Archive for Bonds

09 Mar

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

By InvestMacro

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

The latest COT data is updated through Tuesday March 4th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led lower by Fed Funds & 5-Year Bonds

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

Leading the gains for the bond markets was the SOFR 1-Month with a gain of 42,737 contracts also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-233,685 contracts), the 5-Year Bonds (-172,588 contracts), the SOFR 3-Months (-114,073 contracts), the US Treasury Bonds (-58,709 contracts), the 2-Year Bonds (-21,846 contracts), the Ultra 10-Year Bonds (-21,236 contracts), the 10-Year Bonds (-12,185 contracts) and the Ultra Treasury Bonds (-4,169 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (86 percent) and the US Treasury Bonds (77 percent) lead the bond markets this week. The Ultra 10-Year Bonds (75 percent) come in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (10 percent) and the SOFR 3-Months (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (21 percent) and the 10-Year Bonds (41 percent).

Strength Statistics:
Fed Funds (10.3 percent) vs Fed Funds previous week (53.4 percent)
2-Year Bond (21.5 percent) vs 2-Year Bond previous week (23.0 percent)
5-Year Bond (9.8 percent) vs 5-Year Bond previous week (19.0 percent)
10-Year Bond (40.8 percent) vs 10-Year Bond previous week (42.0 percent)
Ultra 10-Year Bond (75.1 percent) vs Ultra 10-Year Bond previous week (83.0 percent)
US Treasury Bond (77.2 percent) vs US Treasury Bond previous week (97.6 percent)
Ultra US Treasury Bond (85.8 percent) vs Ultra US Treasury Bond previous week (87.4 percent)
SOFR 1-Month (60.2 percent) vs SOFR 1-Month previous week (49.7 percent)
SOFR 3-Months (16.9 percent) vs SOFR 3-Months previous week (22.8 percent)

Ultra 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (36 percent) and the lead the past six weeks trends for bonds.

The SOFR 1-Month (-17 percent), the US Treasury Bond (-15 percent) and the 10-Year Bonds (-12 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-9.1 percent) vs Fed Funds previous week (33.3 percent)
2-Year Bond (0.2 percent) vs 2-Year Bond previous week (7.4 percent)
5-Year Bond (-0.1 percent) vs 5-Year Bond previous week (8.1 percent)
10-Year Bond (-12.5 percent) vs 10-Year Bond previous week (-12.5 percent)
Ultra 10-Year Bond (36.3 percent) vs Ultra 10-Year Bond previous week (32.2 percent)
US Treasury Bond (-14.7 percent) vs US Treasury Bond previous week (14.2 percent)
Ultra US Treasury Bond (-0.7 percent) vs Ultra US Treasury Bond previous week (5.6 percent)
SOFR 1-Month (-17.0 percent) vs SOFR 1-Month previous week (-16.9 percent)
SOFR 3-Months (-8.6 percent) vs SOFR 3-Months previous week (-0.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -240,075 contracts in the data reported through Tuesday. This was a weekly decline of -233,685 contracts from the previous week which had a total of -6,390 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.3 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.169.22.5
– Percent of Open Interest Shorts:25.756.71.4
– Net Position:-240,075220,89719,178
– Gross Longs:214,5281,224,31443,847
– Gross Shorts:454,6031,003,41724,669
– Long to Short Ratio:0.5 to 11.2 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.382.287.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.14.830.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -838,944 contracts in the data reported through Tuesday. This was a weekly lowering of -114,073 contracts from the previous week which had a total of -724,871 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.9 percent. The commercials are Bullish-Extreme with a score of 81.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.961.20.6
– Percent of Open Interest Shorts:20.953.50.4
– Net Position:-838,944814,36524,579
– Gross Longs:1,367,0586,463,73266,088
– Gross Shorts:2,206,0025,649,36741,509
– Long to Short Ratio:0.6 to 11.1 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.981.7100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.67.79.3

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -33,587 contracts in the data reported through Tuesday. This was a weekly lift of 42,737 contracts from the previous week which had a total of -76,324 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.2 percent. The commercials are Bearish with a score of 45.0 percent and the small traders (not shown in chart) are Bearish with a score of 29.6 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.354.60.4
– Percent of Open Interest Shorts:27.050.32.0
– Net Position:-33,58754,688-21,101
– Gross Longs:311,799699,4584,676
– Gross Shorts:345,386644,77025,777
– Long to Short Ratio:0.9 to 11.1 to 10.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.245.029.6
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.022.1-55.2

 

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 -1,171,299 contracts in the data reported through Tuesday. This was a weekly lowering of -21,846 contracts from the previous week which had a total of -1,149,453 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 Bearish with a score of 21.5 percent. The commercials are Bullish with a score of 75.7 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.474.16.3
– Percent of Open Interest Shorts:45.047.22.6
– Net Position:-1,171,2991,032,223139,076
– Gross Longs:553,2732,841,528240,539
– Gross Shorts:1,724,5721,809,305101,463
– Long to Short Ratio:0.3 to 11.6 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.575.780.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.2-0.2-0.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,798,361 contracts in the data reported through Tuesday. This was a weekly reduction of -172,588 contracts from the previous week which had a total of -1,625,773 net contracts.

This 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 9.8 percent. The commercials are Bullish-Extreme with a score of 85.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.9 percent.

Price Trend-Following Model: Weak Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.282.87.0
– Percent of Open Interest Shorts:36.356.54.3
– Net Position:-1,798,3611,632,826165,535
– Gross Longs:447,6995,131,809430,704
– Gross Shorts:2,246,0603,498,983265,169
– Long to Short Ratio:0.2 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.885.482.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.1-2.48.2

 

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 -712,040 contracts in the data reported through Tuesday. This was a weekly decline of -12,185 contracts from the previous week which had a total of -699,855 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 40.8 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.5 percent.

Price Trend-Following Model: Weak Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.575.28.7
– Percent of Open Interest Shorts:28.761.47.4
– Net Position:-712,040653,14058,900
– Gross Longs:637,4903,542,653408,077
– Gross Shorts:1,349,5302,889,513349,177
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.858.772.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.510.812.0

 

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 -74,193 contracts in the data reported through Tuesday. This was a weekly reduction of -21,236 contracts from the previous week which had a total of -52,957 net contracts.

This 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-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.273.610.3
– Percent of Open Interest Shorts:18.568.312.3
– Net Position:-74,193118,891-44,698
– Gross Longs:339,1341,641,606228,663
– Gross Shorts:413,3271,522,715273,361
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.19.181.5
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:36.3-40.43.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -17,797 contracts in the data reported through Tuesday. This was a weekly fall of -58,709 contracts from the previous week which had a total of 40,912 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.2 percent. The commercials are Bearish-Extreme with a score of 15.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.6 percent.

Price Trend-Following Model: Weak Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.767.512.1
– Percent of Open Interest Shorts:18.671.76.9
– Net Position:-17,797-82,656100,453
– Gross Longs:341,1031,303,352234,473
– Gross Shorts:358,9001,386,008134,020
– Long to Short Ratio:1.0 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.215.087.6
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.72.323.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -231,904 contracts in the data reported through Tuesday. This was a weekly decline of -4,169 contracts from the previous week which had a total of -227,735 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 85.8 percent. The commercials are Bearish-Extreme with a score of 5.7 percent and the small traders (not shown in chart) are Bullish with a score of 52.2 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.280.910.5
– Percent of Open Interest Shorts:21.369.58.8
– Net Position:-231,904200,97730,927
– Gross Longs:143,5961,425,013185,058
– Gross Shorts:375,5001,224,036154,131
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):85.85.752.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.7-12.640.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
01 Mar

COT Bonds Charts: Speculator Bets led by 2-Year, Fed Funds & 5-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday February 25th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year, Fed Funds & 5-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (140,066 contracts), the Fed Funds (137,915 contracts), the 5-Year Bonds (111,760 contracts), the Ultra 10-Year Bonds (38,476 contracts), the SOFR 3-Months (16,557 contracts), the 10-Year Bonds (9,672 contracts) and the Ultra Treasury Bonds (3,675 contracts) also seeing positive weeks.

The bond market leading the declines in speculator bets for the week was the SOFR 1-Month (-127,401 contracts) and with the US Treasury Bonds (-6,869 contracts) also having lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (98 percent) leads the bond markets this week. The Ultra 10-Year Bonds (83 percent) and the Ultra Treasury Bonds (83 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (19.0 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (23 percent) and the 2-Year Bonds (23 percent).

Strength Statistics:
Fed Funds (53.4 percent) vs Fed Funds previous week (28.0 percent)
2-Year Bond (23.0 percent) vs 2-Year Bond previous week (13.4 percent)
5-Year Bond (19.0 percent) vs 5-Year Bond previous week (13.1 percent)
10-Year Bond (42.0 percent) vs 10-Year Bond previous week (41.1 percent)
Ultra 10-Year Bond (83.0 percent) vs Ultra 10-Year Bond previous week (68.8 percent)
US Treasury Bond (97.6 percent) vs US Treasury Bond previous week (100.0 percent)
Ultra US Treasury Bond (82.7 percent) vs Ultra US Treasury Bond previous week (81.3 percent)
SOFR 1-Month (49.7 percent) vs SOFR 1-Month previous week (81.1 percent)
SOFR 3-Months (22.8 percent) vs SOFR 3-Months previous week (22.0 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (33 percent) and the Ultra 10-Year Bonds (32 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (14 percent) and the 5-Year Bond (8 percent) are the next highest positive movers in the latest trends data.

The SOFR 1-Month (-17 percent) leads the downside trend scores currently with the 10-Year Bond (-12.5 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (33.3 percent) vs Fed Funds previous week (4.2 percent)
2-Year Bond (7.4 percent) vs 2-Year Bond previous week (-6.6 percent)
5-Year Bond (8.1 percent) vs 5-Year Bond previous week (3.4 percent)
10-Year Bond (-12.5 percent) vs 10-Year Bond previous week (-3.5 percent)
Ultra 10-Year Bond (32.2 percent) vs Ultra 10-Year Bond previous week (15.5 percent)
US Treasury Bond (14.2 percent) vs US Treasury Bond previous week (22.5 percent)
Ultra US Treasury Bond (-0.5 percent) vs Ultra US Treasury Bond previous week (-15.0 percent)
SOFR 1-Month (-16.9 percent) vs SOFR 1-Month previous week (19.0 percent)
SOFR 3-Months (-0.2 percent) vs SOFR 3-Months previous week (-15.5 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -6,390 contracts in the data reported through Tuesday. This was a weekly advance of 137,915 contracts from the previous week which had a total of -144,305 net contracts.

This 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 53.4 percent. The commercials are Bearish with a score of 40.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.159.92.2
– Percent of Open Interest Shorts:20.460.31.5
– Net Position:-6,390-8,35314,743
– Gross Longs:420,8881,254,62247,031
– Gross Shorts:427,2781,262,97532,288
– Long to Short Ratio:1.0 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.440.581.5
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.3-36.225.1

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -724,871 contracts in the data reported through Tuesday. This was a weekly advance of 16,557 contracts from the previous week which had a total of -741,428 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.8 percent. The commercials are Bullish with a score of 75.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.060.80.3
– Percent of Open Interest Shorts:20.954.10.1
– Net Position:-724,871701,66023,211
– Gross Longs:1,470,0196,375,83229,317
– Gross Shorts:2,194,8905,674,1726,106
– Long to Short Ratio:0.7 to 11.1 to 14.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.875.9100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-0.710.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -76,324 contracts in the data reported through Tuesday. This was a weekly reduction of -127,401 contracts from the previous week which had a total of 51,077 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.7 percent. The commercials are Bullish with a score of 52.6 percent and the small traders (not shown in chart) are Bullish with a score of 60.8 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:25.856.20.2
– Percent of Open Interest Shorts:30.550.90.8
– Net Position:-76,32485,618-9,294
– Gross Longs:416,124908,8423,211
– Gross Shorts:492,448823,22412,505
– Long to Short Ratio:0.8 to 11.1 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.752.660.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.919.1-24.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,149,453 contracts in the data reported through Tuesday. This was a weekly lift of 140,066 contracts from the previous week which had a total of -1,289,519 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.0 percent. The commercials are Bullish with a score of 73.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.2 percent.

Price Trend-Following Model: Weak Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.372.46.4
– Percent of Open Interest Shorts:39.548.63.0
– Net Position:-1,149,4531,006,450143,003
– Gross Longs:521,5283,063,965270,344
– Gross Shorts:1,670,9812,057,515127,341
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.073.681.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.4-11.19.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,625,773 contracts in the data reported through Tuesday. This was a weekly advance of 111,760 contracts from the previous week which had a total of -1,737,533 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.0 percent. The commercials are Bullish with a score of 74.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.8 percent.

Price Trend-Following Model: Weak Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.579.57.1
– Percent of Open Interest Shorts:29.957.84.5
– Net Position:-1,625,7731,452,453173,320
– Gross Longs:370,9755,315,137474,030
– Gross Shorts:1,996,7483,862,684300,710
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.074.084.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.1-13.812.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -699,855 contracts in the data reported through Tuesday. This was a weekly rise of 9,672 contracts from the previous week which had a total of -709,527 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 42.0 percent. The commercials are Bullish with a score of 58.0 percent and the small traders (not shown in chart) are Bullish with a score of 71.2 percent.

Price Trend-Following Model: Weak Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.072.58.2
– Percent of Open Interest Shorts:26.460.17.2
– Net Position:-699,855646,80153,054
– Gross Longs:677,8683,780,605429,465
– Gross Shorts:1,377,7233,133,804376,411
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.058.071.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.516.9-1.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -52,957 contracts in the data reported through Tuesday. This was a weekly gain of 38,476 contracts from the previous week which had a total of -91,433 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.0 percent. The commercials are Bearish-Extreme with a score of 0.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.7 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.170.010.1
– Percent of Open Interest Shorts:16.366.111.9
– Net Position:-52,95796,118-43,161
– Gross Longs:346,2581,719,027248,084
– Gross Shorts:399,2151,622,909291,245
– Long to Short Ratio:0.9 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.00.182.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.2-32.2-4.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of 40,912 contracts in the data reported through Tuesday. This was a weekly lowering of -6,869 contracts from the previous week which had a total of 47,781 net contracts.

This 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 97.6 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.7 percent.

Price Trend-Following Model: Weak Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.962.310.6
– Percent of Open Interest Shorts:17.068.46.3
– Net Position:40,912-134,21293,300
– Gross Longs:415,9981,373,857233,255
– Gross Shorts:375,0861,508,069139,955
– Long to Short Ratio:1.1 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):97.60.082.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-22.525.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -239,941 contracts in the data reported through Tuesday. This was a weekly boost of 3,675 contracts from the previous week which had a total of -243,616 net contracts.

This 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 82.7 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.580.810.0
– Percent of Open Interest Shorts:21.868.88.6
– Net Position:-239,941214,84325,098
– Gross Longs:152,0291,450,800179,900
– Gross Shorts:391,9701,235,957154,802
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.711.944.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.5-14.043.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
22 Feb

COT Speculator Extremes: Steel & US Treasury Bonds lead Bullish Positions

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on February 18th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

Here Are This Week’s Most Bullish Speculator Positions:

Steel


The Steel speculator position comes in as the most bullish extreme standing this week. The Steel speculator level is currently at a 100.0 percent score of its 3-year range.

The six-week trend for the percent strength score totaled 35.1 this week. The overall net speculator position was a total of 5,090 net contracts this week with a gain of 2,235 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

 

US Treasury Bond


The US Treasury Bond speculator position comes next and tied for the most bullish lead in the extreme standings this week. The US Treasury Bond speculator level is now at a 100.0 percent score of its 3-year range.

The six-week trend for the percent strength score was 22.5 this week. The speculator position registered 47,781 net contracts this week with a weekly rise by 3,780 contracts in speculator bets.

Japanese Yen


The Japanese Yen speculator position comes in next this week in the extreme standings as the yen sentiment has turned around positively. The Japanese Yen speculator level resides at a 97.8 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at 32.3 this week. The overall speculator position was 60,569 net contracts this week with an increase by 5,954 contracts in the weekly speculator bets.

Corn


The Corn speculator position comes up number four in the extreme standings this week as Corn’s sentiment has also turned around sharply in the past months. The Corn speculator level is currently at a 93.6 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a change of 19.0 this week. The overall speculator position was 468,724 net contracts this week with a jump by 43,955 contracts in the speculator bets.

Lean Hogs


The Lean Hogs speculator position rounds out the top five in this week’s bullish extreme standings. The Lean Hogs speculator level sits at a 90.3 percent score of its 3-year range. The six-week trend for the speculator strength score was 6.3 this week.

The speculator position was 80,857 net contracts this week with an advance by 7,637 contracts in the weekly speculator bets.

This Week’s Most Bearish Speculator Positions:

New Zealand Dollar


The New Zealand Dollar speculator position comes in as the most bearish extreme standing this week. The New Zealand Dollar speculator level is at a 2.9 percent score of its 3-year range.

The six-week trend for the speculator strength score was also 2.9 this week. The overall speculator position was -52,163 net contracts this week with a decline of -2,827 contracts in the speculator bets.

Sugar


The Sugar speculator position comes in next for the most bearish extreme standing on the week. The Sugar speculator level is at a 4.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -22.6 this week. The speculator position was -20,707 net contracts this week with a rise of 5,819 contracts in the weekly speculator bets.

Cotton


The Cotton speculator position comes in as third most bearish extreme standing of the week. The Cotton speculator level resides at a 8.9 percent score of its 3-year range.

The six-week trend for the speculator strength score was -3.3 this week. The overall speculator position was -37,068 net contracts this week with an increase by 5,497 contracts in the speculator bets.

Euro


The Euro speculator position comes in as this week’s fourth most bearish extreme standing. The Euro speculator level is at a 9.2 percent score of its 3-year range.

The six-week trend for the speculator strength score was 4.8 this week. The speculator position was -51,420 net contracts this week with a gain of 13,005 contracts in the weekly speculator bets.

5-Year Bond


Finally, the 5-Year Bond speculator position comes in as the fifth most bearish extreme standing for this week. The 5-Year Bond speculator level is at a 13.1 percent score of its 3-year range.

The six-week trend for the speculator strength score was 3.4 this week. The speculator position was -1,737,533 net contracts this week with a rise by 124,202 contracts in the weekly speculator bets.

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

 

Bonds COT Updates Opinions
22 Feb

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

By InvestMacro

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

The latest COT data is updated through Tuesday February 18th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the 5-Year Bonds (124,202 contracts) with the Fed Funds (73,169 contracts), the 10-Year Bonds (41,507 contracts), the SOFR 3-Months (10,481 contracts), the 2-Year Bonds (9,093 contracts), the SOFR 1-Month (7,490 contracts) and the US Treasury Bonds (3,780 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra Treasury Bonds (-6,301 contracts) and with the Ultra 10-Year Bonds (-5,859 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (100 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The SOFR 1-Month (81 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (13 percent) and the 5-Year Bond (13 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.0 percent) vs Fed Funds previous week (14.4 percent)
2-Year Bond (13.4 percent) vs 2-Year Bond previous week (12.8 percent)
5-Year Bond (13.1 percent) vs 5-Year Bond previous week (6.5 percent)
10-Year Bond (41.1 percent) vs 10-Year Bond previous week (37.1 percent)
Ultra 10-Year Bond (65.7 percent) vs Ultra 10-Year Bond previous week (67.7 percent)
US Treasury Bond (100.0 percent) vs US Treasury Bond previous week (98.7 percent)
Ultra US Treasury Bond (82.7 percent) vs Ultra US Treasury Bond previous week (81.3 percent)
SOFR 1-Month (81.1 percent) vs SOFR 1-Month previous week (79.2 percent)
SOFR 3-Months (22.0 percent) vs SOFR 3-Months previous week (21.4 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (22 percent) and the SOFR 1-Month (19 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (15 percent) and are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-16 percent), the 2-Year Bonds (-7 percent) and 10-Year Bonds (-4 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (4.2 percent) vs Fed Funds previous week (-26.5 percent)
2-Year Bond (-6.6 percent) vs 2-Year Bond previous week (-1.8 percent)
5-Year Bond (3.4 percent) vs 5-Year Bond previous week (-2.2 percent)
10-Year Bond (-3.5 percent) vs 10-Year Bond previous week (-9.2 percent)
Ultra 10-Year Bond (14.8 percent) vs Ultra 10-Year Bond previous week (26.7 percent)
US Treasury Bond (22.5 percent) vs US Treasury Bond previous week (27.4 percent)
Ultra US Treasury Bond (-0.5 percent) vs Ultra US Treasury Bond previous week (-15.0 percent)
SOFR 1-Month (19.0 percent) vs SOFR 1-Month previous week (29.6 percent)
SOFR 3-Months (-15.5 percent) vs SOFR 3-Months previous week (-18.5 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -144,305 contracts in the data reported through Tuesday. This was a weekly advance of 73,169 contracts from the previous week which had a total of -217,474 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.0 percent. The commercials are Bullish with a score of 63.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.166.63.3
– Percent of Open Interest Shorts:20.160.21.7
– Net Position:-144,305115,67728,628
– Gross Longs:216,6041,194,52958,796
– Gross Shorts:360,9091,078,85230,168
– Long to Short Ratio:0.6 to 11.1 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.063.1100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.2-8.733.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -741,428 contracts in the data reported through Tuesday. This was a weekly rise of 10,481 contracts from the previous week which had a total of -751,909 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.0 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.262.90.4
– Percent of Open Interest Shorts:20.355.90.3
– Net Position:-741,428731,38410,044
– Gross Longs:1,379,4946,555,79338,925
– Gross Shorts:2,120,9225,824,40928,881
– Long to Short Ratio:0.7 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.077.493.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.515.7-1.6

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of 51,077 contracts in the data reported through Tuesday. This was a weekly boost of 7,490 contracts from the previous week which had a total of 43,587 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 Bullish-Extreme with a score of 81.1 percent. The commercials are Bearish with a score of 26.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.259.40.2
– Percent of Open Interest Shorts:20.760.72.4
– Net Position:51,077-18,806-32,271
– Gross Longs:352,869866,6163,103
– Gross Shorts:301,792885,42235,374
– Long to Short Ratio:1.2 to 11.0 to 10.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.126.90.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.0-11.1-84.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -1,289,519 contracts in the data reported through Tuesday. This was a weekly gain of 9,093 contracts from the previous week which had a total of -1,298,612 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.4 percent. The commercials are Bullish-Extreme with a score of 87.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.6 percent.

Price Trend-Following Model: Weak Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.276.55.9
– Percent of Open Interest Shorts:43.248.23.3
– Net Position:-1,289,5191,180,540108,979
– Gross Longs:509,3833,187,914244,396
– Gross Shorts:1,798,9022,007,374135,417
– Long to Short Ratio:0.3 to 11.6 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.487.670.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.610.4-10.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,737,533 contracts in the data reported through Tuesday. This was a weekly advance of 124,202 contracts from the previous week which had a total of -1,861,735 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.1 percent. The commercials are Bullish-Extreme with a score of 85.5 percent and the small traders (not shown in chart) are Bullish with a score of 71.3 percent.

Price Trend-Following Model: Weak Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.979.26.2
– Percent of Open Interest Shorts:30.855.84.7
– Net Position:-1,737,5331,633,016104,517
– Gross Longs:412,9135,533,519433,254
– Gross Shorts:2,150,4463,900,503328,737
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.185.571.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.4-3.4-2.0

 

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 -709,527 contracts in the data reported through Tuesday. This was a weekly gain of 41,507 contracts from the previous week which had a total of -751,034 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.1 percent. The commercials are Bullish with a score of 60.6 percent and the small traders (not shown in chart) are Bullish with a score of 68.9 percent.

Price Trend-Following Model: Weak Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.970.18.1
– Percent of Open Interest Shorts:27.457.37.4
– Net Position:-709,527668,09641,431
– Gross Longs:727,9343,672,440426,916
– Gross Shorts:1,437,4613,004,344385,485
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.160.668.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.58.2-7.9

 

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 -91,433 contracts in the data reported through Tuesday. This was a weekly lowering of -5,859 contracts from the previous week which had a total of -85,574 net contracts.

This 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 65.7 percent. The commercials are Bearish with a score of 21.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.3 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.772.89.4
– Percent of Open Interest Shorts:18.566.411.9
– Net Position:-91,433150,480-59,047
– Gross Longs:346,0911,717,063222,552
– Gross Shorts:437,5241,566,583281,599
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.721.670.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.8-5.4-22.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of 47,781 contracts in the data reported through Tuesday. This was a weekly rise of 3,780 contracts from the previous week which had a total of 44,001 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.2 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.563.710.3
– Percent of Open Interest Shorts:21.269.46.9
– Net Position:47,781-118,53870,757
– Gross Longs:485,2701,311,974211,937
– Gross Shorts:437,4891,430,512141,180
– Long to Short Ratio:1.1 to 10.9 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.367.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.5-23.69.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -246,242 contracts in the data reported through Tuesday. This was a weekly decrease of -6,301 contracts from the previous week which had a total of -239,941 net contracts.

This 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 82.7 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.580.810.0
– Percent of Open Interest Shorts:21.868.88.6
– Net Position:-239,941214,84325,098
– Gross Longs:152,0291,450,800179,900
– Gross Shorts:391,9701,235,957154,802
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.711.944.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.5-14.043.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
16 Feb

COT Bonds Charts: Speculator Bets led by 5-Years, US Treasury Bonds & Ultra 10-Years

By InvestMacro

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

The latest COT data is updated through Tuesday February 11th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 5-Years, US Treasury Bonds & Ultra 10-Years

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

Leading the gains for the bond markets was the 5-Year Bonds (65,931 contracts) with the US Treasury Bonds (48,928 contracts), the Ultra 10-Year Bonds (29,989 contracts) and the Ultra Treasury Bonds (3,675 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-79,988 contracts), the 10-Year Bonds (-43,331 contracts), the SOFR 1-Month (-36,874 contracts), the Fed Funds (-15,621 contracts) and with the SOFR 3-Months (-5,059 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (99 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The SOFR 1-Month (79 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (7 percent), the 2-Year Bonds (13 percent) and the Fed Funds (14 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (21 percent) and the 10-Year Bonds (37 percent).

Strength Statistics:
Fed Funds (14.4 percent) vs Fed Funds previous week (17.3 percent)
2-Year Bond (12.8 percent) vs 2-Year Bond previous week (18.3 percent)
5-Year Bond (6.5 percent) vs 5-Year Bond previous week (2.9 percent)
10-Year Bond (37.1 percent) vs 10-Year Bond previous week (41.2 percent)
Ultra 10-Year Bond (63.8 percent) vs Ultra 10-Year Bond previous week (53.9 percent)
US Treasury Bond (98.8 percent) vs US Treasury Bond previous week (81.8 percent)
Ultra US Treasury Bond (82.7 percent) vs Ultra US Treasury Bond previous week (81.3 percent)
SOFR 1-Month (79.2 percent) vs SOFR 1-Month previous week (88.3 percent)
SOFR 3-Months (21.4 percent) vs SOFR 3-Months previous week (21.7 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (30 percent) and the US Treasury Bonds (27 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (25 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-19 percent) and the 10-Year Bonds (-9 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-26.5 percent) vs Fed Funds previous week (-31.6 percent)
2-Year Bond (-1.8 percent) vs 2-Year Bond previous week (2.3 percent)
5-Year Bond (-2.2 percent) vs 5-Year Bond previous week (-8.9 percent)
10-Year Bond (-9.2 percent) vs 10-Year Bond previous week (-11.0 percent)
Ultra 10-Year Bond (25.2 percent) vs Ultra 10-Year Bond previous week (9.2 percent)
US Treasury Bond (27.5 percent) vs US Treasury Bond previous week (7.5 percent)
Ultra US Treasury Bond (-0.5 percent) vs Ultra US Treasury Bond previous week (-15.0 percent)
SOFR 1-Month (29.6 percent) vs SOFR 1-Month previous week (44.8 percent)
SOFR 3-Months (-18.5 percent) vs SOFR 3-Months previous week (-17.8 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -217,474 contracts in the data reported through Tuesday. This was a weekly lowering of -15,621 contracts from the previous week which had a total of -201,853 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.4 percent. The commercials are Bullish-Extreme with a score of 80.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.1 percent.

Price Trend-Following Model: Weak Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.871.82.2
– Percent of Open Interest Shorts:25.058.81.9
– Net Position:-217,474212,5954,879
– Gross Longs:192,8841,175,91836,375
– Gross Shorts:410,358963,32331,496
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.480.794.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.524.912.9

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -751,909 contracts in the data reported through Tuesday. This was a weekly decrease of -5,059 contracts from the previous week which had a total of -746,850 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.4 percent. The commercials are Bullish with a score of 78.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.463.20.5
– Percent of Open Interest Shorts:19.756.00.4
– Net Position:-751,909741,67710,232
– Gross Longs:1,274,1036,488,31648,858
– Gross Shorts:2,026,0125,746,63938,626
– Long to Short Ratio:0.6 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.478.093.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.518.50.7

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of 43,587 contracts in the data reported through Tuesday. This was a weekly decrease of -36,874 contracts from the previous week which had a total of 80,461 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.2 percent. The commercials are Bearish with a score of 21.5 percent and the small traders (not shown in chart) are Bearish with a score of 33.1 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.262.80.2
– Percent of Open Interest Shorts:16.965.80.4
– Net Position:43,587-40,739-2,848
– Gross Longs:270,679841,0322,193
– Gross Shorts:227,092881,7715,041
– Long to Short Ratio:1.2 to 11.0 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.221.533.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.6-29.0-18.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,298,612 contracts in the data reported through Tuesday. This was a weekly lowering of -79,988 contracts from the previous week which had a total of -1,218,624 net contracts.

This 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 12.8 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.2 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.377.15.7
– Percent of Open Interest Shorts:44.648.53.1
– Net Position:-1,298,6121,190,699107,913
– Gross Longs:554,2843,205,872237,223
– Gross Shorts:1,852,8962,015,173129,310
– Long to Short Ratio:0.3 to 11.6 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.888.470.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.84.4-9.2

 

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 -1,861,735 contracts in the data reported through Tuesday. This was a weekly gain of 65,931 contracts from the previous week which had a total of -1,927,666 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.5 percent. The commercials are Bullish-Extreme with a score of 93.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.683.66.3
– Percent of Open Interest Shorts:34.956.84.7
– Net Position:-1,861,7351,761,677100,058
– Gross Longs:430,7665,492,122411,431
– Gross Shorts:2,292,5013,730,445311,373
– Long to Short Ratio:0.2 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.593.670.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.23.7-3.5

 

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 -751,034 contracts in the data reported through Tuesday. This was a weekly decline of -43,331 contracts from the previous week which had a total of -707,703 net contracts.

This 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 37.1 percent. The commercials are Bullish with a score of 64.4 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.774.08.5
– Percent of Open Interest Shorts:29.959.87.5
– Net Position:-751,034699,75351,281
– Gross Longs:726,2033,652,408420,463
– Gross Shorts:1,477,2372,952,655369,182
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.164.474.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.215.4-6.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -85,574 contracts in the data reported through Tuesday. This was a weekly boost of 29,989 contracts from the previous week which had a total of -115,563 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.8 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.774.59.9
– Percent of Open Interest Shorts:18.568.612.0
– Net Position:-85,574133,515-47,941
– Gross Longs:333,1831,685,361223,392
– Gross Shorts:418,7571,551,846271,333
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.814.979.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.2-23.4-12.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of 44,001 contracts in the data reported through Tuesday. This was a weekly advance of 48,928 contracts from the previous week which had a total of -4,927 net contracts.

This 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 98.8 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 70.7 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.564.410.5
– Percent of Open Interest Shorts:21.370.36.8
– Net Position:44,001-119,54275,541
– Gross Longs:478,3471,313,493213,125
– Gross Shorts:434,3461,433,035137,584
– Long to Short Ratio:1.1 to 10.9 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.80.070.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:27.5-30.314.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -239,941 contracts in the data reported through Tuesday. This was a weekly gain of 3,675 contracts from the previous week which had a total of -243,616 net contracts.

This 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 82.7 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.580.810.0
– Percent of Open Interest Shorts:21.868.88.6
– Net Position:-239,941214,84325,098
– Gross Longs:152,0291,450,800179,900
– Gross Shorts:391,9701,235,957154,802
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.711.944.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.5-14.043.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
09 Feb

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

By InvestMacro

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

The latest COT data is updated through Tuesday February 4th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

The only market to gain this week for the bond markets was the Fed Funds with a gain of 30,143 contracts on the week.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-151,611 contracts), the SOFR 3-Months (-102,586 contracts), the US Treasury Bonds (-33,511 contracts), the SOFR 1-Month (-32,506 contracts), the 2-Year Bonds (-17,065 contracts), the 10-Year Bonds (-7,061 contracts), the Ultra 10-Year Bonds (-6,084 contracts) and the Ultra Treasury Bonds (-2,024 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 1-Month (88 percent) and the US Treasury Bonds (82 percent) lead the bond markets this week. The Ultra Treasury Bonds (81 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (3 percent), the Fed Funds (17 percent) and the 2-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (22 percent) and the 10-Year Bonds (41 percent).

Strength Statistics:
Fed Funds (17.3 percent) vs Fed Funds previous week (11.8 percent)
2-Year Bond (18.3 percent) vs 2-Year Bond previous week (19.4 percent)
5-Year Bond (2.9 percent) vs 5-Year Bond previous week (11.0 percent)
10-Year Bond (41.2 percent) vs 10-Year Bond previous week (41.9 percent)
Ultra 10-Year Bond (53.9 percent) vs Ultra 10-Year Bond previous week (55.9 percent)
US Treasury Bond (81.8 percent) vs US Treasury Bond previous week (93.5 percent)
Ultra US Treasury Bond (81.3 percent) vs Ultra US Treasury Bond previous week (82.1 percent)
SOFR 1-Month (88.3 percent) vs SOFR 1-Month previous week (96.3 percent)
SOFR 3-Months (21.7 percent) vs SOFR 3-Months previous week (27.0 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (45 percent) and the Ultra 10-Year Bonds (9 percent) lead the past six weeks trends for bonds.

The Fed Funds (-32 percent), the SOFR 3-Months (-18 percent) and the Ultra Treasury Bonds (-15 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-31.6 percent) vs Fed Funds previous week (-36.3 percent)
2-Year Bond (2.3 percent) vs 2-Year Bond previous week (3.9 percent)
5-Year Bond (-8.9 percent) vs 5-Year Bond previous week (-0.7 percent)
10-Year Bond (-11.0 percent) vs 10-Year Bond previous week (3.1 percent)
Ultra 10-Year Bond (9.2 percent) vs Ultra 10-Year Bond previous week (1.0 percent)
US Treasury Bond (7.5 percent) vs US Treasury Bond previous week (26.1 percent)
Ultra US Treasury Bond (-15.0 percent) vs Ultra US Treasury Bond previous week (-8.5 percent)
SOFR 1-Month (44.8 percent) vs SOFR 1-Month previous week (37.6 percent)
SOFR 3-Months (-17.8 percent) vs SOFR 3-Months previous week (-27.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -201,853 contracts in the data reported through Tuesday. This was a weekly increase of 30,143 contracts from the previous week which had a total of -231,996 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.3 percent. The commercials are Bullish with a score of 78.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.971.82.3
– Percent of Open Interest Shorts:22.859.12.1
– Net Position:-201,853198,2023,651
– Gross Longs:154,5111,121,07936,072
– Gross Shorts:356,364922,87732,421
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.378.191.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.629.813.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -746,850 contracts in the data reported through Tuesday. This was a weekly decline of -102,586 contracts from the previous week which had a total of -644,264 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.7 percent. The commercials are Bullish with a score of 78.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.8 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.764.80.2
– Percent of Open Interest Shorts:19.157.40.2
– Net Position:-746,850745,2001,650
– Gross Longs:1,176,7786,523,57523,679
– Gross Shorts:1,923,6285,778,37522,029
– Long to Short Ratio:0.6 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.778.188.8
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.818.6-8.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of 80,461 contracts in the data reported through Tuesday. This was a weekly decline of -32,506 contracts from the previous week which had a total of 112,967 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 88.3 percent. The commercials are Bearish-Extreme with a score of 11.3 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.157.40.2
– Percent of Open Interest Shorts:16.963.70.0
– Net Position:80,461-82,2761,815
– Gross Longs:300,031746,8472,155
– Gross Shorts:219,570829,123340
– Long to Short Ratio:1.4 to 10.9 to 16.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):88.311.370.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:44.8-45.216.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,218,624 contracts in the data reported through Tuesday. This was a weekly lowering of -17,065 contracts from the previous week which had a total of -1,201,559 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 Bearish-Extreme with a score of 18.3 percent. The commercials are Bullish with a score of 79.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.1 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.476.56.1
– Percent of Open Interest Shorts:44.150.22.7
– Net Position:-1,218,6241,079,136139,488
– Gross Longs:592,2173,141,260250,760
– Gross Shorts:1,810,8412,062,124111,272
– Long to Short Ratio:0.3 to 11.5 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.379.580.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.3-3.52.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,927,666 contracts in the data reported through Tuesday. This was a weekly reduction of -151,611 contracts from the previous week which had a total of -1,776,055 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.9 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish with a score of 73.2 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.785.16.7
– Percent of Open Interest Shorts:35.657.04.9
– Net Position:-1,927,6661,813,533114,133
– Gross Longs:366,6385,485,200430,333
– Gross Shorts:2,294,3043,671,667316,200
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.996.973.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.910.31.1

 

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 -707,703 contracts in the data reported through Tuesday. This was a weekly decrease of -7,061 contracts from the previous week which had a total of -700,642 net contracts.

This 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 58.5 percent and the small traders (not shown in chart) are Bullish with a score of 75.5 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.274.08.6
– Percent of Open Interest Shorts:29.660.77.5
– Net Position:-707,703651,56656,137
– Gross Longs:743,4053,628,286422,857
– Gross Shorts:1,451,1082,976,720366,720
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.258.575.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.017.3-5.9

 

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 -115,563 contracts in the data reported through Tuesday. This was a weekly decline of -6,084 contracts from the previous week which had a total of -109,479 net contracts.

This 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 53.9 percent. The commercials are Bearish with a score of 27.9 percent and the small traders (not shown in chart) are Bullish with a score of 76.6 percent.

Price Trend-Following Model: Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.275.39.8
– Percent of Open Interest Shorts:19.268.112.0
– Net Position:-115,563166,490-50,927
– Gross Longs:327,9821,740,156226,814
– Gross Shorts:443,5451,573,666277,741
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.927.976.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.2-5.7-10.3

 

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 -4,927 contracts in the data reported through Tuesday. This was a weekly lowering of -33,511 contracts from the previous week which had a total of 28,584 net contracts.

This 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 81.8 percent. The commercials are Bearish-Extreme with a score of 8.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.5 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.264.011.2
– Percent of Open Interest Shorts:23.467.67.3
– Net Position:-4,927-71,66176,588
– Gross Longs:455,7771,259,191219,800
– Gross Shorts:460,7041,330,852143,212
– Long to Short Ratio:1.0 to 10.9 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.88.271.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.5-14.415.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -243,616 contracts in the data reported through Tuesday. This was a weekly fall of -2,024 contracts from the previous week which had a total of -241,592 net contracts.

This 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 81.3 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 29.3 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.181.69.8
– Percent of Open Interest Shorts:21.768.89.0
– Net Position:-243,616229,73713,879
– Gross Longs:144,8381,463,002175,978
– Gross Shorts:388,4541,233,265162,099
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.318.529.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.09.424.6

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
01 Feb

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

By InvestMacro

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

The latest COT data is updated through Tuesday January 28th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the SOFR 1-Month (77,373 contracts) with the Ultra 10-Year Bonds (63,045 contracts), the SOFR 3-Months (28,065 contracts), the 5-Year Bonds (20,136 contracts) and the US Treasury Bonds (4,128 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-120,397 contracts), the Fed Funds (-41,201 contracts), the 2-Year Bonds (-27,182 contracts) and with the Ultra Treasury Bonds (-11,604 contracts) also seeing lower bets on the week.

Bonds Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 1-Month (96 percent) and the US Treasury Bonds (93 percent) lead the bond markets this week. The Ultra Treasury Bonds (82 percent) come in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (12 percent), the 5-Year Bond (11 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (11.8 percent) vs Fed Funds previous week (19.4 percent)
2-Year Bond (19.3 percent) vs 2-Year Bond previous week (21.2 percent)
5-Year Bond (11.0 percent) vs 5-Year Bond previous week (9.9 percent)
10-Year Bond (41.9 percent) vs 10-Year Bond previous week (53.3 percent)
Ultra 10-Year Bond (52.3 percent) vs Ultra 10-Year Bond previous week (32.8 percent)
US Treasury Bond (93.5 percent) vs US Treasury Bond previous week (92.0 percent)
Ultra US Treasury Bond (82.1 percent) vs Ultra US Treasury Bond previous week (86.5 percent)
SOFR 1-Month (96.3 percent) vs SOFR 1-Month previous week (77.3 percent)
SOFR 3-Months (27.0 percent) vs SOFR 3-Months previous week (25.5 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (38 percent) and the US Treasury Bonds (26 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (4 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-28 percent) and the Ultra Treasury Bonds (-9 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-36.3 percent) vs Fed Funds previous week (-18.9 percent)
2-Year Bond (3.9 percent) vs 2-Year Bond previous week (5.5 percent)
5-Year Bond (-0.7 percent) vs 5-Year Bond previous week (-0.3 percent)
10-Year Bond (3.1 percent) vs 10-Year Bond previous week (27.9 percent)
Ultra 10-Year Bond (0.9 percent) vs Ultra 10-Year Bond previous week (-20.6 percent)
US Treasury Bond (26.1 percent) vs US Treasury Bond previous week (22.3 percent)
Ultra US Treasury Bond (-8.5 percent) vs Ultra US Treasury Bond previous week (-5.2 percent)
SOFR 1-Month (37.6 percent) vs SOFR 1-Month previous week (25.8 percent)
SOFR 3-Months (-27.7 percent) vs SOFR 3-Months previous week (-17.8 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -231,996 contracts in the data reported through Tuesday. This was a weekly reduction of -41,201 contracts from the previous week which had a total of -190,795 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.8 percent. The commercials are Bullish-Extreme with a score of 84.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.9 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.872.31.9
– Percent of Open Interest Shorts:19.261.01.9
– Net Position:-231,996231,578418
– Gross Longs:158,8881,475,43238,321
– Gross Shorts:390,8841,243,85437,903
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.884.285.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-36.335.07.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -644,264 contracts in the data reported through Tuesday. This was a weekly boost of 28,065 contracts from the previous week which had a total of -672,329 net contracts.

This 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 27.0 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.6 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.863.40.3
– Percent of Open Interest Shorts:18.257.10.3
– Net Position:-644,264639,1895,075
– Gross Longs:1,190,2016,390,62731,310
– Gross Shorts:1,834,4655,751,43826,235
– Long to Short Ratio:0.6 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.072.790.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.727.07.4

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of 112,967 contracts in the data reported through Tuesday. This was a weekly boost of 77,373 contracts from the previous week which had a total of 35,594 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 96.3 percent. The commercials are Bearish-Extreme with a score of 3.9 percent and the small traders (not shown in chart) are Bullish with a score of 51.9 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.157.30.0
– Percent of Open Interest Shorts:18.964.40.0
– Net Position:112,967-112,462-505
– Gross Longs:411,468902,583131
– Gross Shorts:298,5011,015,045636
– Long to Short Ratio:1.4 to 10.9 to 10.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):96.33.951.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:37.6-37.5-1.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,201,559 contracts in the data reported through Tuesday. This was a weekly fall of -27,182 contracts from the previous week which had a total of -1,174,377 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.3 percent. The commercials are Bullish with a score of 78.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.8 percent.

Price Trend-Following Model: Weak Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.176.16.0
– Percent of Open Interest Shorts:42.650.92.7
– Net Position:-1,201,5591,063,075138,484
– Gross Longs:594,5963,213,069253,132
– Gross Shorts:1,796,1552,149,994114,648
– Long to Short Ratio:0.3 to 11.5 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.378.279.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.9-5.42.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,776,055 contracts in the data reported through Tuesday. This was a weekly gain of 20,136 contracts from the previous week which had a total of -1,796,191 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.0 percent. The commercials are Bullish-Extreme with a score of 86.9 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.684.66.6
– Percent of Open Interest Shorts:34.658.54.7
– Net Position:-1,776,0551,656,392119,663
– Gross Longs:417,9565,363,619420,005
– Gross Shorts:2,194,0113,707,227300,342
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.086.974.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.7-0.95.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -700,642 contracts in the data reported through Tuesday. This was a weekly reduction of -120,397 contracts from the previous week which had a total of -580,245 net contracts.

This 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 41.9 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.075.38.7
– Percent of Open Interest Shorts:28.362.27.5
– Net Position:-700,642640,37460,268
– Gross Longs:683,4373,676,042426,342
– Gross Shorts:1,384,0793,035,668366,074
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.957.277.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.1-1.4-4.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -109,479 contracts in the data reported through Tuesday. This was a weekly lift of 63,045 contracts from the previous week which had a total of -172,524 net contracts.

This 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 52.3 percent. The commercials are Bearish with a score of 21.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.874.39.9
– Percent of Open Interest Shorts:19.667.811.7
– Net Position:-109,479149,059-39,580
– Gross Longs:336,7391,690,796226,084
– Gross Shorts:446,2181,541,737265,664
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.321.086.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.91.6-5.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of 28,584 contracts in the data reported through Tuesday. This was a weekly gain of 4,128 contracts from the previous week which had a total of 24,456 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 93.5 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 65.9 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.863.911.0
– Percent of Open Interest Shorts:22.468.97.5
– Net Position:28,584-96,97268,388
– Gross Longs:466,6741,252,662215,698
– Gross Shorts:438,0901,349,634147,310
– Long to Short Ratio:1.1 to 10.9 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):93.50.065.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.1-20.4-8.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -241,592 contracts in the data reported through Tuesday. This was a weekly fall of -11,604 contracts from the previous week which had a total of -229,988 net contracts.

This 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 82.1 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.881.210.1
– Percent of Open Interest Shorts:21.468.89.0
– Net Position:-241,592221,57820,014
– Gross Longs:139,1671,444,856180,040
– Gross Shorts:380,7591,223,278160,026
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.114.937.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.510.2-0.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
26 Jan

COT Bonds Charts: Speculator Bets led by 2-Year Bonds & SOFR 3-Months

By InvestMacro

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

The latest COT data is updated through Tuesday January 21st and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year Bonds & SOFR 3-Months

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

Leading the gains for the bond markets was the 2-Year Bonds (82,829 contracts) with the SOFR 3-Months (48,520 contracts), the SOFR 1-Month (43,118 contracts), the US Treasury Bonds (24,404 contracts) and the Ultra Treasury Bonds (12,434 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-32,292 contracts), the 5-Year Bonds (-18,570 contracts), the 10-Year Bonds (-12,310 contracts) and with the Fed Funds (-4,075 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (92 percent) and the Ultra Treasury Bonds (87 percent) lead the bond markets this week. The SOFR 1-Month (77 percent) comes in as the next highest in the weekly strength scores.

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

Strength Statistics:
Fed Funds (19.4 percent) vs Fed Funds previous week (20.1 percent)
2-Year Bond (20.3 percent) vs 2-Year Bond previous week (14.9 percent)
5-Year Bond (9.9 percent) vs 5-Year Bond previous week (10.9 percent)
10-Year Bond (53.3 percent) vs 10-Year Bond previous week (54.4 percent)
Ultra 10-Year Bond (29.7 percent) vs Ultra 10-Year Bond previous week (38.8 percent)
US Treasury Bond (92.0 percent) vs US Treasury Bond previous week (83.5 percent)
Ultra US Treasury Bond (86.5 percent) vs Ultra US Treasury Bond previous week (81.8 percent)
SOFR 1-Month (77.3 percent) vs SOFR 1-Month previous week (66.6 percent)
SOFR 3-Months (25.5 percent) vs SOFR 3-Months previous week (23.0 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (28 percent) and the SOFR 1-Month (26 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (22 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-19 percent) and the SOFR 3-Months (-18 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-18.9 percent) vs Fed Funds previous week (-29.2 percent)
2-Year Bond (5.3 percent) vs 2-Year Bond previous week (-3.5 percent)
5-Year Bond (-0.3 percent) vs 5-Year Bond previous week (4.4 percent)
10-Year Bond (27.9 percent) vs 10-Year Bond previous week (30.6 percent)
Ultra 10-Year Bond (-18.7 percent) vs Ultra 10-Year Bond previous week (6.5 percent)
US Treasury Bond (22.3 percent) vs US Treasury Bond previous week (20.5 percent)
Ultra US Treasury Bond (-5.2 percent) vs Ultra US Treasury Bond previous week (-10.7 percent)
SOFR 1-Month (25.8 percent) vs SOFR 1-Month previous week (26.9 percent)
SOFR 3-Months (-17.8 percent) vs SOFR 3-Months previous week (-9.5 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -190,795 contracts in the data reported through Tuesday. This was a weekly lowering of -4,075 contracts from the previous week which had a total of -186,720 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.4 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish with a score of 78.7 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.070.91.8
– Percent of Open Interest Shorts:20.260.62.0
– Net Position:-190,795194,312-3,517
– Gross Longs:187,4011,329,52733,875
– Gross Shorts:378,1961,135,21537,392
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.477.478.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.918.05.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -672,329 contracts in the data reported through Tuesday. This was a weekly lift of 48,520 contracts from the previous week which had a total of -720,849 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.5 percent. The commercials are Bullish with a score of 74.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.9 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.362.60.3
– Percent of Open Interest Shorts:18.956.00.2
– Net Position:-672,329664,9387,391
– Gross Longs:1,234,1116,304,51028,896
– Gross Shorts:1,906,4405,639,57221,505
– Long to Short Ratio:0.6 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.574.091.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.817.09.4

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of 35,594 contracts in the data reported through Tuesday. This was a weekly advance of 43,118 contracts from the previous week which had a total of -7,524 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.3 percent. The commercials are Bearish with a score of 22.9 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.859.60.0
– Percent of Open Interest Shorts:22.462.10.0
– Net Position:35,594-35,351-243
– Gross Longs:360,259866,138165
– Gross Shorts:324,665901,489408
– Long to Short Ratio:1.1 to 11.0 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.322.954.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.8-25.80.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -1,174,377 contracts in the data reported through Tuesday. This was a weekly advance of 82,829 contracts from the previous week which had a total of -1,257,206 net contracts.

This 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 20.3 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.1 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.276.86.3
– Percent of Open Interest Shorts:41.451.92.9
– Net Position:-1,174,3771,034,903139,474
– Gross Longs:547,5403,191,555260,164
– Gross Shorts:1,721,9172,156,652120,690
– Long to Short Ratio:0.3 to 11.5 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.376.680.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.3-6.2-0.6

 

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 -1,796,191 contracts in the data reported through Tuesday. This was a weekly decline of -18,570 contracts from the previous week which had a total of -1,777,621 net contracts.

This 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 9.9 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish with a score of 76.6 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.06.9
– Percent of Open Interest Shorts:35.057.94.9
– Net Position:-1,796,1911,671,310124,881
– Gross Longs:362,7685,245,706424,184
– Gross Shorts:2,158,9593,574,396299,303
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.987.976.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.3-0.73.1

 

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 -580,245 contracts in the data reported through Tuesday. This was a weekly lowering of -12,310 contracts from the previous week which had a total of -567,935 net contracts.

This 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 48.0 percent and the small traders (not shown in chart) are Bullish with a score of 67.9 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.875.38.9
– Percent of Open Interest Shorts:26.063.48.6
– Net Position:-580,245565,04015,205
– Gross Longs:654,1813,575,799422,956
– Gross Shorts:1,234,4263,010,759407,751
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.348.067.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:27.9-30.6-10.1

 

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 -172,524 contracts in the data reported through Tuesday. This was a weekly decline of -32,292 contracts from the previous week which had a total of -140,232 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.7 percent. The commercials are Bearish with a score of 49.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.7 percent.

Price Trend-Following Model: Weak Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.575.89.8
– Percent of Open Interest Shorts:21.166.012.0
– Net Position:-172,524221,503-48,979
– Gross Longs:306,0921,721,192223,196
– Gross Shorts:478,6161,499,689272,175
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.749.581.7
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.723.74.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 24,456 contracts in the data reported through Tuesday. This was a weekly boost of 24,404 contracts from the previous week which had a total of 52 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 92.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 64.4 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.764.011.2
– Percent of Open Interest Shorts:22.568.77.7
– Net Position:24,456-90,69966,243
– Gross Longs:456,1881,230,439214,843
– Gross Shorts:431,7321,321,138148,600
– Long to Short Ratio:1.1 to 10.9 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):92.00.064.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.3-19.7-3.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -229,988 contracts in the data reported through Tuesday. This was a weekly lift of 12,434 contracts from the previous week which had a total of -242,422 net contracts.

This 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 86.5 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.5 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.281.49.8
– Percent of Open Interest Shorts:21.068.69.8
– Net Position:-229,988229,344644
– Gross Longs:147,4111,459,353175,998
– Gross Shorts:377,3991,230,009175,354
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):86.518.311.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.216.8-32.3

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
19 Jan

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 10-Year Bonds (104,511 contracts) with the 5-Year Bonds (23,282 contracts), SOFR 1-Month (18,448 contracts), the US Treasury Bonds (16,879 contracts) and the Ultra Treasury Bonds (4,966 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-280,332 contracts), the 2-Year Bonds (-64,188 contracts), the Fed Funds (-19,504 contracts) and the Ultra 10-Year Bonds (-6,845 contracts) also seeing lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (84 percent) and the Ultra Treasury Bonds (82 percent) lead the bond markets this week. The SOFR 1-Month (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (11 percent) and the 2-Year Bonds (15 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (20.1 percent) vs Fed Funds previous week (23.7 percent)
2-Year Bond (14.9 percent) vs 2-Year Bond previous week (19.1 percent)
5-Year Bond (10.9 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (54.4 percent) vs 10-Year Bond previous week (44.6 percent)
Ultra 10-Year Bond (37.0 percent) vs Ultra 10-Year Bond previous week (38.8 percent)
US Treasury Bond (83.5 percent) vs US Treasury Bond previous week (77.6 percent)
Ultra US Treasury Bond (81.8 percent) vs Ultra US Treasury Bond previous week (79.9 percent)
SOFR 1-Month (66.6 percent) vs SOFR 1-Month previous week (62.1 percent)
SOFR 3-Months (23.0 percent) vs SOFR 3-Months previous week (37.5 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (31 percent) and the SOFR 1-Month (27 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (20 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-29 percent) and the SOFR 3-Months (-10 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-29.2 percent) vs Fed Funds previous week (-22.6 percent)
2-Year Bond (-3.5 percent) vs 2-Year Bond previous week (2.7 percent)
5-Year Bond (4.4 percent) vs 5-Year Bond previous week (-1.9 percent)
10-Year Bond (30.6 percent) vs 10-Year Bond previous week (24.0 percent)
Ultra 10-Year Bond (6.2 percent) vs Ultra 10-Year Bond previous week (-3.7 percent)
US Treasury Bond (20.5 percent) vs US Treasury Bond previous week (10.7 percent)
Ultra US Treasury Bond (-10.7 percent) vs Ultra US Treasury Bond previous week (-20.1 percent)
SOFR 1-Month (26.9 percent) vs SOFR 1-Month previous week (49.5 percent)
SOFR 3-Months (-9.5 percent) vs SOFR 3-Months previous week (-0.6 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -186,720 contracts in the data reported through Tuesday. This was a weekly fall of -19,504 contracts from the previous week which had a total of -167,216 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.1 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish with a score of 77.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.570.92.0
– Percent of Open Interest Shorts:20.960.32.2
– Net Position:-186,720190,792-4,072
– Gross Longs:187,4981,268,97535,226
– Gross Shorts:374,2181,078,18339,298
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.176.777.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-29.229.7-10.2

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -720,849 contracts in the data reported through Tuesday. This was a weekly decline of -280,332 contracts from the previous week which had a total of -440,517 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.0 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.961.10.2
– Percent of Open Interest Shorts:18.954.10.2
– Net Position:-720,849716,1084,741
– Gross Longs:1,221,3916,283,05024,000
– Gross Shorts:1,942,2405,566,94219,259
– Long to Short Ratio:0.6 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.076.690.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.58.510.9

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -7,524 contracts in the data reported through Tuesday. This was a weekly advance of 18,448 contracts from the previous week which had a total of -25,972 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 Bullish with a score of 66.6 percent. The commercials are Bearish with a score of 33.5 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.

Price Trend-Following Model: Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.861.30.0
– Percent of Open Interest Shorts:25.360.70.0
– Net Position:-7,5247,757-233
– Gross Longs:343,490849,795143
– Gross Shorts:351,014842,038376
– Long to Short Ratio:1.0 to 11.0 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.633.554.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.9-26.7-3.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,257,206 contracts in the data reported through Tuesday. This was a weekly fall of -64,188 contracts from the previous week which had a total of -1,193,018 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.9 percent. The commercials are Bullish-Extreme with a score of 85.4 percent and the small traders (not shown in chart) are Bullish with a score of 71.7 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.376.65.9
– Percent of Open Interest Shorts:42.550.03.3
– Net Position:-1,257,2061,144,456112,750
– Gross Longs:570,3773,295,697252,707
– Gross Shorts:1,827,5832,151,241139,957
– Long to Short Ratio:0.3 to 11.5 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.985.471.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.56.3-8.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,777,621 contracts in the data reported through Tuesday. This was a weekly advance of 23,282 contracts from the previous week which had a total of -1,800,903 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.9 percent. The commercials are Bullish-Extreme with a score of 87.8 percent and the small traders (not shown in chart) are Bullish with a score of 73.4 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.16.7
– Percent of Open Interest Shorts:35.057.84.9
– Net Position:-1,777,6211,669,604108,017
– Gross Longs:362,0515,210,168407,806
– Gross Shorts:2,139,6723,540,564299,789
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.987.873.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.4-4.6-2.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -567,935 contracts in the data reported through Tuesday. This was a weekly boost of 104,511 contracts from the previous week which had a total of -672,446 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.4 percent. The commercials are Bearish with a score of 41.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.474.59.3
– Percent of Open Interest Shorts:26.563.78.1
– Net Position:-567,935508,31159,624
– Gross Longs:677,8113,505,753440,081
– Gross Shorts:1,245,7462,997,442380,457
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.441.077.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:30.6-40.92.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -140,232 contracts in the data reported through Tuesday. This was a weekly decrease of -6,845 contracts from the previous week which had a total of -133,387 net contracts.

This 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 37.0 percent. The commercials are Bearish with a score of 35.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.3 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.874.810.5
– Percent of Open Interest Shorts:20.166.812.1
– Net Position:-140,232177,767-37,535
– Gross Longs:306,3851,660,363231,947
– Gross Shorts:446,6171,482,596269,482
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.035.789.3
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-14.39.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of 52 contracts in the data reported through Tuesday. This was a weekly boost of 16,879 contracts from the previous week which had a total of -16,827 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.5 percent. The commercials are Bearish-Extreme with a score of 9.7 percent and the small traders (not shown in chart) are Bullish with a score of 58.0 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.464.211.1
– Percent of Open Interest Shorts:23.467.18.1
– Net Position:52-56,83256,780
– Gross Longs:454,7571,245,292214,663
– Gross Shorts:454,7051,302,124157,883
– Long to Short Ratio:1.0 to 11.0 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.59.758.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.5-15.4-8.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -242,422 contracts in the data reported through Tuesday. This was a weekly lift of 4,966 contracts from the previous week which had a total of -247,388 net contracts.

This 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 81.8 percent. The commercials are Bearish with a score of 27.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.381.79.6
– Percent of Open Interest Shorts:21.767.810.1
– Net Position:-242,422250,327-7,905
– Gross Longs:149,1121,471,577173,518
– Gross Shorts:391,5341,221,250181,423
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.827.70.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.722.2-29.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
21 Dec

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (218,551 contracts) with the 10-Year Bonds (142,799 contracts), the Fed Funds (52,914 contracts), the SOFR 1-Month (29,668 contracts) and the 5-Year Bonds (28,113 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the US Treasury Bonds (-6,810 contracts), the Ultra 10-Year Bonds (-6,403 contracts), the 2-Year Bonds (-4,349 contracts) and with the Ultra Treasury Bonds (-2,932 contracts) also seeing lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (91 percent) and the US Treasury Bonds (67 percent) lead the bond markets this week. The SOFR 1-Month (59 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (14 percent) and 5-Year Bonds (12 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (48.0 percent) vs Fed Funds previous week (38.3 percent)
2-Year Bond (14.4 percent) vs 2-Year Bond previous week (14.7 percent)
5-Year Bond (11.7 percent) vs 5-Year Bond previous week (10.3 percent)
10-Year Bond (38.8 percent) vs 10-Year Bond previous week (25.3 percent)
Ultra 10-Year Bond (42.2 percent) vs Ultra 10-Year Bond previous week (43.9 percent)
US Treasury Bond (67.4 percent) vs US Treasury Bond previous week (69.7 percent)
Ultra US Treasury Bond (90.6 percent) vs Ultra US Treasury Bond previous week (91.7 percent)
SOFR 1-Month (58.7 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (54.6 percent) vs SOFR 3-Months previous week (43.4 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (27 percent) and the Ultra Treasury Bonds (17 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (14 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-11.0 percent) leads the downside trend scores currently with the US Treasury Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-11.0 percent) vs Fed Funds previous week (-44.7 percent)
2-Year Bond (14.4 percent) vs 2-Year Bond previous week (14.3 percent)
5-Year Bond (0.3 percent) vs 5-Year Bond previous week (-5.9 percent)
10-Year Bond (8.1 percent) vs 10-Year Bond previous week (2.4 percent)
Ultra 10-Year Bond (7.1 percent) vs Ultra 10-Year Bond previous week (-0.8 percent)
US Treasury Bond (-3.0 percent) vs US Treasury Bond previous week (5.3 percent)
Ultra US Treasury Bond (17.2 percent) vs Ultra US Treasury Bond previous week (35.8 percent)
SOFR 1-Month (26.9 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (-0.7 percent) vs SOFR 3-Months previous week (-14.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -35,557 contracts in the data reported through Tuesday. This was a weekly gain of 52,914 contracts from the previous week which had a total of -88,471 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.0 percent. The commercials are Bearish with a score of 49.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

Price Trend-Following Model: Weak Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.968.62.0
– Percent of Open Interest Shorts:16.966.42.2
– Net Position:-35,55739,263-3,706
– Gross Longs:266,5771,226,90735,971
– Gross Shorts:302,1341,187,64439,677
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.049.278.3
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.010.34.9

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -108,925 contracts in the data reported through Tuesday. This was a weekly gain of 218,551 contracts from the previous week which had a total of -327,476 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.6 percent. The commercials are Bearish with a score of 45.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.2 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.959.30.5
– Percent of Open Interest Shorts:14.858.30.6
– Net Position:-108,925117,411-8,486
– Gross Longs:1,543,4086,609,84956,269
– Gross Shorts:1,652,3336,492,43864,755
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.645.783.2
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.71.0-3.1

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -39,662 contracts in the data reported through Tuesday. This was a weekly increase of 29,668 contracts from the previous week which had a total of -69,330 net contracts.

This 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 58.7 percent. The commercials are Bearish with a score of 41.4 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 percent.

Price Trend-Following Model: Strong Uptrend

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

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:25.562.20.0
– Percent of Open Interest Shorts:28.159.60.0
– Net Position:-39,66240,010-348
– Gross Longs:392,112954,943141
– Gross Shorts:431,774914,933489
– Long to Short Ratio:0.9 to 11.0 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.741.453.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.9-26.90.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,259,273 contracts in the data reported through Tuesday. This was a weekly reduction of -4,349 contracts from the previous week which had a total of -1,254,924 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.4 percent. The commercials are Bullish-Extreme with a score of 84.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.0 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.678.25.9
– Percent of Open Interest Shorts:41.451.42.8
– Net Position:-1,259,2731,129,720129,553
– Gross Longs:487,3393,297,104248,447
– Gross Shorts:1,746,6122,167,384118,894
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.484.977.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.4-15.0-7.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,762,317 contracts in the data reported through Tuesday. This was a weekly advance of 28,113 contracts from the previous week which had a total of -1,790,430 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.7 percent. The commercials are Bullish-Extreme with a score of 87.8 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.284.86.5
– Percent of Open Interest Shorts:36.257.25.0
– Net Position:-1,762,3171,670,04492,273
– Gross Longs:435,4195,139,765395,530
– Gross Shorts:2,197,7363,469,721303,257
– Long to Short Ratio:0.2 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.787.870.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.33.5-11.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -732,917 contracts in the data reported through Tuesday. This was a weekly rise of 142,799 contracts from the previous week which had a total of -875,716 net contracts.

This 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 38.8 percent. The commercials are Bullish with a score of 58.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.6 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.077.29.7
– Percent of Open Interest Shorts:27.462.67.8
– Net Position:-732,917651,75981,158
– Gross Longs:492,5293,448,078431,228
– Gross Shorts:1,225,4462,796,319350,070
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.858.682.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.1-6.8-6.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -112,485 contracts in the data reported through Tuesday. This was a weekly decline of -6,403 contracts from the previous week which had a total of -106,082 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.2 percent. The commercials are Bearish with a score of 34.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.372.910.9
– Percent of Open Interest Shorts:20.566.212.4
– Net Position:-112,485145,015-32,530
– Gross Longs:332,6001,582,159237,065
– Gross Shorts:445,0851,437,144269,595
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.234.693.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.1-19.019.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -46,303 contracts in the data reported through Tuesday. This was a weekly decrease of -6,810 contracts from the previous week which had a total of -39,493 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.4 percent. The commercials are Bearish-Extreme with a score of 17.4 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.965.711.5
– Percent of Open Interest Shorts:24.467.67.1
– Net Position:-46,303-34,19780,500
– Gross Longs:407,7711,224,408213,331
– Gross Shorts:454,0741,258,605132,831
– Long to Short Ratio:0.9 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.417.474.1
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.00.84.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -219,304 contracts in the data reported through Tuesday. This was a weekly decline of -2,932 contracts from the previous week which had a total of -216,372 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 90.6 percent. The commercials are Bearish-Extreme with a score of 4.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.1 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.179.910.3
– Percent of Open Interest Shorts:20.368.89.1
– Net Position:-219,304198,64420,660
– Gross Longs:144,9521,432,440184,033
– Gross Shorts:364,2561,233,796163,373
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.64.635.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.2-28.928.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
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