Archive for Bonds

10-Year U.S. Treasury Yield: Anticipating the Rising Trend

“The tidal wave of risk assumption … may be turning”

By Elliott Wave International

On June 14, the yield on the 10-year U.S. Treasury note surpassed 3.45% — its highest level in more than 11 years.

Keep in mind that the lowest intraday reading for the yield on the 10-year note was 0.31% — and that was as recently as 2020. So the rise has been remarkable.

The Elliott Wave Financial Forecast, a monthly publication which provides analysis of major U.S. financial markets, was ahead of this trend reversal. Back in March 2020, the publication showed this graph of yields on global bonds, 10-year U.S. Treasury notes and general obligation municipal bonds. Here’s the commentary:

According to 150 years’ worth of data … this is the first time that 10-year Treasury note yields have dropped below 1%. Grand Supercycle-degree tops set Grand Supercycle records. Investor ebullience is the only thing that allows for an embrace of no-yield debt. The tidal wave of risk assumption, however, may be turning.

In other words: Expect the downward trend in yields to turn upward.

Shortly after that March 2020 analysis in the Elliott Wave Financial Forecast published, yields began to climb.

As you might imagine, bond portfolios have taken a substantial hit (bond prices sink as yields climb).

Shifting to corporate bond portfolios, Bloomberg had this headline on March 14 of this year:

Corporate Bond Rout Is So Severe History Books Need a Revision

The article goes on to say:

[U.S. corporate bond] losses have piled so high that they now belong in history books. A Bloomberg index of investment-grade returns is down 10.5% so far this year … There is little precedent for drops of that magnitude.

Mind you, this was back in March and yields have risen since.

As a May 12 headline from the Associated Press said:

Bonds, haven for elderly and cautious, are getting torched

The question is: What does the Wave Principle say about this rising trend in bond yields?

If you need to brush up on your knowledge of the Wave Principle, an ideal book to read is Frost & Prechter’s Elliott Wave Principle: Key to Market. Here’s a quote from this Wall Street classic:

All waves may be categorized by relative size, or degree. The degree of a wave is determined by its size and position relative to component, adjacent and encompassing waves. Elliott named nine degrees of waves, from the smallest discernible on an hourly chart to the largest wave he could assume existed from the data then available. He chose the following terms for these degrees, from largest to smallest: Grand Supercycle, Supercycle, Cycle, Primary, Intermediate, Minor, Minute, Minuette, Subminuette. Cycle waves subdivide into Primary waves that subdivide into Intermediate waves that in turn subdivide into Minor waves, and so on. The specific terminology is not critical to the identification of degrees, although out of habit, today’s practitioners have become comfortable with Elliott’s nomenclature.

When labeling waves on a graph, some scheme is necessary to differentiate the degrees of waves in the market’s progression. We have standardized a sequence of labels involving numbers and letters … .

If you’re interested in reading the entire book, know that you can gain free access to the online version once you become a member of Club EWI, the world’s largest Elliott wave educational community.

Club EWI is free to join, and members enjoy free access to a wealth of Elliott wave resources on investing and trading.

Get started by following this link: Elliott Wave Principle: Key to Market Behavior — free, unlimited and instant access.

This article was syndicated by Elliott Wave International and was originally published under the headline 10-Year U.S. Treasury Yield: Anticipating the Rising Trend. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

COT Week 24 Charts: Bond Market Speculators Bets mostly higher led by Eurodollar & 10-Year Bonds

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

The latest COT data is updated through Tuesday June 14th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

COT bond market speculator bets were mixed as five out of the eight bond markets we cover had higher positioning this week while three markets had falling speculator contracts for the week.

Leading the gains for the bond markets was the Eurodollar (791,810 contracts) and the 10-Year Bond (60,658 contracts) with Fed Funds (56,698 contracts), 5-Year Bond (31,476 contracts) and the 2-Year Bond (10,067 contracts) also showing positive weeks.

Meanwhile, leading the declines in speculator bets this week were the Long US Bond (-34,363 contracts) and the Ultra US Bond (-26,628 contracts) with the Ultra 10-Year (-5,373 contracts) also seeing lower bets on the week.


Strength scores (3-Year range of Speculator positions, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury Bond (75 percent) is at the highest level of the bonds markets currently. On the lower end, the Ultra 10-Year Bonds (7.7 percent) and 3-Month Eurodollars (15.4 percent) are in bearish-extreme levels and have the weakest speculator strength scores at the moment.

Strength score trends (or move index, that calculate 6-week changes in strength scores) shows that the 5-Year Bond (22.5 percent) and Fed Funds (20.5 percent) are leading the rising trend scores over the past six weeks. The US Treasury Bond leads the trends on the downside with a -9.2 percent trend change followed by the 10-Year Bonds and Ultra 10-Year Bonds.


Data Snapshot of Bond Market Traders | Columns Legend
Jun-14-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 9,327,824 9 -1,854,692 19 2,223,303 81 -368,611 23
FedFunds 1,680,512 52 110,931 53 -115,511 46 4,580 71
2-Year 2,012,004 10 -160,422 50 228,211 70 -67,789 20
Long T-Bond 1,188,806 47 -29,400 75 43,870 32 -14,470 41
10-Year 3,509,639 30 -205,529 41 374,018 66 -168,489 40
5-Year 3,889,422 45 -191,071 50 372,681 59 -181,610 31

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -1,854,692 contracts in the data reported through Tuesday. This was a weekly lift of 791,810 contracts from the previous week which had a total of -2,646,502 net contracts.

This 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 18.8 percent. The commercials are Bullish-Extreme with a score of 80.8 percent and the small traders (not shown in chart) are Bearish with a score of 23.3 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.0 68.9 4.4
– Percent of Open Interest Shorts: 26.9 45.1 8.4
– Net Position: -1,854,692 2,223,303 -368,611
– Gross Longs: 651,750 6,428,169 412,783
– Gross Shorts: 2,506,442 4,204,866 781,394
– Long to Short Ratio: 0.3 to 1 1.5 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 18.8 80.8 23.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 15.4 -15.7 11.1

 


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 110,931 contracts in the data reported through Tuesday. This was a weekly advance of 56,698 contracts from the previous week which had a total of 54,233 net contracts.

This 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 53.3 percent. The commercials are Bearish with a score of 45.9 percent and the small traders (not shown in chart) are Bullish with a score of 71.3 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.2 70.8 2.8
– Percent of Open Interest Shorts: 6.6 77.6 2.5
– Net Position: 110,931 -115,511 4,580
– Gross Longs: 221,596 1,189,101 46,737
– Gross Shorts: 110,665 1,304,612 42,157
– Long to Short Ratio: 2.0 to 1 0.9 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 53.3 45.9 71.3
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 20.5 -21.4 25.1

 


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 -160,422 contracts in the data reported through Tuesday. This was a weekly gain of 10,067 contracts from the previous week which had a total of -170,489 net contracts.

This 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 49.9 percent. The commercials are Bullish with a score of 69.7 percent and the small traders (not shown in chart) are Bearish with a score of 20.3 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.7 77.3 7.1
– Percent of Open Interest Shorts: 19.7 65.9 10.5
– Net Position: -160,422 228,211 -67,789
– Gross Longs: 236,115 1,554,892 143,727
– Gross Shorts: 396,537 1,326,681 211,516
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 49.9 69.7 20.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.3 -3.8 20.3

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -191,071 contracts in the data reported through Tuesday. This was a weekly advance of 31,476 contracts from the previous week which had a total of -222,547 net contracts.

This 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 49.7 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.1 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 80.8 7.8
– Percent of Open Interest Shorts: 14.5 71.2 12.5
– Net Position: -191,071 372,681 -181,610
– Gross Longs: 374,601 3,141,449 302,708
– Gross Shorts: 565,672 2,768,768 484,318
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 49.7 58.8 31.1
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 22.5 -16.7 2.5

 


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 -205,529 contracts in the data reported through Tuesday. This was a weekly lift of 60,658 contracts from the previous week which had a total of -266,187 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 Bearish with a score of 41.2 percent. The commercials are Bullish with a score of 66.3 percent and the small traders (not shown in chart) are Bearish with a score of 39.8 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.2 80.3 8.7
– Percent of Open Interest Shorts: 13.1 69.7 13.5
– Net Position: -205,529 374,018 -168,489
– Gross Longs: 253,485 2,819,950 305,184
– Gross Shorts: 459,014 2,445,932 473,673
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 41.2 66.3 39.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.8 7.2 -0.6

 


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 -81,207 contracts in the data reported through Tuesday. This was a weekly fall of -5,373 contracts from the previous week which had a total of -75,834 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.7 percent. The commercials are Bullish-Extreme with a score of 95.2 percent and the small traders (not shown in chart) are Bearish with a score of 36.7 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.5 83.7 11.0
– Percent of Open Interest Shorts: 11.1 66.2 21.8
– Net Position: -81,207 213,971 -132,764
– Gross Longs: 55,047 1,027,514 134,825
– Gross Shorts: 136,254 813,543 267,589
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 7.7 95.2 36.7
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.7 -2.9 -11.3

 


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 -29,400 contracts in the data reported through Tuesday. This was a weekly lowering of -34,363 contracts from the previous week which had a total of 4,963 net contracts.

This 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 75.0 percent. The commercials are Bearish with a score of 32.3 percent and the small traders (not shown in chart) are Bearish with a score of 41.1 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.7 76.8 13.1
– Percent of Open Interest Shorts: 11.1 73.1 14.3
– Net Position: -29,400 43,870 -14,470
– Gross Longs: 102,957 912,867 155,248
– Gross Shorts: 132,357 868,997 169,718
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 75.0 32.3 41.1
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -14.0 12.7 3.3

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -341,601 contracts in the data reported through Tuesday. This was a weekly decrease of -26,628 contracts from the previous week which had a total of -314,973 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.9 percent. The commercials are Bullish with a score of 67.4 percent and the small traders (not shown in chart) are Bearish with a score of 50.0 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 84.1 11.4
– Percent of Open Interest Shorts: 29.5 60.1 9.1
– Net Position: -341,601 311,386 30,215
– Gross Longs: 41,147 1,091,594 147,658
– Gross Shorts: 382,748 780,208 117,443
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.9 67.4 50.0
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.2 6.2 7.1

 


Article By InvestMacroReceive 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.

COT Week 23 Charts: Bond Speculator bets mostly falling this week led by 2-Year & 10-Year Bonds

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

The latest COT data is updated through Tuesday June 7th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Bond market speculator bets were mostly on the lower side this week as only three out of the eight bond markets we cover had higher positioning this week while five markets had lower contracts.

Leading the gains for the COT bonds markets was the Eurodollar (208,714 contracts) and the Fed Funds (29,026 contracts) with the Ultra 10-Year Bond (29,533 contracts) also showing a positive week.

Meanwhile, leading the declines in speculator bets this week were the 2-Year Bond (-42,371 contracts) and the 10-Year Bond (-27,280 contracts) with the Long US Bond (-14,798 contracts), Ultra US Bond (-5,695 contracts) and the 5-Year Bond (-4,759 contracts) also registering lower bets on the week.


Strength scores (3-Year range of Speculator positions, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the Ultra US Treasury Bond and the US Treasury Bond are above their midpoint levels for the past 3 years while all the other markets are below the 50 percent level. The US Treasury Bond is actually in an extreme-bullish level currently while the Eurodollar and the Ultra 10-Year Note are both in extreme-bearish levels at the moment.

Strength score trends (or move index, that calculate the 6-week changes in strength scores) shows that the 5-Year Bond and the Ultra US Treasury Bond have had the highest rising scores over the past six weeks. On the downside, the 10-Year Bond and the 2-Year Bond have shown the largest downward trends.


Data Snapshot of Bond Market Traders | Columns Legend
Jun-07-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,409,834 32 -2,646,502 4 3,023,490 95 -376,988 21
FedFunds 1,568,823 44 54,233 46 -47,932 54 -6,301 44
2-Year 2,002,134 10 -170,489 48 225,040 69 -54,551 26
Long T-Bond 1,193,131 48 4,963 86 -5,633 18 670 53
10-Year 3,469,948 28 -266,187 32 426,524 73 -160,337 42
5-Year 3,784,732 39 -222,547 44 409,463 63 -186,916 30

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,646,502 contracts in the data reported through Tuesday. This was a weekly gain of 208,714 contracts from the previous week which had a total of -2,855,216 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.2 percent. The commercials are Bullish-Extreme with a score of 95.1 percent and the small traders (not shown in chart) are Bearish with a score of 21.5 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.5 74.1 3.7
– Percent of Open Interest Shorts: 29.0 45.0 7.4
– Net Position: -2,646,502 3,023,490 -376,988
– Gross Longs: 367,476 7,712,618 389,949
– Gross Shorts: 3,013,978 4,689,128 766,937
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 4.2 95.1 21.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 2.3 -3.5 14.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 54,233 contracts in the data reported through Tuesday. This was a weekly boost of 29,026 contracts from the previous week which had a total of 25,207 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 46.3 percent. The commercials are Bullish with a score of 54.1 percent and the small traders (not shown in chart) are Bearish with a score of 43.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 74.5 2.6
– Percent of Open Interest Shorts: 6.1 77.5 3.0
– Net Position: 54,233 -47,932 -6,301
– Gross Longs: 149,853 1,168,089 40,470
– Gross Shorts: 95,620 1,216,021 46,771
– Long to Short Ratio: 1.6 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 46.3 54.1 43.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.9 -2.8 19.2

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -170,489 contracts in the data reported through Tuesday. This was a weekly decrease of -42,371 contracts from the previous week which had a total of -128,118 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.8 percent. The commercials are Bullish with a score of 69.1 percent and the small traders (not shown in chart) are Bearish with a score of 25.8 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.0 79.8 7.2
– Percent of Open Interest Shorts: 18.5 68.6 9.9
– Net Position: -170,489 225,040 -54,551
– Gross Longs: 200,307 1,598,627 143,536
– Gross Shorts: 370,796 1,373,587 198,087
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 47.8 69.1 25.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.4 9.0 16.5

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -222,547 contracts in the data reported through Tuesday. This was a weekly decrease of -4,759 contracts from the previous week which had a total of -217,788 net contracts.

This 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 44.2 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bearish with a score of 29.7 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 80.9 7.5
– Percent of Open Interest Shorts: 15.4 70.1 12.4
– Net Position: -222,547 409,463 -186,916
– Gross Longs: 359,715 3,061,190 283,380
– Gross Shorts: 582,262 2,651,727 470,296
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 44.2 63.2 29.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.1 -8.7 5.5

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -266,187 contracts in the data reported through Tuesday. This was a weekly lowering of -27,280 contracts from the previous week which had a total of -238,907 net contracts.

This 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 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 81.0 8.9
– Percent of Open Interest Shorts: 13.3 68.7 13.5
– Net Position: -266,187 426,524 -160,337
– Gross Longs: 195,120 2,810,360 307,456
– Gross Shorts: 461,307 2,383,836 467,793
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 32.0 72.6 41.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -22.6 16.1 3.1

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -75,834 contracts in the data reported through Tuesday. This was a weekly advance of 29,533 contracts from the previous week which had a total of -105,367 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.1 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 81.8 11.1
– Percent of Open Interest Shorts: 11.6 66.7 20.0
– Net Position: -75,834 187,134 -111,300
– Gross Longs: 67,884 1,015,640 137,608
– Gross Shorts: 143,718 828,506 248,908
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 9.1 88.3 48.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.5 -3.6 12.2

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 4,963 contracts in the data reported through Tuesday. This was a weekly lowering of -14,798 contracts from the previous week which had a total of 19,761 net contracts.

This 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 86.2 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.5 74.8 14.1
– Percent of Open Interest Shorts: 9.0 75.2 14.0
– Net Position: 4,963 -5,633 670
– Gross Longs: 112,838 892,073 168,164
– Gross Shorts: 107,875 897,706 167,494
– Long to Short Ratio: 1.0 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 86.2 18.3 53.1
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.9 -1.2 15.1

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -314,973 contracts in the data reported through Tuesday. This was a weekly decrease of -5,695 contracts from the previous week which had a total of -309,278 net contracts.

This 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 56.7 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 45.6 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 83.5 11.7
– Percent of Open Interest Shorts: 28.0 60.7 9.8
– Net Position: -314,973 290,771 24,202
– Gross Longs: 42,957 1,067,607 149,154
– Gross Shorts: 357,930 776,836 124,952
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 56.7 57.2 45.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.9 -8.7 -8.2

 


Article By InvestMacroReceive 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.

COT Week 22 Charts: Bonds Speculator positions lower across the board

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

The latest COT data is updated through Tuesday May 31st and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

COT bonds market speculator bets were lower this week as all eight bond markets we cover had lower positioning this week. Leading the declines in speculator bets this week were the 5-Year Bond (-97,261 contracts) and the 2-Year Bond (-92,825 contracts) with the Eurodollar (-22,436 contracts), Fed Funds (-17,284 contracts), 10-Year Bond (-13,783 contracts), Long US Bond (-8,741 contracts), Ultra 10-Year (-6,442 contracts) and the Ultra US Bond (-1,383 contracts) also coming in with lower bets on the week.


 

Strength scores (3-Year range of Speculator positions, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that most of the bond markets are below their midpoints (50 percent) for the past 3 years.  The US Treasury Bond, 2-Year and the Ultra US Bond have all gone above the midpoint and the US Treasury Bond has now entered extreme bullish levels as compared to its range over the past 3 years.

Strength score trends (or move index, that show 6-week changes in strength scores) shows a mixed picture with half the bond markets rising over the past six weeks and half not.


Data Snapshot of Bond Market Traders | Columns Legend
May-31-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,374,105 31 -2,855,216 0 3,260,722 99 -405,506 15
FedFunds 1,907,235 69 25,207 43 -17,303 58 -7,904 40
2-Year 2,219,497 19 -128,118 56 193,103 62 -64,985 21
Long T-Bond 1,212,023 51 19,761 91 1,627 21 -21,388 36
10-Year 3,470,808 28 -238,907 36 411,183 71 -172,276 39
5-Year 3,804,715 40 -217,788 45 367,355 58 -149,567 40

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -2,855,216 contracts in the data reported through Tuesday. This was a weekly lowering of -22,436 contracts from the previous week which had a total of -2,832,780 net contracts.

This 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 0.4 percent. The commercials are Bullish-Extreme with a score of 99.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 75.4 3.6
– Percent of Open Interest Shorts: 30.7 44.0 7.5
– Net Position: -2,855,216 3,260,722 -405,506
– Gross Longs: 332,811 7,825,376 371,699
– Gross Shorts: 3,188,027 4,564,654 777,205
– Long to Short Ratio: 0.1 to 1 1.7 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.4 99.3 15.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.5 4.8 6.9

 


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 25,207 contracts in the data reported through Tuesday. This was a weekly reduction of -17,284 contracts from the previous week which had a total of 42,491 net contracts.

This 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 42.7 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bearish with a score of 39.6 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.2 75.9 1.9
– Percent of Open Interest Shorts: 4.8 76.8 2.4
– Net Position: 25,207 -17,303 -7,904
– Gross Longs: 117,407 1,448,066 37,077
– Gross Shorts: 92,200 1,465,369 44,981
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 42.7 57.8 39.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 0.8 -1.4 11.0

 


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 -128,118 contracts in the data reported through Tuesday. This was a weekly reduction of -92,825 contracts from the previous week which had a total of -35,293 net contracts.

This 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 56.4 percent. The commercials are Bullish with a score of 62.1 percent and the small traders (not shown in chart) are Bearish with a score of 21.5 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.9 77.2 6.5
– Percent of Open Interest Shorts: 17.6 68.5 9.4
– Net Position: -128,118 193,103 -64,985
– Gross Longs: 263,530 1,714,483 143,470
– Gross Shorts: 391,648 1,521,380 208,455
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 56.4 62.1 21.5
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.2 -5.1 12.2

 


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 -217,788 contracts in the data reported through Tuesday. This was a weekly decline of -97,261 contracts from the previous week which had a total of -120,527 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.0 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bearish with a score of 39.9 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.1 81.4 7.5
– Percent of Open Interest Shorts: 14.9 71.7 11.4
– Net Position: -217,788 367,355 -149,567
– Gross Longs: 348,119 3,096,723 285,676
– Gross Shorts: 565,907 2,729,368 435,243
– Long to Short Ratio: 0.6 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.0 58.1 39.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.5 -15.9 16.3

 


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 -238,907 contracts in the data reported through Tuesday. This was a weekly decrease of -13,783 contracts from the previous week which had a total of -225,124 net contracts.

This 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 36.1 percent. The commercials are Bullish with a score of 70.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.1 79.6 9.0
– Percent of Open Interest Shorts: 14.0 67.8 14.0
– Net Position: -238,907 411,183 -172,276
– Gross Longs: 245,557 2,764,399 313,090
– Gross Shorts: 484,464 2,353,216 485,366
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 36.1 70.7 38.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.2 -13.1 3.9

 


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 -105,367 contracts in the data reported through Tuesday. This was a weekly fall of -6,442 contracts from the previous week which had a total of -98,925 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-Extreme with a score of 1.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 81.8 11.9
– Percent of Open Interest Shorts: 13.4 64.7 20.4
– Net Position: -105,367 210,588 -105,221
– Gross Longs: 59,643 1,010,524 147,144
– Gross Shorts: 165,010 799,936 252,365
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 1.4 94.3 52.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.3 5.0 5.2

 


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 19,761 contracts in the data reported through Tuesday. This was a weekly reduction of -8,741 contracts from the previous week which had a total of 28,502 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 91.0 percent. The commercials are Bearish with a score of 20.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.9 75.9 13.0
– Percent of Open Interest Shorts: 8.3 75.8 14.7
– Net Position: 19,761 1,627 -21,388
– Gross Longs: 120,014 920,309 157,340
– Gross Shorts: 100,253 918,682 178,728
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 91.0 20.6 35.6
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.1 -6.3 -8.8

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -309,278 contracts in the data reported through Tuesday. This was a weekly fall of -1,383 contracts from the previous week which had a total of -307,895 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.0 percent. The commercials are Bullish with a score of 55.7 percent and the small traders (not shown in chart) are Bearish with a score of 43.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 83.4 11.5
– Percent of Open Interest Shorts: 27.2 61.1 9.9
– Net Position: -309,278 287,591 21,687
– Gross Longs: 41,190 1,074,846 148,794
– Gross Shorts: 350,468 787,255 127,107
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 59.0 55.7 43.8
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.5 -11.4 -3.5

 


Article By InvestMacroReceive 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.

COT Week 21 Charts: Bonds Speculator bets mostly lower this week

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

bonds-oi cot open interest

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

The latest COT data is updated through Tuesday May 24th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

COT bonds market speculator bets were mostly lower this week as only three out of the eight bond markets we cover had higher positioning this week while five markets saw lower positions. Leading the gains for bonds was the 5-Year Bond (139,697 contracts) and the 2-Year Bond (99,344 contracts) with the Eurodollar (41,671 contracts) also showing a positive week. Meanwhile, leading the declines in speculator bets this week were the 10-Year Bond (-65,033 contracts) and the Ultra US Bond (-13,336 contracts) with the Ultra 10-Year (-1,088 contracts), Long US Bond (-3,505 contracts) and the Fed Funds (-6,524 contracts) also coming in with lower bets on the week.


Speculator strength standings for each Bond Market where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme

  • OI Strength = Current Open Interest level compared to last 3 years range
  • Spec Strength = Current Net Speculator level compared to last 3 years range
  • Strength Move = Six week change of Spec Strength

Data Snapshot of Bond Market Traders | Columns Legend
May-24-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,441,566 33 -2,832,780 1 3,227,860 99 -395,080 17
FedFunds 1,859,067 65 42,491 45 -38,493 55 -3,998 50
2-Year 2,526,000 32 -35,293 75 106,854 43 -71,561 19
Long T-Bond 1,267,244 60 28,502 94 -11,224 17 -17,278 39
10-Year 3,662,628 41 -225,124 38 376,665 67 -151,541 44
5-Year 4,011,412 52 -120,527 62 292,048 49 -171,521 34

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -2,832,780 contracts in the data reported through Tuesday. This was a weekly increase of 41,671 contracts from the previous week which had a total of -2,874,451 net contracts.

This 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 0.8 percent. The commercials are Bullish-Extreme with a score of 98.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.5 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 75.4 3.7
– Percent of Open Interest Shorts: 30.5 44.5 7.5
– Net Position: -2,832,780 3,227,860 -395,080
– Gross Longs: 351,909 7,877,754 384,474
– Gross Shorts: 3,184,689 4,649,894 779,554
– Long to Short Ratio: 0.1 to 1 1.7 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.8 98.7 17.5
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.5 3.1 3.7

 


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 42,491 contracts in the data reported through Tuesday. This was a weekly fall of -6,524 contracts from the previous week which had a total of 49,015 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.9 percent. The commercials are Bullish with a score of 55.2 percent and the small traders (not shown in chart) are Bearish with a score of 49.5 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.4 75.5 2.1
– Percent of Open Interest Shorts: 4.1 77.5 2.3
– Net Position: 42,491 -38,493 -3,998
– Gross Longs: 119,202 1,403,144 39,289
– Gross Shorts: 76,711 1,441,637 43,287
– Long to Short Ratio: 1.6 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 44.9 55.2 49.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 1.0 -2.6 33.5

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -35,293 contracts in the data reported through Tuesday. This was a weekly boost of 99,344 contracts from the previous week which had a total of -134,637 net contracts.

This 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 75.1 percent. The commercials are Bearish with a score of 43.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.8 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.3 73.0 5.8
– Percent of Open Interest Shorts: 15.7 68.8 8.7
– Net Position: -35,293 106,854 -71,561
– Gross Longs: 361,614 1,845,029 147,143
– Gross Shorts: 396,907 1,738,175 218,704
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 75.1 43.2 18.8
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.2 -11.4 -1.5

 


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 -120,527 contracts in the data reported through Tuesday. This was a weekly rise of 139,697 contracts from the previous week which had a total of -260,224 net contracts.

This 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 62.1 percent. The commercials are Bearish with a score of 48.9 percent and the small traders (not shown in chart) are Bearish with a score of 33.9 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.1 77.1 9.7
– Percent of Open Interest Shorts: 13.1 69.8 14.0
– Net Position: -120,527 292,048 -171,521
– Gross Longs: 405,475 3,093,412 388,207
– Gross Shorts: 526,002 2,801,364 559,728
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 62.1 48.9 33.9
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 37.6 -30.6 10.2

 


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 -225,124 contracts in the data reported through Tuesday. This was a weekly decrease of -65,033 contracts from the previous week which had a total of -160,091 net contracts.

This 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 66.6 percent and the small traders (not shown in chart) are Bearish with a score of 43.8 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.5 77.4 9.7
– Percent of Open Interest Shorts: 13.6 67.1 13.8
– Net Position: -225,124 376,665 -151,541
– Gross Longs: 273,667 2,834,111 354,203
– Gross Shorts: 498,791 2,457,446 505,744
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 38.2 66.6 43.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.4 -14.4 11.0

 


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 -98,925 contracts in the data reported through Tuesday. This was a weekly fall of -1,088 contracts from the previous week which had a total of -97,837 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.1 percent. The commercials are Bullish-Extreme with a score of 94.6 percent and the small traders (not shown in chart) are Bearish with a score of 47.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.3 80.9 11.9
– Percent of Open Interest Shorts: 13.0 64.5 20.7
– Net Position: -98,925 211,834 -112,909
– Gross Longs: 68,305 1,044,490 153,665
– Gross Shorts: 167,230 832,656 266,574
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 3.1 94.6 47.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -9.3 0.3 20.8

 


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 28,502 contracts in the data reported through Tuesday. This was a weekly fall of -3,505 contracts from the previous week which had a total of 32,007 net contracts.

This 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 93.9 percent. The commercials are Bearish-Extreme with a score of 16.6 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.2 72.8 14.0
– Percent of Open Interest Shorts: 8.9 73.7 15.4
– Net Position: 28,502 -11,224 -17,278
– Gross Longs: 141,452 922,729 177,518
– Gross Shorts: 112,950 933,953 194,796
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 93.9 16.6 38.9
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 11.0 -7.5 -7.9

 


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 -307,895 contracts in the data reported through Tuesday. This was a weekly fall of -13,336 contracts from the previous week which had a total of -294,559 net contracts.

This 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 59.6 percent. The commercials are Bullish with a score of 57.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.9 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.6 81.8 11.6
– Percent of Open Interest Shorts: 25.8 60.9 10.3
– Net Position: -307,895 290,252 17,643
– Gross Longs: 50,153 1,136,228 161,147
– Gross Shorts: 358,048 845,976 143,504
– Long to Short Ratio: 0.1 to 1 1.3 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 59.6 57.0 40.9
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.2 -7.2 -7.3

 


Article By InvestMacroReceive 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.

The Fed Giveth, The Fed Taketh Away

By Ino.com

– With the stock market tanking and the Federal Reserve finally starting to raise interest rates and reduce its $9 trillion balance sheet, it’s probably a good time to look back and determine how much of the stock market’s gains in the past 12 years or so have been built on extremely accommodative Fed monetary policy. That could provide some idea of how much we can expect the market to drop once the Fed has finally stopped the tightening process, and when stocks might start rising again.

Since reaching its all-time high of 16,057 back on November 15, the NASDAQ had dropped nearly 29% as of May 18, when it closed at 11,418. Likewise, the S&P 500 is down nearly 18% since it hit its all-time high on December 27, while the Dow is off more than 13% after reaching its peak on that same day.

Those declines followed several indications from Fed Chair Jerome Powell and other Fed officials that the central bank had finally conceded that inflation wasn’t “transitory” after all and that it had to act aggressively before inflation got totally out of control.

The Fed raised its benchmark interest rate by 25 basis points on March 16, its first rate increase since December 2018, and another 50 bps on May 4, its largest increase since May 2000. The Fed’s next meeting is scheduled for the middle of next month, at which it is expected to vote for another 50-bp hike, followed by several more by the end of the year. If the Fed raises rates by 50 bps at each of its next five meetings, including the one right before Election Day, that will push its benchmark rate to about 3.5%, its highest level since January 2008. That was just before the onset of the global financial crisis and the Great Recession.

Then began an unprecedented series of Fed rate cuts and massive asset purchases that, with a few pauses in 2017 and 2018, have continued until now. They have helped boost stock prices to record levels, even though U.S. economic performance during most of that time was generally considered to be subpar, and we suffered through a global pandemic that shut down major parts of the economy for long periods.

So it’s probably valid to ask how much of the stock market’s rise since 2008 has been due to accommodative Fed monetary policy and how much to good old-fashioned fundamentals, like corporate earnings. In other words, how deep can we expect stock prices to drop once the Fed is done with this tightening process?

Looking at the S&P 500 chart, the index is now back down to about where it was about a year ago, meaning that all of the gains from the past year have disappeared. The NASDAQ’s drop has been even more severe; it’s back to where it was in the fall of 2020. So the question is: How far can we reasonably expect stocks to fall before all of the Fed’s irrationally exuberant monetary policy has wrung itself out of the system, and stocks can then begin to rise again? I.e., how will we know when we’ve hit bottom?

Is it reasonable to say that the Fed was responsible for half of the stock market’s gains since March 2009, which is generally considered the stock market bottom during the Great Recession? If so, boys and girls, we’ve got a long way to go before we hit bottom this time.

On March 2, 2009, the S&P 500 registered 683, after which it began a nearly 12-year climb upward that, with a few minor corrections along the way, basically wouldn’t end until February 2020, when the first signs emerged of what would become the Covid-19 pandemic. From February 2020 to March 16, the S&P would plunge nearly 32%, after which it was rescued by the Fed, which quickly cut interest rates back to zero and increased its balance sheet to nearly $9 trillion. The S&P then more than doubled by December 2021, when the markets finally came to the realization that the Fed-sponsored party was over.

So, to recap, between the March 2009 bottom of 683 and December 27, 2021, top of 4,766, the S&P 500 gained nearly 600%, not including dividends. That neatly tracks the Fed’s monetary stimulus programs dating back to the Great Recession. If we say the Fed was responsible for half of that gain, that will put the S&P back to about 2,700 after the removal of the Fed stimulus. Since the S&P 500 is now at about 3,900, that would indicate we might expect another 1,000 point drop in the index, putting it back to where it was about two years ago. Is it unrealistic to think that we have about two years’ worth of Fed froth to wring out of the market?

I’m not predicting that, but I don’t think it’s unreasonable to think it could happen. So if you’re looking for an opportunity to jump back into the market, you have time.

Visit back to read my next article!

George Yacik
INO.com Contributor – Fed & Interest Rates

Disclosure: This article is the opinion of the contributor themselves. The above is a matter of opinion provided for general information purposes only and is not intended as investment advice. This contributor is not receiving compensation (other than from INO.com) for their opinion.

By Ino.com – See our Trader Blog, INO TV Free & Market Analysis Alerts

Source: The Fed Giveth, The Fed Taketh Away

COT Bonds Futures Charts: Speculator bets mostly lower this week

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

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

Bonds market speculator bets were mostly lower this week as five out of the eight bond markets we cover had lower positioning this week. Most of these markets remain bearish (speculator levels and price levels) in the higher interest rate environment of 2022. The exceptions in the COT speculator positioning are the Fed Funds positions which recently turned positive in early April and have maintained a small bullish level in six out of the past seven weeks. The US Treasury Bond positions also turned positive in early March and have also had a small bullish position in nine out of the past eleven weeks.

Overall, the bond markets with higher speculator bets for this week were Long US Bond (16,554 contracts), 5-Year Bond (65,450 contracts) and the Ultra US Bond (16,954 contracts).

The markets with declining speculator bets this week were the 2-Year Bond (-7,808 contracts), Eurodollar (-273,864 contracts), 10-Year Bond (-74,119 contracts), Ultra 10-Year (-2,421 contracts) and the Fed Funds (-147 contracts).


Speculator strength standings for each Commodity where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme OI Strength = Current Open Interest level compared to last 3 years range Spec Strength = Current Net Speculator level compared to last 3 years range Strength Move = Six week change of Spec Strength


Data Snapshot of Bond Market Traders | Columns Legend
May-17-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,381,883 32 -2,874,451 0 3,300,959 100 -426,508 11
FedFunds 1,796,405 58 49,015 46 -45,484 54 -3,531 51
2-Year 2,376,024 26 -134,637 55 209,074 66 -74,437 18
Long T-Bond 1,244,823 57 32,007 95 -14,575 15 -17,432 39
10-Year 3,666,416 41 -160,091 48 318,592 60 -158,501 42
5-Year 3,791,540 37 -260,224 38 417,629 64 -157,405 38

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,874,451 contracts in the data reported through Tuesday. This was a weekly decline of -273,864 contracts from the previous week which had a total of -2,600,587 net contracts.

This 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-Extreme with a score of 10.6 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.2 76.0 3.7
– Percent of Open Interest Shorts: 30.9 44.2 7.8
– Net Position: -2,874,451 3,300,959 -426,508
– Gross Longs: 336,958 7,889,274 386,384
– Gross Shorts: 3,211,409 4,588,315 812,892
– Long to Short Ratio: 0.1 to 1 1.7 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 100.0 10.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.5 5.9 4.6

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 49,015 contracts in the data reported through Tuesday. This was a weekly lowering of -147 contracts from the previous week which had a total of 49,162 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.7 percent. The commercials are Bullish with a score of 54.4 percent and the small traders (not shown in chart) are Bullish with a score of 50.7 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.6 75.5 2.1
– Percent of Open Interest Shorts: 2.8 78.0 2.3
– Net Position: 49,015 -45,484 -3,531
– Gross Longs: 100,043 1,355,889 37,674
– Gross Shorts: 51,028 1,401,373 41,205
– Long to Short Ratio: 2.0 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.7 54.4 50.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.6 -5.3 16.5

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -134,637 contracts in the data reported through Tuesday. This was a weekly lowering of -7,808 contracts from the previous week which had a total of -126,829 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.1 percent. The commercials are Bullish with a score of 65.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.6 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.0 76.6 5.8
– Percent of Open Interest Shorts: 18.6 67.8 8.9
– Net Position: -134,637 209,074 -74,437
– Gross Longs: 307,951 1,818,876 137,690
– Gross Shorts: 442,588 1,609,802 212,127
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 55.1 65.6 17.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.6 8.0 10.7

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -260,224 contracts in the data reported through Tuesday. This was a weekly boost of 65,450 contracts from the previous week which had a total of -325,674 net contracts.

This 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 37.5 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.9 81.1 7.5
– Percent of Open Interest Shorts: 14.7 70.1 11.7
– Net Position: -260,224 417,629 -157,405
– Gross Longs: 298,615 3,074,092 284,595
– Gross Shorts: 558,839 2,656,463 442,000
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 37.5 64.2 37.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 13.7 -16.5 15.8

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -160,091 contracts in the data reported through Tuesday. This was a weekly decline of -74,119 contracts from the previous week which had a total of -85,972 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 48.1 percent. The commercials are Bullish with a score of 59.7 percent and the small traders (not shown in chart) are Bearish with a score of 42.1 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.6 76.9 8.9
– Percent of Open Interest Shorts: 12.9 68.2 13.2
– Net Position: -160,091 318,592 -158,501
– Gross Longs: 314,613 2,819,008 325,049
– Gross Shorts: 474,704 2,500,416 483,550
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 48.1 59.7 42.1
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 30.8 -29.7 11.0

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -97,837 contracts in the data reported through Tuesday. This was a weekly fall of -2,421 contracts from the previous week which had a total of -95,416 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.4 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.6 81.6 12.2
– Percent of Open Interest Shorts: 12.6 65.2 20.7
– Net Position: -97,837 200,995 -103,158
– Gross Longs: 56,209 1,000,137 150,063
– Gross Shorts: 154,046 799,142 253,221
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 3.4 91.8 53.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.6 -8.2 20.7

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 32,007 contracts in the data reported through Tuesday. This was a weekly increase of 16,554 contracts from the previous week which had a total of 15,453 net contracts.

This 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 95.0 percent. The commercials are Bearish-Extreme with a score of 15.5 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.7 72.5 12.3
– Percent of Open Interest Shorts: 9.2 73.6 13.7
– Net Position: 32,007 -14,575 -17,432
– Gross Longs: 146,002 902,140 152,520
– Gross Shorts: 113,995 916,715 169,952
– Long to Short Ratio: 1.3 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 95.0 15.5 38.8
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 10.0 -7.4 -6.1

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -294,559 contracts in the data reported through Tuesday. This was a weekly gain of 16,954 contracts from the previous week which had a total of -311,513 net contracts.

This 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 65.1 percent. The commercials are Bearish with a score of 44.2 percent and the small traders (not shown in chart) are Bullish with a score of 50.1 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.7 81.8 11.6
– Percent of Open Interest Shorts: 26.3 61.5 9.3
– Net Position: -294,559 264,222 30,337
– Gross Longs: 48,033 1,065,877 151,667
– Gross Shorts: 342,592 801,655 121,330
– Long to Short Ratio: 0.1 to 1 1.3 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 65.1 44.2 50.1
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.8 -21.4 5.2

 


Article By InvestMacroReceive 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.

COT Bonds Futures Charts: Speculator bets higher this week

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

The latest COT data is updated through Tuesday May 10th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Bonds market speculator bets mostly rose this week as seven out of the eight bond markets we cover saw higher positioning this week. Most of these markets are deeply bearish (speculator levels and price levels) as bond markets have been declining mightily in this higher interest rate environment this year. This week’s rise in bond speculator bets will likely be short-lived although there have been increasing calls that bond markets may have hit or are approaching a short term bottom.

Overall, the markets with higher speculator bets this week were 2-Year Bond (2,342 contracts), Eurodollar (87,521 contracts), 10-Year Bond (61,565 contracts), Ultra 10-Year (15,302 contracts), Long US Bond (1,942 contracts), Fed Funds (104,415 contracts) and the Ultra US Bond (7,666 contracts).

The only market with declining speculator bets this week was the 5-Year Bond (-6,738 contracts).


Speculator strength standings for each Commodity where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme OI Strength = Current Open Interest level compared to last 3 years range Spec Strength = Current Net Speculator level compared to last 3 years range Strength Move = Six week change of Spec Strength


Data Snapshot of Bond Market Traders | Columns Legend
May-10-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,439,124 33 -2,600,587 3 3,030,504 97 -429,917 10
FedFunds 1,750,404 55 49,162 46 -49,266 54 104 60
2-Year 2,264,774 21 -126,829 57 201,609 64 -74,780 17
Long T-Bond 1,207,560 50 15,453 90 -4,991 19 -10,462 44
10-Year 3,722,697 45 -85,972 59 268,376 54 -182,404 36
5-Year 3,813,677 38 -325,674 26 502,383 75 -176,709 32

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,600,587 contracts in the data reported through Tuesday. This was a weekly boost of 87,521 contracts from the previous week which had a total of -2,688,108 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.3 percent. The commercials are Bullish-Extreme with a score of 96.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.8 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 75.3 4.1
– Percent of Open Interest Shorts: 28.3 46.3 8.2
– Net Position: -2,600,587 3,030,504 -429,917
– Gross Longs: 356,101 7,861,403 422,820
– Gross Shorts: 2,956,688 4,830,899 852,737
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 3.3 96.6 9.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.3 3.2 -0.4

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 49,162 contracts in the data reported through Tuesday. This was a weekly gain of 104,415 contracts from the previous week which had a total of -55,253 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.7 percent. The commercials are Bullish with a score of 53.9 percent and the small traders (not shown in chart) are Bullish with a score of 60.0 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.9 75.2 2.3
– Percent of Open Interest Shorts: 3.1 78.0 2.3
– Net Position: 49,162 -49,266 104
– Gross Longs: 103,238 1,316,147 39,627
– Gross Shorts: 54,076 1,365,413 39,523
– Long to Short Ratio: 1.9 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.7 53.9 60.0
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 7.8 -10.3 53.3

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -126,829 contracts in the data reported through Tuesday. This was a weekly rise of 2,342 contracts from the previous week which had a total of -129,171 net contracts.

This 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 56.7 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.4 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.1 77.3 6.2
– Percent of Open Interest Shorts: 17.7 68.4 9.5
– Net Position: -126,829 201,609 -74,780
– Gross Longs: 275,153 1,751,572 140,782
– Gross Shorts: 401,982 1,549,963 215,562
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 56.7 63.9 17.4
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.7 8.7 11.6

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -325,674 contracts in the data reported through Tuesday. This was a weekly decrease of -6,738 contracts from the previous week which had a total of -318,936 net contracts.

This 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 26.1 percent. The commercials are Bullish with a score of 74.5 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.6 83.0 7.1
– Percent of Open Interest Shorts: 16.2 69.9 11.8
– Net Position: -325,674 502,383 -176,709
– Gross Longs: 291,527 3,167,247 271,640
– Gross Shorts: 617,201 2,664,864 448,349
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 26.1 74.5 32.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.3 -11.7 16.6

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -85,972 contracts in the data reported through Tuesday. This was a weekly advance of 61,565 contracts from the previous week which had a total of -147,537 net contracts.

This 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 59.4 percent. The commercials are Bullish with a score of 53.8 percent and the small traders (not shown in chart) are Bearish with a score of 36.2 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.9 76.5 8.4
– Percent of Open Interest Shorts: 13.2 69.2 13.3
– Net Position: -85,972 268,376 -182,404
– Gross Longs: 406,123 2,846,309 313,590
– Gross Shorts: 492,095 2,577,933 495,994
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 59.4 53.8 36.2
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 59.4 -46.2 -0.3

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -95,416 contracts in the data reported through Tuesday. This was a weekly increase of 15,302 contracts from the previous week which had a total of -110,718 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.0 percent. The commercials are Bullish-Extreme with a score of 93.4 percent and the small traders (not shown in chart) are Bearish with a score of 48.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.5 82.9 11.3
– Percent of Open Interest Shorts: 12.2 66.3 20.3
– Net Position: -95,416 207,218 -111,802
– Gross Longs: 56,783 1,034,536 141,487
– Gross Shorts: 152,199 827,318 253,289
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 4.0 93.4 48.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.7 0.4 12.4

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 15,453 contracts in the data reported through Tuesday. This was a weekly increase of 1,942 contracts from the previous week which had a total of 13,511 net contracts.

This 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 89.6 percent. The commercials are Bearish-Extreme with a score of 18.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.9 72.1 13.0
– Percent of Open Interest Shorts: 9.6 72.5 13.8
– Net Position: 15,453 -4,991 -10,462
– Gross Longs: 131,916 870,932 156,698
– Gross Shorts: 116,463 875,923 167,160
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 89.6 18.5 44.3
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.2 -0.6 1.9

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -311,513 contracts in the data reported through Tuesday. This was a weekly advance of 7,666 contracts from the previous week which had a total of -319,179 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 Bullish with a score of 58.1 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 43.2 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.6 84.6 11.4
– Percent of Open Interest Shorts: 28.2 61.6 9.8
– Net Position: -311,513 290,655 20,858
– Gross Longs: 45,084 1,069,894 144,208
– Gross Shorts: 356,597 779,239 123,350
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 58.1 57.2 43.2
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.9 0.8 -9.9

 


Article By InvestMacroReceive 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.

Interest Rates: The Warning That Few Wanted to Heed

Here’s an update on this “hugely dangerous bet”

By Elliott Wave International

Back in mid-2020, a common sentiment toward interest rates was that they would stay historically low for the foreseeable future.

Indeed, in July of that year, no less than the Bank of Canada governor said (BNN Bloomberg):

‘Interest rates will be low for a long time’: Macklem

The next month, in August 2020, a Wall Street Journal headline used more dramatic language than “foreseeable future”:

Low Rates Forever!

In the same month and year, one chief investment officer also used the word “forever” in regard to low rates by saying, “We are moving from low for longer to low forever.”

The reason the mainstream was SO convinced was simple: 2020 was the first year of the pandemic, and it was widely believed that low rates would have to stay “forever” to “stimulate the economy.”

So, the July 2020 Elliott Wave Financial Forecast, a monthly publication which offers analysis of major U.S. financial markets, was going squarely against the prevailing sentiment toward interest rates when it showed this chart and said:

The declining line in blue on this chart is the Bloomberg Barclays U.S. Aggregate Corporate Bond Yield, which is at a record low 2.15%. The rising line in red is the Bloomberg Barclays U.S. Aggregate Corporate Duration, which is at a record high 8.6. Bond duration is a measure of how sensitive prices are to a move in interest rates. … Bond investors are now making a hugely dangerous bet that interest rates will stay low forever.

Fast forward to the April 2022 Elliott Wave Financial Forecast. Here’s a chart which shows you what has happened since that July 2020 analysis:

The chart updates both corporate yields and corporate durations. Corporate yields declined slightly further, to an all-time low at 1.74% on December 31, 2020, but they have since surged to 3.76%, more than doubling.

So much for the “low forever” sentiment.

Indeed, on April 14, a Bloomberg headline said:

Corporate Bond Rout is So Severe History Books Need a Revision

And, relatedly, on May 2, a CNBC headline noted:

10-year Treasury yield tops 3% for first time since 2018

And, given the Fed has historically followed the market, another CNBC headline — this one from May 4 — is not surprising:

Fed raises rates by half a percentage point — the biggest hike in two decades — to fight inflation

Now is the time to learn what Elliott wave analysis reveals about what to expect next for bond yields (or interest rates).

If you’re new to Elliott wave analysis, or need to freshen up on your knowledge, the ideal book to read is Frost & Prechter’s Elliott Wave Principle: Key to Market Behavior.

Here’s a quote from this Wall Street classic:

Although it is the best forecasting tool in existence, the Wave Principle is not primarily a forecasting tool; it is a detailed description of how markets behave. Nevertheless, that description does impart an immense amount of knowledge about the market’s position within the behavioral continuum and therefore about its probable ensuing path. The primary value of the Wave Principle is that it provides a context for market analysis. This context provides both a basis for disciplined thinking and a perspective on the market’s general position and outlook. At times, its accuracy in identifying, and even anticipating, changes in direction is almost unbelievable.

Here’s the good news: You can access the online version of the book for free once you become a Club EWI member.

Club EWI is the world’s largest Elliott wave educational community and members enjoy complimentary access to a wealth of Elliott wave educational resources, including Elliott Wave Principle: Key to Market Behavior. Club EWI is free to join and you can benefit from all of the free educational resources (videos and articles on financial markets and investing) without any obligation whatsoever.

Just follow this link to get started: Elliott Wave Principle: Key to Market Behavior — free and instant access.

This article was syndicated by Elliott Wave International and was originally published under the headline Interest Rates: The Warning That Few Wanted to Heed. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

COT Futures: This Week’s Bond Markets Charts

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

COT_Bonds_OI

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

The latest COT data is updated through Tuesday May 3rd 2022 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

The bond markets with higher speculator bets this week were the Eurodollar (85,554 contracts) and the Ultra US Bond (24,875 contracts).

The bond markets with lower speculator bets this week were the 2-Year Bond (-39,648 contracts), 10-Year Bond (-29,720 contracts), Ultra 10-Year (-40,831 contracts), Long US Bond (-6,588 contracts), Fed Funds (-94,206 contracts) and the 5-Year Bond (-44,787 contracts).


Speculator strength standings for each Bond where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme OI Strength = Current Open Interest level compared to last 3 years range Spec Strength = Current Net Speculator level compared to last 3 years range Strength Move = Six week change of Spec Strength

 


Data Snapshot of Bond Market Traders | Columns Legend
May-03-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
Eurodollar 10,548,844 35 -2,688,108 2 3,107,103 98 -418,995 12
FedFunds 1,662,069 49 -55,253 33 60,532 67 -5,279 46
2-Year 2,232,148 18 -129,171 56 245,745 74 -116,574 0
Long T-Bond 1,187,151 47 13,511 89 5,068 22 -18,579 38
10-Year 3,680,764 42 -147,537 50 313,344 59 -165,807 40
5-Year 3,818,836 38 -318,936 27 509,720 75 -190,784 29

 


3-Month Eurodollars Futures:

The 3-Month Eurodollars large speculator standing this week totaled a net position of -2,688,108 contracts in the data reported through Tuesday. This was a weekly gain of 85,554 contracts from the previous week which had a total of -2,773,662 net contracts.

This 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 1.6 percent. The commercials are Bullish-Extreme with a score of 98.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.2 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 74.6 4.0
– Percent of Open Interest Shorts: 28.9 45.1 8.0
– Net Position: -2,688,108 3,107,103 -418,995
– Gross Longs: 357,697 7,864,603 420,867
– Gross Shorts: 3,045,805 4,757,500 839,862
– Long to Short Ratio: 0.1 to 1 1.7 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 1.6 98.0 12.2
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.6 0.6 -0.3

 


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 -55,253 contracts in the data reported through Tuesday. This was a weekly fall of -94,206 contracts from the previous week which had a total of 38,953 net contracts.

This 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 32.8 percent. The commercials are Bullish with a score of 67.2 percent and the small traders (not shown in chart) are Bearish with a score of 46.3 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 1.5 80.2 2.0
– Percent of Open Interest Shorts: 4.8 76.5 2.3
– Net Position: -55,253 60,532 -5,279
– Gross Longs: 24,608 1,332,707 32,724
– Gross Shorts: 79,861 1,272,175 38,003
– Long to Short Ratio: 0.3 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 32.8 67.2 46.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.2 3.7 28.0

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -129,171 contracts in the data reported through Tuesday. This was a weekly decrease of -39,648 contracts from the previous week which had a total of -89,523 net contracts.

This 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 56.2 percent. The commercials are Bullish with a score of 73.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.5 76.5 6.0
– Percent of Open Interest Shorts: 19.3 65.5 11.2
– Net Position: -129,171 245,745 -116,574
– Gross Longs: 301,359 1,708,203 133,733
– Gross Shorts: 430,530 1,462,458 250,307
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 56.2 73.6 0.0
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -16.5 26.1 -15.6

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -318,936 contracts in the data reported through Tuesday. This was a weekly decrease of -44,787 contracts from the previous week which had a total of -274,149 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.2 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 28.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.7 83.2 6.9
– Percent of Open Interest Shorts: 16.0 69.9 11.9
– Net Position: -318,936 509,720 -190,784
– Gross Longs: 293,082 3,178,614 262,964
– Gross Shorts: 612,018 2,668,894 453,748
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 27.2 75.4 28.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -4.0 -4.2 15.7

 


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 -147,537 contracts in the data reported through Tuesday. This was a weekly lowering of -29,720 contracts from the previous week which had a total of -117,817 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.0 percent. The commercials are Bullish with a score of 59.1 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.6 77.5 8.9
– Percent of Open Interest Shorts: 14.6 69.0 13.4
– Net Position: -147,537 313,344 -165,807
– Gross Longs: 391,455 2,853,366 325,869
– Gross Shorts: 538,992 2,540,022 491,676
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 50.0 59.1 40.0
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.7 -17.9 8.1

 


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 -110,718 contracts in the data reported through Tuesday. This was a weekly decrease of -40,831 contracts from the previous week which had a total of -69,887 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-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.1 percent and the small traders (not shown in chart) are Bearish with a score of 46.9 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 83.3 10.8
– Percent of Open Interest Shorts: 13.5 65.6 19.8
– Net Position: -110,718 225,309 -114,591
– Gross Longs: 60,984 1,060,049 136,897
– Gross Shorts: 171,702 834,740 251,488
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 0.0 98.1 46.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.0 2.7 5.3

 


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 13,511 contracts in the data reported through Tuesday. This was a weekly decline of -6,588 contracts from the previous week which had a total of 20,099 net contracts.

This 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 89.0 percent. The commercials are Bearish with a score of 21.7 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.0 72.8 13.1
– Percent of Open Interest Shorts: 9.8 72.4 14.7
– Net Position: 13,511 5,068 -18,579
– Gross Longs: 130,124 864,328 155,544
– Gross Shorts: 116,613 859,260 174,123
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 89.0 21.7 37.8
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.2 3.3 6.8

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -319,179 contracts in the data reported through Tuesday. This was a weekly lift of 24,875 contracts from the previous week which had a total of -344,054 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.0 percent. The commercials are Bullish with a score of 61.2 percent and the small traders (not shown in chart) are Bearish with a score of 42.9 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 84.1 11.7
– Percent of Open Interest Shorts: 28.4 60.7 10.1
– Net Position: -319,179 298,805 20,374
– Gross Longs: 43,517 1,073,810 148,944
– Gross Shorts: 362,696 775,005 128,570
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 55.0 61.2 42.9
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.4 21.2 -16.2

 


Article By InvestMacroReceive 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.