price Trend-Following Model: Downtrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -2,158,980 contracts in the data reported through Tuesday. This was a weekly decrease of -67,934 contracts from the previous week which had a total of -2,091,046 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.6 percent. The commercials are Bullish with a score of 75.9 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

Price Trend-Following Model: Downtrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -729,414 contracts in the data reported through Tuesday. This was a weekly lowering of -3,263 contracts from the previous week which had a total of -726,151 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.6 percent. The commercials are Bullish with a score of 54.2 percent and the small traders (not shown in chart) are Bullish with a score of 61.6 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -185,818 contracts in the data reported through Tuesday. This was a weekly rise of 44,056 contracts from the previous week which had a total of -229,874 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.0 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

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

 

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -13,604 contracts in the data reported through Tuesday. This was a weekly decline of -5,437 contracts from the previous week which had a total of -8,167 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.6 percent. The commercials are Bearish-Extreme with a score of 19.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.7 percent.

Price Trend-Following Model: Downtrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -269,089 contracts in the data reported through Tuesday. This was a weekly boost of 4,382 contracts from the previous week which had a total of -273,471 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.2 percent. The commercials are Bearish with a score of 44.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 16.2 percent.

Price Trend-Following Model: Downtrend

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
01 Feb

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

By InvestMacro

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

The latest COT data is updated through Tuesday January 27th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 1-Month & 5-Year Bonds

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

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

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

5-Year Bonds lead Weekly Price Performance

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (81 percent) and the Ultra Treasury Bonds (69 percent) lead the bond markets this week. The 10-Year Bonds (50 percent) comes in as the next highest in the weekly strength scores.

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

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

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

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

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

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

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -116,029 contracts in the data reported through Tuesday. This was a weekly reduction of -38,218 contracts from the previous week which had a total of -77,811 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.4 percent. The commercials are Bullish with a score of 58.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.0 percent.

Price Trend-Following Model: Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -594,042 contracts in the data reported through Tuesday. This was a weekly boost of 1,559 contracts from the previous week which had a total of -595,601 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.6 percent. The commercials are Bullish with a score of 70.3 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -208,039 contracts in the data reported through Tuesday. This was a weekly gain of 65,833 contracts from the previous week which had a total of -273,872 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.4 percent. The commercials are Bullish with a score of 58.5 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,218,999 contracts in the data reported through Tuesday. This was a weekly gain of 6,123 contracts from the previous week which had a total of -1,225,122 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.2 percent. The commercials are Bullish with a score of 73.4 percent and the small traders (not shown in chart) are Bearish with a score of 49.5 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,091,046 contracts in the data reported through Tuesday. This was a weekly gain of 45,473 contracts from the previous week which had a total of -2,136,519 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.8 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Downtrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -726,151 contracts in the data reported through Tuesday. This was a weekly decrease of -70,511 contracts from the previous week which had a total of -655,640 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 50.0 percent. The commercials are Bullish with a score of 52.2 percent and the small traders (not shown in chart) are Bullish with a score of 65.3 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -229,874 contracts in the data reported through Tuesday. This was a weekly increase of 5,408 contracts from the previous week which had a total of -235,282 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.1 percent. The commercials are Bullish with a score of 66.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.8 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -8,167 contracts in the data reported through Tuesday. This was a weekly boost of 14,903 contracts from the previous week which had a total of -23,070 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 80.5 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish with a score of 73.9 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -273,471 contracts in the data reported through Tuesday. This was a weekly decrease of -14,649 contracts from the previous week which had a total of -258,822 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 68.6 percent. The commercials are Bearish with a score of 44.4 percent and the small traders (not shown in chart) are Bearish with a score of 21.8 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.683.78.7
– Percent of Open Interest Shorts:19.371.48.4
– Net Position:-273,471266,9806,491
– Gross Longs:143,9231,812,928188,177
– Gross Shorts:417,3941,545,948181,686
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.644.421.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.716.3-20.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
25 Jan

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

By InvestMacro

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

The latest COT data is updated through Tuesday January 20th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 10-Year Bonds & 5-Year Bonds

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

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

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

Bond Market Price were relatively unchanged on the week

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (75 percent) and the Ultra Treasury Bonds (74 percent) lead the bond markets this week. The 10-Year Bonds (58 percent) comes in as the next highest in the weekly strength scores.

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

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

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

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

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

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

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -77,811 contracts in the data reported through Tuesday. This was a weekly reduction of -137,251 contracts from the previous week which had a total of 59,440 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.8 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.0 percent.

Price Trend-Following Model: Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -595,601 contracts in the data reported through Tuesday. This was a weekly decrease of -70,989 contracts from the previous week which had a total of -524,612 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.5 percent. The commercials are Bullish with a score of 70.4 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -273,872 contracts in the data reported through Tuesday. This was a weekly lowering of -689 contracts from the previous week which had a total of -273,183 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.0 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,225,122 contracts in the data reported through Tuesday. This was a weekly boost of 79,758 contracts from the previous week which had a total of -1,304,880 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.6 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 percent.

Price Trend-Following Model: Weak Downtrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -2,136,519 contracts in the data reported through Tuesday. This was a weekly advance of 132,601 contracts from the previous week which had a total of -2,269,120 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.7 percent. The commercials are Bullish with a score of 73.8 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -655,640 contracts in the data reported through Tuesday. This was a weekly advance of 214,865 contracts from the previous week which had a total of -870,505 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.4 percent. The commercials are Bearish with a score of 41.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -235,282 contracts in the data reported through Tuesday. This was a weekly boost of 13,920 contracts from the previous week which had a total of -249,202 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.7 percent. The commercials are Bullish with a score of 68.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -23,070 contracts in the data reported through Tuesday. This was a weekly lowering of -36,905 contracts from the previous week which had a total of 13,835 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.3 percent. The commercials are Bearish-Extreme with a score of 16.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Price Trend-Following Model: Downtrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -258,822 contracts in the data reported through Tuesday. This was a weekly reduction of -23,725 contracts from the previous week which had a total of -235,097 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.1 percent. The commercials are Bearish with a score of 39.1 percent and the small traders (not shown in chart) are Bearish with a score of 20.8 percent.

Price Trend-Following Model: Downtrend

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
18 Jan

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

By InvestMacro

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

The latest COT data is updated through Tuesday January 13th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 10-Year Bonds & 5-Year Bonds

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

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

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

Bond Price Performance led by small gains in SOFRs

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (88 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The Fed Funds (64 percent) comes in as the next highest in the weekly strength scores.

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

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

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

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

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

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

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of 59,440 contracts in the data reported through Tuesday. This was a weekly decrease of -100,918 contracts from the previous week which had a total of 160,358 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.3 percent. The commercials are Bearish with a score of 33.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.

Price Trend-Following Model: Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -524,612 contracts in the data reported through Tuesday. This was a weekly reduction of -179,227 contracts from the previous week which had a total of -345,385 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.2 percent. The commercials are Bullish with a score of 66.6 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.256.30.2
– Percent of Open Interest Shorts:18.352.20.1
– Net Position:-524,612522,5622,050
– Gross Longs:1,807,4497,187,93221,089
– Gross Shorts:2,332,0616,665,37019,039
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.266.679.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.610.51.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -273,183 contracts in the data reported through Tuesday. This was a weekly lift of 36,024 contracts from the previous week which had a total of -309,207 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.1 percent. The commercials are Bullish with a score of 69.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.5 percent.

Price Trend-Following Model: Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,304,880 contracts in the data reported through Tuesday. This was a weekly increase of 41,774 contracts from the previous week which had a total of -1,346,654 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.8 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish with a score of 52.9 percent.

Price Trend-Following Model: Downtrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,269,120 contracts in the data reported through Tuesday. This was a weekly rise of 43,633 contracts from the previous week which had a total of -2,312,753 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.0 percent.

Price Trend-Following Model: Downtrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -870,505 contracts in the data reported through Tuesday. This was a weekly gain of 45,047 contracts from the previous week which had a total of -915,552 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.7 percent. The commercials are Bullish with a score of 71.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

Price Trend-Following Model: Downtrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -249,202 contracts in the data reported through Tuesday. This was a weekly boost of 12,726 contracts from the previous week which had a total of -261,928 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.9 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.7 percent.

Price Trend-Following Model: Downtrend

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of 13,835 contracts in the data reported through Tuesday. This was a weekly increase of 20,667 contracts from the previous week which had a total of -6,832 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 88.2 percent. The commercials are Bearish-Extreme with a score of 8.1 percent and the small traders (not shown in chart) are Bullish with a score of 61.8 percent.

Price Trend-Following Model: Strong Downtrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -235,097 contracts in the data reported through Tuesday. This was a weekly boost of 10,650 contracts from the previous week which had a total of -245,747 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.0 percent. The commercials are Bearish with a score of 29.7 percent and the small traders (not shown in chart) are Bearish with a score of 21.8 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.68.6
– Percent of Open Interest Shorts:18.172.78.3
– Net Position:-235,097228,6016,496
– Gross Longs:146,9411,761,337182,270
– Gross Shorts:382,0381,532,736175,774
– Long to Short Ratio:0.4 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.029.721.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.5-5.8-16.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
21 Sep

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

By InvestMacro

Bonds Market Open Interest Comparison

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

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

The latest COT data is updated through Tuesday September 16th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-Months & 5-Year Bonds

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

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

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

Fed Funds leads Bonds Price Changes

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

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

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

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

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

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 3-Months

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (72 percent) and the SOFR 3-Months (55 percent) lead the bond markets this week. The US Treasury Bonds (51 percent) comes in as the next highest in the weekly strength scores.

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

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

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

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

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

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

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -119,513 contracts in the data reported through Tuesday. This was a weekly advance of 87,943 contracts from the previous week which had a total of -207,456 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.9 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.4 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -98,483 contracts in the data reported through Tuesday. This was a weekly gain of 167,521 contracts from the previous week which had a total of -266,004 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.2 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.9 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -1,403,470 contracts in the data reported through Tuesday. This was a weekly reduction of -28,509 contracts from the previous week which had a total of -1,374,961 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.0 percent. The commercials are Bullish-Extreme with a score of 90.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.0 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -2,436,774 contracts in the data reported through Tuesday. This was a weekly rise of 117,989 contracts from the previous week which had a total of -2,554,763 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.9 percent. The commercials are Bullish-Extreme with a score of 86.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.7 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -819,299 contracts in the data reported through Tuesday. This was a weekly rise of 38,673 contracts from the previous week which had a total of -857,972 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.2 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.3 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -266,822 contracts in the data reported through Tuesday. This was a weekly gain of 8,102 contracts from the previous week which had a total of -274,924 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.2 percent. The commercials are Bullish with a score of 63.4 percent and the small traders (not shown in chart) are Bearish with a score of 46.2 percent.

Price Trend-Following Model: Weak Uptrend

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -94,138 contracts in the data reported through Tuesday. This was a weekly gain of 4,470 contracts from the previous week which had a total of -98,608 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.6 percent. The commercials are Bearish with a score of 26.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -263,219 contracts in the data reported through Tuesday. This was a weekly reduction of -14,274 contracts from the previous week which had a total of -248,945 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.4 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.

Price Trend-Following Model: Strong Uptrend

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

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