Archive for Bonds – Page 10

15 Oct

Bonds Speculators add to 2-Year Treasury Bonds bearish bets

By InvestMacro

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

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

10-Year Bond & Ultra US Bond lead Weekly Speculator Changes

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

Leading the weekly gains for the bond market was the 10-Year Bond (26,709 contracts) with the Ultra US Bond (26,591 contracts), the Long US Bond (19,731 contracts), the Fed Funds (7,692 contracts) and the Ultra 10-Year (6,320 contracts) also showing positive weeks.

The bond market leading the weekly declines in speculator bets this week was the Eurodollar (-55,468 contracts) with the 2-Year Bond (-47,552 contracts) and the 5-Year Bond (-888 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the bearishness of the 2-Year Bond market. Speculators added over -47,000 contracts this week to the overall bearish position. The decline in the 2-Year this week follows three straight weeks of lessening bearish levels. This bearish reboot pushed the overall bearish standing up to -353,686 total net contracts which is the most in five weeks and the second highest in past 79 weeks. The 2-Year is feeling the brunt of the US Federal Reserve’s interest rate hiking campaign (to subdue inflation) and will likely not get a reprieve any time soon with inflation coming in higher again this week. The 2-Year yield (as bond prices fall, yields rise) ended the week at just under 4.50 percent and significantly higher from a 2-Year yield of just 0.38 percent on October 15th of 2021, exactly one year ago today.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-11-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,129,6820-2,143,216142,373,77583-230,55954
FedFunds1,617,720508884022,18363-23,0711
2-Year2,045,92312-353,68611443,750100-90,06412
Long T-Bond1,211,22945-83,7925756,1573127,63575
10-Year3,873,98656-340,16321392,17168-52,00868
5-Year4,040,58354-483,92012601,68587-117,76549

 

US Treasury Bond leads the Strength Scores

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) show that the US Treasury Bond (57.3 percent) lead the bonds category. This is the only market above 50 percent or the midpoint of its 3-year range. The Ultra US Treasury Bond (42.3 percent) comes in as the next highest bonds market in strength scores and its score this week has risen from 31.5 percent last week.

On the downside, the Ultra 10-Year Bond (9.1 percent), the 2-Year Bond (10.8 percent), the 5-Year Bond (12.3 percent) and the Eurodollar (13.7 percent) come in at the lowest strength level currently and are all in bearish extreme speculator levels (below 20 percent).

Strength Statistics:
Fed Funds (39.7 percent) vs Fed Funds previous week (38.8 percent)
2-Year Bond (10.8 percent) vs 2-Year Bond previous week (20.4 percent)
5-Year Bond (12.3 percent) vs 5-Year Bond previous week (12.5 percent)
10-Year Bond (20.7 percent) vs 10-Year Bond previous week (16.7 percent)
Ultra 10-Year Bond (9.1 percent) vs Ultra 10-Year Bond previous week (7.4 percent)
US Treasury Bond (57.3 percent) vs US Treasury Bond previous week (50.9 percent)
Ultra US Treasury Bond (42.3 percent) vs Ultra US Treasury Bond previous week (31.5 percent)
Eurodollar (13.7 percent) vs Eurodollar previous week (14.7 percent)

Strength Trends led by 10-Year Bond

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the 10-Year Bond (15.2 percent) leads the past six weeks trends for bonds this week. The Eurodollar (13.2 percent), the 5-Year Bond (12.3 percent) and the Ultra US Treasury Bond (2.3 percent) fill out the rest of the positive movers in the latest trends data.

The Ultra 10-Year Bond (-15.0 percent) and the 2-Year Bond (-14.6 percent) lead the downside trend scores this week followed by the Fed Funds (-10.4 percent).

Strength Trend Statistics:
Fed Funds (-10.4 percent) vs Fed Funds previous week (-13.5 percent)
2-Year Bond (-14.6 percent) vs 2-Year Bond previous week (-13.1 percent)
5-Year Bond (12.3 percent) vs 5-Year Bond previous week (3.1 percent)
10-Year Bond (15.2 percent) vs 10-Year Bond previous week (2.2 percent)
Ultra 10-Year Bond (-15.0 percent) vs Ultra 10-Year Bond previous week (-14.8 percent)
US Treasury Bond (-4.9 percent) vs US Treasury Bond previous week (-17.0 percent)
Ultra US Treasury Bond (2.3 percent) vs Ultra US Treasury Bond previous week (-0.2 percent)
Eurodollar (13.2 percent) vs Eurodollar previous week (14.6 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -2,143,216 contracts in the data reported through Tuesday. This was a weekly decrease of -55,468 contracts from the previous week which had a total of -2,087,748 net contracts.

This 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 13.7 percent. The commercials are Bullish-Extreme with a score of 83.5 percent and the small traders (not shown in chart) are Bullish with a score of 53.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.369.45.1
– Percent of Open Interest Shorts:33.640.27.9
– Net Position:-2,143,2162,373,775-230,559
– Gross Longs:591,0905,639,550411,933
– Gross Shorts:2,734,3063,265,775642,492
– Long to Short Ratio:0.2 to 11.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.783.553.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.2-12.1-7.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of 888 contracts in the data reported through Tuesday. This was a weekly rise of 7,692 contracts from the previous week which had a total of -6,804 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.7 percent. The commercials are Bullish with a score of 62.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.9 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.773.31.4
– Percent of Open Interest Shorts:10.671.92.8
– Net Position:88822,183-23,071
– Gross Longs:172,3271,185,07322,805
– Gross Shorts:171,4391,162,89045,876
– Long to Short Ratio:1.0 to 11.0 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.762.60.9
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.412.2-42.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -353,686 contracts in the cot data reported through Tuesday. This was a weekly lowering of -47,552 contracts from the previous week which had a total of -306,134 net contracts.

This 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 10.8 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.082.77.9
– Percent of Open Interest Shorts:24.361.112.3
– Net Position:-353,686443,750-90,064
– Gross Longs:143,2771,692,889160,698
– Gross Shorts:496,9631,249,139250,762
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.8100.011.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.618.5-10.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -483,920 contracts in the data reported through Tuesday. This was a weekly decline of -888 contracts from the previous week which had a total of -483,032 net contracts.

This 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 12.3 percent. The commercials are Bullish-Extreme with a score of 86.6 percent and the small traders (not shown in chart) are Bearish with a score of 48.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.085.57.5
– Percent of Open Interest Shorts:18.070.610.4
– Net Position:-483,920601,685-117,765
– Gross Longs:243,7723,456,189303,741
– Gross Shorts:727,6922,854,504421,506
– Long to Short Ratio:0.3 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.386.648.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.3-11.33.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -340,163 contracts in the data reported through Tuesday. This was a weekly rise of 26,709 contracts from the previous week which had a total of -366,872 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.7 percent. The commercials are Bullish with a score of 68.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.978.58.9
– Percent of Open Interest Shorts:18.768.310.3
– Net Position:-340,163392,171-52,008
– Gross Longs:382,9093,039,993345,964
– Gross Shorts:723,0722,647,822397,972
– Long to Short Ratio:0.5 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.768.567.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.2-19.815.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -75,771 contracts in the data reported through Tuesday. This was a weekly rise of 6,320 contracts from the previous week which had a total of -82,091 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.1 percent. The commercials are Bullish-Extreme with a score of 87.0 percent and the small traders (not shown in chart) are Bullish with a score of 56.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.981.410.0
– Percent of Open Interest Shorts:13.368.317.7
– Net Position:-75,771182,196-106,425
– Gross Longs:109,0931,127,822138,379
– Gross Shorts:184,864945,626244,804
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.187.056.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.014.70.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -83,792 contracts in the data reported through Tuesday. This was a weekly rise of 19,731 contracts from the previous week which had a total of -103,523 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.3 percent. The commercials are Bearish with a score of 30.6 percent and the small traders (not shown in chart) are Bullish with a score of 74.5 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.778.513.8
– Percent of Open Interest Shorts:13.673.911.5
– Net Position:-83,79256,15727,635
– Gross Longs:81,465951,230166,967
– Gross Shorts:165,257895,073139,332
– Long to Short Ratio:0.5 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.330.674.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.95.5-0.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -350,232 contracts in the data reported through Tuesday. This was a weekly advance of 26,591 contracts from the previous week which had a total of -376,823 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.3 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bullish with a score of 62.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.282.011.2
– Percent of Open Interest Shorts:30.760.77.9
– Net Position:-350,232303,28346,949
– Gross Longs:88,1461,171,440160,022
– Gross Shorts:438,378868,157113,073
– Long to Short Ratio:0.2 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.363.262.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.3-9.810.3

 

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 investing Opinions
08 Oct

Weekly COT Bonds Speculator Changes led by Eurodollar and 2-Year Bond

By InvestMacro

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

The latest COT data is updated through Tuesday October 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 by Eurodollar and 2-Year Bond

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

Leading the gains for the bond markets was the Eurodollar (72,027 contracts) with the 2-Year Bond (13,743 contracts), the Ultra US Bond (5,084 contracts) and the Long US Bond (2,987 contracts) also showing a positive week.

The bond markets leading the declines in speculator bets this week was the Fed Funds (-109,287 contracts) with the 5-Year Bond (-41,066 contracts), the Ultra 10-Year (-22,331 contracts) and the 10-Year Bond (-1,680 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-04-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,226,0750-2,087,748152,343,91183-256,16348
FedFunds1,516,16843-6,8043924,90863-18,10414
2-Year1,963,4798-306,13420394,72791-88,59312
Long T-Bond1,213,68047-96,5525368,2683528,28475
10-Year3,850,49454-366,87217416,62871-49,75668
5-Year3,995,72551-483,03212625,17389-142,14142

 

US Treasury Bond remains highest in Strength Scores

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) show that the US Treasury Bond (53.2 percent) leads the bonds markets currently and is the only market with a score above 50 percent (3-Year midpoint of range). The Fed Funds (38.8 percent) comes in as the next highest bonds market in strength scores.

On the downside, the Ultra 10-Year Bond (7.4 percent) comes in at the lowest strength level currently and is followed by the 5-Year Bond (12.5 percent), the Eurodollar (14.7 percent) and the 10-Year Bond (16.7 percent). All of these markets are currently in bearish extreme levels with scores below 20 percent.


Strength Statistics:
Fed Funds (38.8 percent) vs Fed Funds previous week (52.3 percent)
2-Year Bond (20.4 percent) vs 2-Year Bond previous week (17.7 percent)
5-Year Bond (12.5 percent) vs 5-Year Bond previous week (18.7 percent)
10-Year Bond (16.7 percent) vs 10-Year Bond previous week (16.9 percent)
Ultra 10-Year Bond (7.4 percent) vs Ultra 10-Year Bond previous week (13.3 percent)
US Treasury Bond (53.2 percent) vs US Treasury Bond previous week (52.2 percent)
Ultra US Treasury Bond (31.5 percent) vs Ultra US Treasury Bond previous week (29.4 percent)
Eurodollar (14.7 percent) vs Eurodollar previous week (13.4 percent)

Strength Trends led by Eurodollar

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Eurodollar (14.6 percent) leads the past six weeks trends for bonds this week. The 5-Year Bond (3.1 percent) and the 10-Year Bond (2.2 percent) fill out the other positive movers in the latest trends data.

The US Treasury Bond (-16.0 percent) leads the downside trend scores currently while the next markets with lower trend scores were the Ultra 10-Year Bond (-14.8 percent), Fed Funds (-13.5 percent) and the 2-Year Bond (-13.1 percent).


Strength Trend Statistics:
Fed Funds (-13.5 percent) vs Fed Funds previous week (1.7 percent)
2-Year Bond (-13.1 percent) vs 2-Year Bond previous week (-21.4 percent)
5-Year Bond (3.1 percent) vs 5-Year Bond previous week (3.8 percent)
10-Year Bond (2.2 percent) vs 10-Year Bond previous week (-0.3 percent)
Ultra 10-Year Bond (-14.8 percent) vs Ultra 10-Year Bond previous week (-7.2 percent)
US Treasury Bond (-16.0 percent) vs US Treasury Bond previous week (-16.9 percent)
Ultra US Treasury Bond (-0.2 percent) vs Ultra US Treasury Bond previous week (-2.9 percent)
Eurodollar (14.6 percent) vs Eurodollar previous week (13.1 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -2,087,748 contracts in the data reported through Tuesday. This was a weekly gain of 72,027 contracts from the previous week which had a total of -2,159,775 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.7 percent. The commercials are Bullish-Extreme with a score of 83.0 percent and the small traders (not shown in chart) are Bearish with a score of 48.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.268.24.9
– Percent of Open Interest Shorts:33.639.78.0
– Net Position:-2,087,7482,343,911-256,163
– Gross Longs:674,3655,606,961401,184
– Gross Shorts:2,762,1133,263,050657,347
– Long to Short Ratio:0.2 to 11.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.783.048.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.6-15.517.5

 

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 -6,804 contracts in the data reported through Tuesday. This was a weekly decrease of -109,287 contracts from the previous week which had a total of 102,483 net contracts.

This 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 62.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.074.51.7
– Percent of Open Interest Shorts:10.572.82.9
– Net Position:-6,80424,908-18,104
– Gross Longs:151,7591,129,09825,617
– Gross Shorts:158,5631,104,19043,721
– Long to Short Ratio:1.0 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.862.913.5
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.514.8-31.0

 

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 -306,134 contracts in the data reported through Tuesday. This was a weekly rise of 13,743 contracts from the previous week which had a total of -319,877 net contracts.

This 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 20.4 percent. The commercials are Bullish-Extreme with a score of 91.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.5 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.982.38.0
– Percent of Open Interest Shorts:23.562.212.5
– Net Position:-306,134394,727-88,593
– Gross Longs:154,3211,616,300156,188
– Gross Shorts:460,4551,221,573244,781
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.491.512.5
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.117.6-11.1

 

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 -483,032 contracts in the data reported through Tuesday. This was a weekly decrease of -41,066 contracts from the previous week which had a total of -441,966 net contracts.

This 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 12.5 percent. The commercials are Bullish-Extreme with a score of 89.5 percent and the small traders (not shown in chart) are Bearish with a score of 41.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.77.4
– Percent of Open Interest Shorts:18.070.111.0
– Net Position:-483,032625,173-142,141
– Gross Longs:234,4183,425,691296,148
– Gross Shorts:717,4502,800,518438,289
– Long to Short Ratio:0.3 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.589.541.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.1-1.4-2.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -366,872 contracts in the data reported through Tuesday. This was a weekly lowering of -1,680 contracts from the previous week which had a total of -365,192 net contracts.

This 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 16.7 percent. The commercials are Bullish with a score of 71.4 percent and the small traders (not shown in chart) are Bullish with a score of 68.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.779.08.8
– Percent of Open Interest Shorts:19.268.210.1
– Net Position:-366,872416,628-49,756
– Gross Longs:373,6343,041,673340,013
– Gross Shorts:740,5062,625,045389,769
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.771.468.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.2-9.515.6

 

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 -82,091 contracts in the data reported through Tuesday. This was a weekly lowering of -22,331 contracts from the previous week which had a total of -59,760 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.4 percent. The commercials are Bullish-Extreme with a score of 83.3 percent and the small traders (not shown in chart) are Bullish with a score of 70.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.282.111.0
– Percent of Open Interest Shorts:12.369.817.3
– Net Position:-82,091167,665-85,574
– Gross Longs:84,1831,113,708149,111
– Gross Shorts:166,274946,043234,685
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.483.370.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.88.316.1

 

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 -96,552 contracts in the data reported through Tuesday. This was a weekly rise of 2,987 contracts from the previous week which had a total of -99,539 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.2 percent. The commercials are Bearish with a score of 35.0 percent and the small traders (not shown in chart) are Bullish with a score of 75.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.978.314.2
– Percent of Open Interest Shorts:13.872.711.9
– Net Position:-96,55268,26828,284
– Gross Longs:71,317950,661172,811
– Gross Shorts:167,869882,393144,527
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.235.075.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.016.81.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -376,823 contracts in the data reported through Tuesday. This was a weekly advance of 5,084 contracts from the previous week which had a total of -381,907 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.5 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bullish with a score of 69.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.883.311.4
– Percent of Open Interest Shorts:31.660.57.3
– Net Position:-376,823320,05856,765
– Gross Longs:66,9111,169,527159,344
– Gross Shorts:443,734849,469102,579
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.571.569.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-7.110.8

 

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 investing Opinions
06 Oct

Expert Says, ‘Watch US 10-Year Treasury Yield as Your Night Sextant’

Provided by streetwisereports.com

Michael Ballanger Expert Michael Ballanger takes a moment to review current updates in the stock market, including the position of gold, the current Fed mandate, the outlook of Getchell Gold Corp., and the Nord Stream Gas Pipelines.I open this week’s missive with a repeat of my Wednesday evening Email Alert:

“Despite yesterday’s pop, I expect that collateral and margin calls are going to keep stocks under pressure right through month-end, but there is little doubt that yesterday’s outside reversal day (defined by a real technical analyst David Chapman as “a two-day pattern is observed in which a security’s high and low prices for the day exceed the high and low of the previous day’s trading session.”) was a major bullish event.

We had a positive outside day for gold and stocks and a negative outside day for the UST 10-year yield, and while these cannot be discounted, the headline shown above may be a portent of an impending shift in Fed policy. The reason for this lies in my “pigs in the barnyard” analogy regarding money managers and the banks from whom they obtain leverage.

With yields so compressed over the past decade, many pension funds have been forced to implement large dollops of leverage in order to squeeze out a minimum 8% return to pensioners. In the case of the British gilts (10-year sovereign bonds), they sported a negative yield late last year and are now over 4%. The destruction to bond portfolios overweighted in these gilts must be enormous, but when you stack leverage on top of the losses, it is no wonder that the Bank of England had to step up and take on billions of pounds worth of paper lest the entire U.K. banking system become vaporized.

Now, returning to the “pigs in the barnyard,” when you gaze upon a herd of pigs in a barnyard, there will be pink pigs and mottled grey and brown pigs and black and white pigs and, of course, brown pigs, but when the farmer’s wife clangs the triangle with her ladle, all those pigs sidle up to the trough together.

In the same manner, the banks, hedge funds, and pension funds all feed at the same trough, so when I read that the BOE had to step in and buy gilts when their stated intent is to sell gilts as part of the globally-led (read: “Fed-Ordered”) quantitative tightening (“QT”) operation designed to curb inflation, you can bet that there are also American and Canadian and a boatload of European and Asian entities leveraged to the nines in government debt whose face value has been crushed in 2022.

So as refreshing as the rally on Wednesday was, we have three more full trading sessions before the month comes to a close. If the lows hold by Friday at 4:00 p.m. EST, then there is a strong probability of a tradable rally in risk-on assets, which includes precious metals and commodities.

However, if calls for additional collateral accelerate and this liquidity-starved financial environment persists, there remains a significant risk that one of the other highly-leveraged pension or hedge funds tip the boat over again.

The Fed’s dual mandate includes maximum full employment and price stability with the current focus on the latter, but there is only one condition that countermands the dual mandate, and that condition is “financial system stability,” and what happened with those British gilts is that very condition.

Margin calls are the ultimate form of financial contagion, so to say that we are at a critical inflection point is an understatement.

Watch the Fed like a hawk for signs of dovish rhetoric or an overt acknowledgment of stresses finally arriving on Wall Street. The “pivot” only occurs if the Fed’s owners, the big U.S. banks that have been feeding at the same leverage trough as their British counterparts, start getting collateral calls.

Then, and only then, will it be safe to go in the water again. . .”

Coast Not Clear

I sent out that missive at 9:22 a.m. (pre-opening Thursday) to make the emphatic point that “the coast” was not exactly “clear.” Eight minutes later, stocks opened down and proceeded to completely erase the near-600-point advance in the Dow and, at one point, were at new lows for the year.

“Fade every rally until the Fed goes officially neutral-positive. . .” I tweeted out a few weeks back, and Thursday’s crushing reversal confirmed that advice, all a function of the most significant four-letter-word in the history of modern markets: Debt.

Truly the only collateral is gold.

I launched my advisory service in January of 2020 with the GGMA 2020 Forecast Issue and proceeded to offer the premise that the ultimate arbiter of all pricing structures would eventually be determined by the value of the collateral held by those that control the currency.

Since the treasury departments of most sovereign nations control the collateral and since the central banks are the entities that extend credit to the treasuries, then the collateral that coerces people to believe in the “Full Faith and Credit” of government must be related to a higher mark.

That collateral, and truly the only collateral, is gold.

Gold, Gold, Gold

In that piece written by and large in the fourth quarter of 2019, I provided a chart illustrating how much-maligned nations like Italy and Russia were actually more solvent than the United States.

Dividing the national debt by the value of their stated central bank or treasury holdings, Russia (thanks largely to the art of default in 1998) had the lowest national-debt-to-gold ratio of any country on the planet, while resource-rich Canada had the highest — as in infinity — because there was then and exists today zero gold at the Bank of Canada nor anywhere close to the Royal Canadian Mint.

Gold enthusiasts have been eating the exhaust fumes of the mainstream media since 2011, and I suspect that with the events in the U.K. this week, a huge regime change is about to arrive.

As a commodity-rich country anchored by the Rule Of Law, I find that an astounding act of national embarrassment. It is funny how generational hardship affects behavior but also comprises the bulk of the wisdom passed down from grandfather to father to son, which amplifies one’s attention to the causes of said hardship.

My mother was taught by her mother never to throw away day-old bread because it had great healing powers in the mold. My father was told by his grandmother to “avoid debt at all costs” because of the farm they lost to foreclosure in Saskatchewan in the 1930s, which prompted my father to avoid taking on debt when a piece of land located at the mouth of the Credit River on Lake Ontario became available for US$2,500.

It is easy to chastise those that opted for conservation over speculation, but it all falls under the category of “right time, right place,” and there is no better time than the present to truly appreciate this truism.

Ask the cryptojunkies to take out ads beseeching us to “sell your gold and buy crypto!” back in 2021.

Gold enthusiasts have been eating the exhaust fumes of the mainstream media since 2011, and I suspect that with the events in the U.K. this week, a huge regime change is about to arrive.

The Fed Mandate

The chart shown above is a perfectly-timed illustration of what happens when bubbles crack wide open and spill the hopes and dreams of a generation onto an odious and steaming sidewalk.

Sexagenarians like me know how the twin demons of government profligacy and mainstream media deception combine to mold investor optimism to a predetermined advantage, all while unelected and very powerful quasi-government officials milk the system largely insulated from either the forces of moral suasion or penal scrutiny.

Is it any coincidence that the stock market was rolling along “just fine” until Fed governors Kaplan, Rosengren, and Clarida were all caught front-running Fed decisions?

Shortly thereafter, the Fed mandate shifted, and once the Wall Street traders finally received and actually read the memo, they finally sold their positions, got shot, and then pulled every bid imaginable until the bear market finally arrived.

Now, we are in a full-blown bear market in every single asset class in existence which is what occurs when the management of currency moves from the ridiculous to the sublime.

Here is a brief pecking order of how households manage their monthly income. Dad and Mom pool their paycheques into a joint account. Nothing gets withdrawn until rent (or mortgage), groceries, utilities, loans (auto, credit cards, etc.) Dad then has to ask Mom if he can grab a few quid to hit the track with “the boys.”

Knowing full well that she will have a resentful and ungrateful hubby if she refuses, she gives him a few quid and then cancels her hair appointment because her three sons need shoes, and there is a dental appointment for one of them that surely is not covered by anything other than the piggy-bank up behind the fridge.

Shortly thereafter, the Fed mandate shifted, and once the Wall Street traders finally received and actually read the memo, they finally sold their positions, got shot, and then pulled every bid imaginable until the bear market finally arrived.

These are the challenges of the average working family.

Now, contrast that with the political class that preaches climate change and “Tax the Rich” while they sip champagne in the front section of the aircraft taking them to Davos for a “Climate Change Conference” as the chartered jet spews out more carbon crossing the Atlantic than a coal-carrying steamer in the 1920s.

They will then be police-escorted (at taxpayer expense) to a five-star hotel, where they will sip more champagne and scarf down Beluga Caviar (of Russian origin) while debating how to free the Ukrainians from Putin’s aggression.

This entire farce confronting the world we face today is a function of public apathy and voter ambivalence to issues that once appeared trivial but which have now metamorphosed in combination and coincident with staccato-like repetition into a leviathan-sized problem.

And it all arrives around the fact that while Mom and Dad cannot ask their banker to increase their credit lines to pay for my little brother’s tuition, the politicians can legislate without recourse any amount they so choose with no entity empowered to say “HALT!” and order House Arrest.

Whether the politicians are Liberal or Conservative, Whig or Labour, or Republican or Democrat, they are all in the same barnyard, and when the farmer’s wife clangs that huge iron triangle just above the trough, they all come running, regardless of color, tone, race, creed, or party and they feed with the gusto of Mr. Creosote in that famous Python sketch where he “has a mint” and then explodes.

Politicians are the minions of the elite, but that is a discussion for another day.

As disgusting as the above picture appears, there is no better graphic available to adequately describe today’s political narrative. The politician of the year 2022 enters into a career not because he (or she) feels a need to change the world but more as a need to feel important.

As a student of history, I always run the risk of believing in the neutrality of the author, but biographies of the great (and not-so-great) statesmen like Churchill, Bismarck, Lincoln, and Gandhi would reveal a common thread of invincibility against media scrutiny.

They gave the middle finger to the journalist, irrespective of stature and notoriety, and went on their merry ways. There are far too many Mr. Creosote’s in today’s congressional and parliamentary gatherings; once they at once both discredited and removed, the government will improve.

Getchell Gold Last Man Standing

Markets will undoubtedly head into October with the greatest of fear and reverence. I know from conversations with my wonderful subscribers that they are terrified that our “last man standing,”

Getchell Gold Corp. (GTCH:CSE; GGLDF:OTCQB), stunned but not staggered, will finally get victimized by this most ruthless of canine predators. My response has always been the same; if the company does nothing else but deliver their revised resource estimate, then we can park our money into Getchell with the full expectation that it will eventually be rerated at “par.”

In this case, “par” is a euphemism for “fair value,” which is between 7.5-and-15-times current pricing. Forget the arrival of “the new paradigm” or the “ultimate demise of the bullion bank naked shorters”; gold mining stocks are bound for a regression to the mean of historical valuation.

When that happens, all boats shall rise.

My observation on the state of markets is this: we are at a point of extreme pessimism and headline bearishness, both historically the starter pistol “CRACK!” of a new bull market advance. The problem is that we do not yet have anything close to a confirmation by Fed policy that they give a hoot about anything but lagging deflationary indicators, so until they acknowledge the protests from the Bank of England or the screams from the U.S. pension fund clients underwater at Goldman or JPM or BofA, it will be “Preservation of Capital” at all costs.

Nord Stream Gas Pipelines

My final comment on the week revolves around the far more significant geopolitical headline that involves the sabotage of Nord Stream gas pipelines, the conduits for Russian gas transmission into Germany.

Like always, the mainstream media are so far behind the curve on this event that it begs the question: “Who actually reports the news?”

With winter approaching, the energy crisis in Europe has just ratcheted up several notches because now the Russians have ZERO leverage over the European decision-makers. As long as Vlad the Impaler carried the threat of shutting down gas flows to Europe, he had leverage in his battle for control of Ukraine but, more importantly, in his battle to wrest control of Europe from the NATO forces.

That leverage has now evaporated, and Putin knows it. The reason this is a much larger story than U.K. pension funds imploding is that it has launched the globe directly back to the Cold War of the 1960s, but since the Russians are already entangled in their Hot War in Ukraine, the loss of leverage as winter approaches has forced a desperate Europe back into the arms of NATO — meaning — the U.S.

Look for gold prices to be a dark night lighthouse, and as we sail into the outer perimeters of a possible new precious metals bull, the safe arrival will be annotated with calm seas but clear night skies full of watchful stars and suspicious moon. Watch the U.S. 10-year treasury yield as your night sextant.

So, logic dictates that on a scale of one to ten, with one being “maximum benefit of a Russian gas shutdown” and ten being “minimum (or no) benefit of a Russian gas shutdown,” Russia and all of Europe would be a “one” as Russia gets no gas revenue from Europe and Europe freezes this winter while those loyal to NATO and the U.S. would get a “ten” as Europe reaches out in desperation for assistance (“rescue”) from the West.

This was a game-changer, and the danger is that Putin, being a chess grandmaster, knows that a retaliatory move is absolutely required in order to even the playing field and to maintain favor in the court of public opinion, in the Duma, and the Russian Federal Assembly.

With the campaign in Ukraine going badly awry and certainly not the turnkey operation that was originally formatted in their war game modeling, Putin’s vice-grip on power is certainly not strengthening. We all know that there is nothing more dangerous than a wounded, cornered animal, and as a child who grew up with air raid sirens and “Duck-and-cover” drills in the 1960s, I am far more sensitive to the prospect of a nuclear option currently at the disposal of Vlad the Impaler.

Somewhere out there is a retaliatory move being planned, and while markets creaked and shuddered at the specter of a massive pension fund default earlier this week, it will most certainly break in half at a sinking of a large LNG freighter carrying a U.S. flag or something (god forbid) even direr.

Look for gold prices to be a dark night lighthouse, and as we sail into the outer perimeters of a possible new precious metals bull, the safe arrival will be annotated with calm seas but clear night skies full of watchful stars and suspicious moon.

Watch the U.S. 10-year treasury yield as your night sextant. It looks like it has been “taken” lower this week — always the first clue for a cynical man trying to make sense of the world growing increasingly mad by the day, hour, and minute.

Michael Ballanger Disclaimer:

This letter makes no guarantee or warranty on the accuracy or completeness of the data provided. Nothing contained herein is intended or shall be deemed to be investment advice, implied or otherwise. This letter represents my views and replicates trades that I am making but nothing more than that. Always consult your registered advisor to assist you with your investments. I accept no liability for any loss arising from the use of the data contained on this letter. Options and junior mining stocks contain a high level of risk that may result in the loss of part or all invested capital and therefore are suitable for experienced and professional investors and traders only. One should be familiar with the risks involved in junior mining and options trading and we recommend consulting a financial adviser if you feel you do not understand the risks involved.

Disclosures:

1) Michael J. Ballanger: I, or members of my immediate household or family, own securities of the following companies mentioned in this article: Getchell Gold Corp. I personally am, or members of my immediate household or family are, paid by the following companies mentioned in this article: None. My company, Bonaventure Explorations Ltd., has a consulting relationship with Getchell Gold Corp.

2) The following companies mentioned in this article are billboard sponsors of Streetwise Reports: None. Click here for important disclosures about sponsor fees.

3) Statements and opinions expressed are the opinions of the author and not of Streetwise Reports or its officers. The author is wholly responsible for the validity of the statements. The author was not paid by Streetwise Reports for this article. Streetwise Reports was not paid by the author to publish or syndicate this article. Streetwise Reports requires contributing authors to disclose any shareholdings in, or economic relationships with, companies that they write about. Streetwise Reports relies upon the authors to accurately provide this information and Streetwise Reports has no means of verifying its accuracy.

4) This article does not constitute investment advice. Each reader is encouraged to consult with his or her individual financial professional and any action a reader takes as a result of information presented here is his or her own responsibility. By opening this page, each reader accepts and agrees to Streetwise Reports’ terms of use and full legal disclaimer. This article is not a solicitation for investment. Streetwise Reports does not render general or specific investment advice and the information on Streetwise Reports should not be considered a recommendation to buy or sell any security. Streetwise Reports does not endorse or recommend the business, products, services or securities of any company mentioned on Streetwise Reports.

5) From time to time, Streetwise Reports LLC and its directors, officers, employees or members of their families, as well as persons interviewed for articles and interviews on the site, may have a long or short position in securities mentioned. Directors, officers, employees or members of their immediate families are prohibited from making purchases and/or sales of those securities in the open market or otherwise from the time of the decision to publish an article until three business days after the publication of the article. The foregoing prohibition does not apply to articles that in substance only restate previously published company releases.

As of the date of this article, officers and/or employees of Streetwise Reports LLC (including members of their household) own securities of Getchell Gold Corp., a company mentioned in this article.

 

Bonds Opinions
01 Oct

Large COT Speculators raise 10-Year Treasury Bond bearish bets as prices drop

By InvestMacro

Large COT Speculators raise 10-Year Treasury Bond bearish bets as price drops

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

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

Weekly Speculator Changes sees large drop for 10-Year Bond

Weekly Speculator Changes sees large drop for 10-Year Bond

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

Leading the gains for the bond markets was the Fed Funds (78,319 contracts) and the Eurodollar (63,996 contracts) with the 5-Year Bond (51,838 contracts), the 2-Year Bond (22,538 contracts) and the Long US Bond (2,987 contracts) also showing positive weeks.

The bond markets leading the declines in speculator bets this week was the 10-Year Bond (-135,602 contracts) with the Ultra 10-Year (-30,952 contracts) and the Ultra US Bond (-15,994 contracts) also registering lower bets on the week.

Highlighting the COT Bonds data is the sharp drop in the 10-Year Bond large speculator contracts this week. Speculator bets fell sharply by over -135,000 contracts and halted a 3-week streak of improving speculator positions. The recent improvement in positioning brought the overall speculator standing to the least bearish level in eight weeks (dipping below -230,000 contracts last week). This week’s sentiment decline pushes the overall spec level back above the -350,000 contract threshold and the speculator position remains in a bearish extreme level compared to the past three years (see strength scores in sections below). The bond market prices have continued to sell off as the Federal Reserve (and global central banks) have been sharply and consistently raising their benchmark interest rates to fight the effects of inflation. The 10-Year futures price this week closed at the lowest level since 2008 while the 10-Year yield is currently at 3.83 percent (as bond prices fall, yields rise).

Data Snapshot of Bond Market Traders | Columns Legend
Sep-27-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,302,5170-2,159,775132,415,33084-255,55548
FedFunds1,756,96961102,48352-86,40549-16,07819
2-Year2,028,93111-319,87718425,57098-105,6935
Long T-Bond1,213,68047-96,5525368,2683528,28475
10-Year3,766,78248-365,19217409,93871-44,74669
5-Year3,999,39051-441,96619567,48882-125,52246

 

Strength Scores

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 Bond (53.2 percent) and the Fed Funds (52.3 percent) lead the bonds and are the only two markets above their 3-year midpoint (50 percent is the midpoint).

On the downside, the Ultra 10-Year Bond (13.3 percent) and the Eurodollar (13.4 percent) come in at the lowest strength levels currently followed by the 10-Year Bond (16.9 percent) and the 2-Year Bond (17.7 percent). All four of these markets are in extreme bearish strength levels at scores below 20 percent.

Strength Statistics:
Fed Funds (52.3 percent) vs Fed Funds previous week (42.6 percent)
2-Year Bond (17.7 percent) vs 2-Year Bond previous week (13.1 percent)
5-Year Bond (18.7 percent) vs 5-Year Bond previous week (10.8 percent)
10-Year Bond (16.9 percent) vs 10-Year Bond previous week (37.5 percent)
Ultra 10-Year Bond (13.3 percent) vs Ultra 10-Year Bond previous week (21.3 percent)
US Treasury Bond (53.2 percent) vs US Treasury Bond previous week (52.2 percent)
Ultra US Treasury Bond (29.4 percent) vs Ultra US Treasury Bond previous week (35.9 percent)
Eurodollar (13.4 percent) vs Eurodollar previous week (12.2 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (13.1 percent) leads the past six weeks trends for bonds this week. The 5-Year Bond (3.8 percent) and the Fed Funds (1.7 percent) fill out the other positive movers in the latest trends data.

The 2-Year Bond (-21.4 percent) leads the downside trend scores currently while the next markets with lower trend scores were the US Treasury Bond (-16.0 percent), the Ultra 10-Year Bond (-7.2 percent) and the Ultra US Treasury Bond (-2.9 percent).

Strength Trend Statistics:
Fed Funds (1.7 percent) vs Fed Funds previous week (2.9 percent)
2-Year Bond (-21.4 percent) vs 2-Year Bond previous week (-34.4 percent)
5-Year Bond (3.8 percent) vs 5-Year Bond previous week (-21.6 percent)
10-Year Bond (-0.3 percent) vs 10-Year Bond previous week (8.6 percent)
Ultra 10-Year Bond (-7.2 percent) vs Ultra 10-Year Bond previous week (4.6 percent)
US Treasury Bond (-16.0 percent) vs US Treasury Bond previous week (-16.9 percent)
Ultra US Treasury Bond (-2.9 percent) vs Ultra US Treasury Bond previous week (-1.9 percent)
Eurodollar (13.1 percent) vs Eurodollar previous week (12.2 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -2,159,775 contracts in the data reported through Tuesday. This was a weekly lift of 63,996 contracts from the previous week which had a total of -2,223,771 net contracts.

This 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 84.2 percent and the small traders (not shown in chart) are Bearish with a score of 48.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.568.84.8
– Percent of Open Interest Shorts:33.539.77.9
– Net Position:-2,159,7752,415,330-255,555
– Gross Longs:622,8925,714,545397,316
– Gross Shorts:2,782,6673,299,215652,871
– Long to Short Ratio:0.2 to 11.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.484.248.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.1-14.118.3

 

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 102,483 contracts in the data reported through Tuesday. This was a weekly gain of 78,319 contracts from the previous week which had a total of 24,164 net contracts.

This 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 49.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.171.51.7
– Percent of Open Interest Shorts:9.376.52.6
– Net Position:102,483-86,405-16,078
– Gross Longs:265,5401,257,03229,182
– Gross Shorts:163,0571,343,43745,260
– Long to Short Ratio:1.6 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.349.418.7
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.70.8-52.4

 

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 -319,877 contracts in the data reported through Tuesday. This was a weekly increase of 22,538 contracts from the previous week which had a total of -342,415 net contracts.

This 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 17.7 percent. The commercials are Bullish-Extreme with a score of 97.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 4.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.682.47.7
– Percent of Open Interest Shorts:23.461.412.9
– Net Position:-319,877425,570-105,693
– Gross Longs:154,8871,671,856156,986
– Gross Shorts:474,7641,246,286262,679
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.797.54.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.434.5-30.6

 

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 -441,966 contracts in the data reported through Tuesday. This was a weekly increase of 51,838 contracts from the previous week which had a total of -493,804 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.7 percent. The commercials are Bullish-Extreme with a score of 82.5 percent and the small traders (not shown in chart) are Bearish with a score of 46.5 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.284.27.5
– Percent of Open Interest Shorts:18.270.010.7
– Net Position:-441,966567,488-125,522
– Gross Longs:286,4923,365,684300,659
– Gross Shorts:728,4582,798,196426,181
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.782.546.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.8-6.67.8

 

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 -365,192 contracts in the data reported through Tuesday. This was a weekly decrease of -135,602 contracts from the previous week which had a total of -229,590 net contracts.

This 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 with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.479.69.8
– Percent of Open Interest Shorts:18.168.711.0
– Net Position:-365,192409,938-44,746
– Gross Longs:316,4782,998,569367,874
– Gross Shorts:681,6702,588,631412,620
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.970.669.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.3-7.214.9

 

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 -59,760 contracts in the data reported through Tuesday. This was a weekly fall of -30,952 contracts from the previous week which had a total of -28,808 net contracts.

This 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 13.3 percent. The commercials are Bullish-Extreme with a score of 81.7 percent and the small traders (not shown in chart) are Bullish with a score of 59.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.282.89.6
– Percent of Open Interest Shorts:11.571.017.0
– Net Position:-59,760161,207-101,447
– Gross Longs:98,7761,136,474132,163
– Gross Shorts:158,536975,267233,610
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.381.759.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.20.217.9

 

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 -96,552 contracts in the data reported through Tuesday. This was a weekly boost of 2,987 contracts from the previous week which had a total of -99,539 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.2 percent. The commercials are Bearish with a score of 35.0 percent and the small traders (not shown in chart) are Bullish with a score of 75.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.978.314.2
– Percent of Open Interest Shorts:13.872.711.9
– Net Position:-96,55268,26828,284
– Gross Longs:71,317950,661172,811
– Gross Shorts:167,869882,393144,527
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.235.075.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.016.81.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -381,907 contracts in the data reported through Tuesday. This was a weekly decline of -15,994 contracts from the previous week which had a total of -365,913 net contracts.

This 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 29.4 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bullish with a score of 61.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.283.111.0
– Percent of Open Interest Shorts:32.259.47.8
– Net Position:-381,907335,91245,995
– Gross Longs:73,4021,176,845156,277
– Gross Shorts:455,309840,933110,282
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.479.361.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.9-0.86.2

 

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 investing Opinions
30 Sep

How bonds work and why everyone is talking about them right now: a finance expert explains

By David McMillan, University of Stirling 

– The Bank of England is buying bonds again. Just as it was about to start selling the debt it had accumulated as part of its last effort to support the economy during the COVID-19 pandemic, the central bank has been forced to announce a new scheme to shore up investor confidence.

The bank’s £65 billion short-term spree aims to address the slump in bond prices caused by investors rushing to sell after the government’s recent mini-budget. This led to a surge in bond yields that hiked borrowing costs for the government and spread to pensions, housing and the general economy. So far, it has had a limited initial impact on the markets.

We asked an expert in finance to explain what’s going on in bond markets.

What is a bond and what is the difference between bond prices and yields?

A bond is essentially a tradeable IOU. It’s a loan that investors make to issuers such as companies or governments (UK government bonds are often called gilts). A bond has a price at which it can be sold and a yield, which is an annual amount the investor receives for holding the bond, a bit like interest on a savings account, and is expressed as a percentage of the current price.

When the price of a bond falls, it signals less demand for the bond because fewer investors want to own it. At the same time, the yield rises, which represents a higher cost of borrowing for companies or governments that issued the bond because this is what they have to pay to investors.

In the days since the government’s mini-budget, yields on 10-year Treasury bonds – which are issued by the UK government – increased from approximately 3.5% to 4.52% – the highest since the 2007-2008 global financial crisis. The expectation of continued increases prompted the recent intervention by the Bank of England.

UK government 10-year bond yields

Line chart showing UK 10-year bond or gilt yields, August - September 2022
United Kingdom 10-year bond yield.
Investing.com / Tradingview

What causes bond yields to move?

To understand this, it is important to bear in mind that, while people often talk about the interest rate, there are actually a number of rates. This includes the rate at which the central bank lends to commercial banks (the base rate), the rate that banks lend to each other (the interbank rate), the rate that the government borrows at (Treasury yields) and the rate at which households and firms borrow (commercial loans and mortgages).

When the Bank of England changes the base rate, this cascades through all these rates. As such, the Bank of England carefully considers the state of the economy – that is, growth and inflation – when deciding on the base rate.

When an economy is growing, interest rates and bond yields tend to rise. The occurs for several reasons. Investors sell bonds to buy riskier assets with better returns. Firms and households also look to borrow more money in a growing economy, for example, to invest in new machinery or to move home. More demand for borrowing means lenders can charge higher interest on their loans.

Higher inflation often accompanies economic growth because of the increase in demand for goods and services. This tightens supply and causes prices to rise (including wages for labour). The Bank of England, which is mandated by the government to try to keep inflation as close to 2% as possible, will respond to higher inflation by raising base rates, which, as noted, feeds through to the different rates.

Investors will often anticipate the increase in base rates and look to act before it goes up by selling Treasury bonds and buying alternative, higher return, assets. This causes bond yields to rise further. As a result, the Treasury bond yield is often seen as a predictor of future Bank of England base rate changes.

So, if yields are rising, does this mean that investors are expecting future economic growth in the UK?

No, not at the moment. When the government raises money by issuing bonds, it does so over a range of time periods (called maturities), from one day to 30 years. When an economy is expected to grow, the yield on longer-term bonds will be higher than the yield on shorter-term bonds.

This relationship between yields across different maturities is referred to as the term structure or yield curve. An upward sloping yield curve implies a growing economy. At the moment, the UK yield curve is flat, or even downward-sloping across some maturities. My research shows that a falling yield curve is a good predictor of a coming recession.

Yield curve for UK government bonds

Line graph showing downward-sloping yield curve for UK gilts
UK gilts 40-year yield curve. *The curve on the day of the previous MPC meeting is provided as reference point.
Bloomberg Finance L.P., Tradeweb and Bank of England calculations

It’s important to remember that these different yields act as a benchmark for commercial lending rates of equivalent lengths. The approximate jump to 4.5% in 2-year and 5-year yields has been reflected in mortgage rates, which is why some lenders have pulled available mortgage deals recently while they reassess the lending rates charged to households.

But if the UK economy is not expected to perform well, why have bond yields been rising after the chancellor’s mini-budget announcement?

The rising bond yields we are seeing relate to an additional factor: the amount of government debt. The mini-budget introduced tax cuts and increased spending and investors know the government will need to increase borrowing to meet these commitments. Some estimates put potential government borrowing at £190 billion due to this plan.

An increase in the amount a homeowner borrows versus the value of their home (called the loan-to-value) causes the mortgage rate charged to the borrower to rise. Similarly, an increase in the amount of bonds that the government will be looking to sell (the amount it wants to borrow) will push down the price of existing bonds, increasing yields. More importantly, more debt without growth raises the risk level of the UK economy.

Anticipating this, investors triggered a large-scale bond sell-off after the government’s mini-budget announcement. This contributed to the fall in the value of the pound as investors selling UK Treasury bonds bought US bonds instead, essentially swapping pounds for dollars.

So will the Bank of England’s plan work?

The intervention will have a short-term positive impact, which started as soon as it was announced. But the bank is really only buying time. Any ultimate success depends on the government restoring investor confidence in its economic plans.

Unfortunately, rising yields and borrowing costs for the UK economy is the price we are now paying for the government’s recent fiscal announcement.The Conversation

About the Author:

David McMillan, Professor in Finance, University of Stirling

This article is republished from The Conversation under a Creative Commons license. Read the original article.

Bonds Opinions
25 Sep

Eurodollar and 10-Year Bond Speculator bets rebounded before Fed Hikes

By InvestMacro

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

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

Eurodollar and 10-Year Bond bets rebound in Weekly Speculator Changes

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

Leading the gains for the bond markets was the Eurodollar (653,551 contracts) with the 10-Year Bond (123,299 contracts), the 5-Year Bond (27,655 contracts) and the 2-Year Bond (15,766 contracts) also showing positive weeks.

The bond markets leading the declines in speculator bets this week was the Fed Funds (-23,797 contracts) with the Ultra 10-Year (-22,022 contracts), the Ultra US Bond (-19,316 contracts) and the Long US Bond (-4,568 contracts) also registering lower bets on the week.

Highlighting the COT Bonds data this week was the rebound in both the Eurodollar and the 10-Year Bonds positioning. Both of these bond markets continue to have very bearish speculator positions and it has been that way since global central banks started to get more hawkish in raising their benchmark interest rates to fight inflation.

The Eurodollar turned from a bullish speculator position to bearish in May of 2021 while the 10-Year saw its speculative positioning flip bullish to bearish in October of 2021.

This week saw sharp gains for each of these markets with the Eurodollar jumping by a total of +653,551 net contracts and the 10-Year by +123,299 net contracts.

The bonds data was heavily influenced by the Federal Reserve’s interest rate decision coming out the next day that resulted in a 75 basis point hike. This likely prompted traders to take off positions that were deemed risky or to try and position for possible surprise outcomes of the Fed meeting.

The Eurodollar speculative change data for that Tuesday was the result of speculators sharply dropping their gross short positions by a total of -709,309 contracts. This is compared to a -55,758 contract decline in the gross long positions.

The 10-Year change, meanwhile, was the result of speculators raising their gross long positions by a total of +100,016 contracts in addition to reducing their gross short contracts by -23,283 to get the weekly net change of 123,299 contracts.

Data Snapshot of Bond Market Traders | Columns Legend
Sep-20-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,320,3650-2,223,771122,509,93186-286,16041
FedFunds1,719,1985824,16443-17,27358-6,89142
2-Year2,020,40211-342,41513438,181100-95,7669
Long T-Bond1,235,65251-99,5395278,9583920,58169
10-Year3,700,92944-229,59038342,34863-112,75853
5-Year3,974,32150-493,80411639,72891-145,92441

 

Strength Scores

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 Bond (52.2 percent) leads the bonds category and is the only market above the midpoint of its 3-year range. The Fed Funds (42.6 percent) comes in as the next highest bonds market in strength scores.

On the downside, the 5-Year Bond (10.8 percent), the Eurodollar (12.2 percent) and the 2-Year Bond (13.1 percent) come in at the lowest strength levels currently and are all in bearish extreme positions (below 20 percent).

Strength Statistics:
Fed Funds (42.6 percent) vs Fed Funds previous week (45.5 percent)
2-Year Bond (13.1 percent) vs 2-Year Bond previous week (9.9 percent)
5-Year Bond (10.8 percent) vs 5-Year Bond previous week (6.7 percent)
10-Year Bond (37.5 percent) vs 10-Year Bond previous week (18.8 percent)
Ultra 10-Year Bond (21.3 percent) vs Ultra 10-Year Bond previous week (27.0 percent)
US Treasury Bond (52.2 percent) vs US Treasury Bond previous week (53.7 percent)
Ultra US Treasury Bond (35.9 percent) vs Ultra US Treasury Bond previous week (43.8 percent)
Eurodollar (12.2 percent) vs Eurodollar previous week (0.2 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Eurodollar (12.2 percent) leads the past six weeks trends for bonds this week. The 10-Year Bond (8.6 percent), the Ultra 10-Year Bond (4.6 percent) and the Fed Funds (2.9 percent) fill out the rest of the positive movers in the latest trends data.

The 2-Year Bond (-34.4 percent) leads the downside trend scores currently while the next market with lower trend scores were the 5-Year Bond (-21.6 percent) followed by the US Treasury Bond (-16.9 percent).


Strength Trend Statistics:
Fed Funds (2.9 percent) vs Fed Funds previous week (6.3 percent)
2-Year Bond (-34.4 percent) vs 2-Year Bond previous week (-52.2 percent)
5-Year Bond (-21.6 percent) vs 5-Year Bond previous week (-28.1 percent)
10-Year Bond (8.6 percent) vs 10-Year Bond previous week (-8.7 percent)
Ultra 10-Year Bond (4.6 percent) vs Ultra 10-Year Bond previous week (7.7 percent)
US Treasury Bond (-16.9 percent) vs US Treasury Bond previous week (-12.7 percent)
Ultra US Treasury Bond (-1.9 percent) vs Ultra US Treasury Bond previous week (2.3 percent)
Eurodollar (12.2 percent) vs Eurodollar previous week (-1.7 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -2,223,771 contracts in the data reported through Tuesday. This was a weekly advance of 653,551 contracts from the previous week which had a total of -2,877,322 net contracts.

This 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 12.2 percent. The commercials are Bullish-Extreme with a score of 85.9 percent and the small traders (not shown in chart) are Bearish with a score of 41.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.769.44.8
– Percent of Open Interest Shorts:33.439.28.2
– Net Position:-2,223,7712,509,931-286,160
– Gross Longs:556,5375,772,986398,527
– Gross Shorts:2,780,3083,263,055684,687
– Long to Short Ratio:0.2 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.285.941.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.2-12.47.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of 24,164 contracts in the data reported through Tuesday. This was a weekly fall of -23,797 contracts from the previous week which had a total of 47,961 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.6 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bearish with a score of 42.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.771.72.3
– Percent of Open Interest Shorts:11.372.72.7
– Net Position:24,164-17,273-6,891
– Gross Longs:217,6311,232,60139,438
– Gross Shorts:193,4671,249,87446,329
– Long to Short Ratio:1.1 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.657.842.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.9-3.513.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -342,415 contracts in the data reported through Tuesday. This was a weekly boost of 15,766 contracts from the previous week which had a total of -358,181 net contracts.

This 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 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.7 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.983.67.6
– Percent of Open Interest Shorts:23.861.912.4
– Net Position:-342,415438,181-95,766
– Gross Longs:139,3581,688,474154,106
– Gross Shorts:481,7731,250,293249,872
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.1100.08.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-34.440.5-18.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -493,804 contracts in the data reported through Tuesday. This was a weekly rise of 27,655 contracts from the previous week which had a total of -521,459 net contracts.

This 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 10.8 percent. The commercials are Bullish-Extreme with a score of 91.3 percent and the small traders (not shown in chart) are Bearish with a score of 40.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.784.77.3
– Percent of Open Interest Shorts:19.168.611.0
– Net Position:-493,804639,728-145,924
– Gross Longs:266,4523,366,448291,033
– Gross Shorts:760,2562,726,720436,957
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.891.340.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.619.3-4.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -229,590 contracts in the data reported through Tuesday. This was a weekly gain of 123,299 contracts from the previous week which had a total of -352,889 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.5 percent. The commercials are Bullish with a score of 62.6 percent and the small traders (not shown in chart) are Bullish with a score of 53.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.777.59.0
– Percent of Open Interest Shorts:16.968.212.1
– Net Position:-229,590342,348-112,758
– Gross Longs:397,0502,868,123334,645
– Gross Shorts:626,6402,525,775447,403
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.562.653.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.6-5.2-3.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -28,808 contracts in the data reported through Tuesday. This was a weekly reduction of -22,022 contracts from the previous week which had a total of -6,786 net contracts.

This 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 21.3 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bearish with a score of 45.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.381.19.0
– Percent of Open Interest Shorts:10.470.018.0
– Net Position:-28,808152,285-123,477
– Gross Longs:113,6571,109,324123,083
– Gross Shorts:142,465957,039246,560
– Long to Short Ratio:0.8 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.379.445.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.6-1.3-8.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -99,539 contracts in the data reported through Tuesday. This was a weekly fall of -4,568 contracts from the previous week which had a total of -94,971 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.2 percent. The commercials are Bearish with a score of 38.8 percent and the small traders (not shown in chart) are Bullish with a score of 68.9 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.277.113.8
– Percent of Open Interest Shorts:14.270.712.2
– Net Position:-99,53978,95820,581
– Gross Longs:76,399952,947170,936
– Gross Shorts:175,938873,989150,355
– Long to Short Ratio:0.4 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.238.868.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.919.8-2.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -365,913 contracts in the data reported through Tuesday. This was a weekly fall of -19,316 contracts from the previous week which had a total of -346,597 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.9 percent. The commercials are Bullish with a score of 76.5 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.183.210.7
– Percent of Open Interest Shorts:31.659.48.1
– Net Position:-365,913330,14335,770
– Gross Longs:71,3061,152,370147,949
– Gross Shorts:437,219822,227112,179
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.976.554.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.90.03.3

 

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 investing
17 Sep

Weekly Bonds Speculator bets led by Fed Funds and Ultra 10-Year Treasury Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by Fed Funds and Ultra 10-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (29,311 contracts) with the 10-Year Bond (23,388 contracts), the Ultra 10-Year (15,926 contracts) and the Ultra US Bond (10,818 contracts) also showing positive weeks.

The bond market leading the declines in speculator bets this week was the Eurodollar (-94,668 contracts) with the 2-Year Bond (-31,439 contracts), the 5-Year Bond (-15,568 contracts) and the Long US Bond (-9,754 contracts) also recording lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Sep-13-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,494,35913-2,877,32203,227,08299-349,76027
FedFunds1,585,4274847,96146-33,14956-14,81222
2-Year2,008,78010-358,18110436,181100-78,00016
Long T-Bond1,225,02449-94,9715466,5283428,44375
10-Year3,639,62139-352,88919462,61377-109,72454
5-Year3,982,52750-521,4597676,94996-155,49038

 

US Treasury Bond at top of Bond Market Strength Scores

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 Bond (53.7 percent) led the bonds markets and is the only market above its 3-Year midpoint (above 50 percent). The Fed Funds (45.5 percent) and the Ultra US Treasury Bond (43.8 percent) come in as the next highest bond market in strength scores.

On the downside, the Eurodollar (0.2 percent), the 5-Year Bond (6.7 percent), the 2-Year Bond (9.9 percent) and the 10-Year Bond (18.8 percent) come in as the lowest markets and are all in bearish extreme positions (below 20 percent).


Strength Statistics:
Fed Funds (45.5 percent) vs Fed Funds previous week (41.9 percent)
2-Year Bond (9.9 percent) vs 2-Year Bond previous week (16.3 percent)
5-Year Bond (6.7 percent) vs 5-Year Bond previous week (9.0 percent)
10-Year Bond (18.8 percent) vs 10-Year Bond previous week (15.2 percent)
Ultra 10-Year Bond (27.0 percent) vs Ultra 10-Year Bond previous week (22.9 percent)
US Treasury Bond (53.7 percent) vs US Treasury Bond previous week (56.9 percent)
Ultra US Treasury Bond (43.8 percent) vs Ultra US Treasury Bond previous week (39.4 percent)
Eurodollar (0.2 percent) vs Eurodollar previous week (1.9 percent)

Strength Trends show 2-Year Bond on sharp downtrend

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bond (7.7 percent) leads the past six weeks trends for bonds this week. The Fed Funds (6.3 percent) and the Ultra US Treasury Bond (2.3 percent) are the only other positive movers in the latest trends data.

The 2-Year Bond (-52.2 percent) leads the downside trend scores currently while the next markets with lower trend scores were the 5-Year Bond (-28.1 percent), US Treasury Bond (-12.7 percent) and the 10-Year Bond (-8.7 percent).


Strength Trend Statistics:
Fed Funds (6.3 percent) vs Fed Funds previous week (-15.9 percent)
2-Year Bond (-52.2 percent) vs 2-Year Bond previous week (-47.8 percent)
5-Year Bond (-28.1 percent) vs 5-Year Bond previous week (-28.9 percent)
10-Year Bond (-8.7 percent) vs 10-Year Bond previous week (-26.8 percent)
Ultra 10-Year Bond (7.7 percent) vs Ultra 10-Year Bond previous week (2.1 percent)
US Treasury Bond (-12.7 percent) vs US Treasury Bond previous week (-12.6 percent)
Ultra US Treasury Bond (2.3 percent) vs Ultra US Treasury Bond previous week (-2.9 percent)
Eurodollar (-1.7 percent) vs Eurodollar previous week (-1.8 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week totaled a net position of -2,877,322 contracts in the data reported through Tuesday. This was a weekly decrease of -94,668 contracts from the previous week which had a total of -2,782,654 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.2 percent. The commercials are Bullish-Extreme with a score of 98.7 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.471.44.4
– Percent of Open Interest Shorts:36.837.48.1
– Net Position:-2,877,3223,227,082-349,760
– Gross Longs:612,2956,777,674415,183
– Gross Shorts:3,489,6173,550,592764,943
– Long to Short Ratio:0.2 to 11.9 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.298.727.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.71.60.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 47,961 contracts in the data reported through Tuesday. This was a weekly increase of 29,311 contracts from the previous week which had a total of 18,650 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.5 percent. The commercials are Bullish with a score of 55.9 percent and the small traders (not shown in chart) are Bearish with a score of 22.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.470.02.4
– Percent of Open Interest Shorts:11.472.13.3
– Net Position:47,961-33,149-14,812
– Gross Longs:228,5681,110,14137,571
– Gross Shorts:180,6071,143,29052,383
– Long to Short Ratio:1.3 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.555.922.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.3-5.7-8.5

 

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 -358,181 contracts in the data reported through Tuesday. This was a weekly lowering of -31,439 contracts from the previous week which had a total of -326,742 net contracts.

This 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 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 16.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.085.67.1
– Percent of Open Interest Shorts:22.863.911.0
– Net Position:-358,181436,181-78,000
– Gross Longs:100,1961,720,285142,700
– Gross Shorts:458,3771,284,104220,700
– Long to Short Ratio:0.2 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.9100.016.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-52.248.12.2

 

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 -521,459 contracts in the data reported through Tuesday. This was a weekly decrease of -15,568 contracts from the previous week which had a total of -505,891 net contracts.

This 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 6.7 percent. The commercials are Bullish-Extreme with a score of 95.8 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.57.5
– Percent of Open Interest Shorts:20.067.511.4
– Net Position:-521,459676,949-155,490
– Gross Longs:276,6683,365,483299,655
– Gross Shorts:798,1272,688,534455,145
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.795.838.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.130.0-16.6

 

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 -352,889 contracts in the data reported through Tuesday. This was a weekly gain of 23,388 contracts from the previous week which had a total of -376,277 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.8 percent. The commercials are Bullish with a score of 76.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.279.89.2
– Percent of Open Interest Shorts:17.967.112.3
– Net Position:-352,889462,613-109,724
– Gross Longs:297,0342,903,201336,640
– Gross Shorts:649,9232,440,588446,364
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.876.854.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.79.5-5.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -6,786 contracts in the data reported through Tuesday. This was a weekly lift of 15,926 contracts from the previous week which had a total of -22,712 net contracts.

This 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 69.8 percent and the small traders (not shown in chart) are Bullish with a score of 55.3 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.379.09.2
– Percent of Open Interest Shorts:9.870.617.0
– Net Position:-6,786114,915-108,129
– Gross Longs:128,4331,087,797126,105
– Gross Shorts:135,219972,882234,234
– Long to Short Ratio:0.9 to 11.1 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.069.855.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.7-9.65.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -94,971 contracts in the data reported through Tuesday. This was a weekly fall of -9,754 contracts from the previous week which had a total of -85,217 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.7 percent. The commercials are Bearish with a score of 34.3 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.076.614.0
– Percent of Open Interest Shorts:13.871.111.7
– Net Position:-94,97166,52828,443
– Gross Longs:73,918937,965171,546
– Gross Shorts:168,889871,437143,103
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.734.375.2
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.78.312.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -346,597 contracts in the data reported through Tuesday. This was a weekly gain of 10,818 contracts from the previous week which had a total of -357,415 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 43.8 percent. The commercials are Bullish with a score of 67.0 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.882.110.8
– Percent of Open Interest Shorts:30.959.58.2
– Net Position:-346,597310,61235,985
– Gross Longs:79,3751,129,862148,787
– Gross Shorts:425,972819,250112,802
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.867.054.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.31.3-5.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds COT Updates Financial News investing
11 Sep

COT Bonds Speculator bets led lower this week by Fed Funds & 2-Year Bond

By InvestMacro

COT Bonds Open Interest Comparison

The latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC) showed that bond speculators mostly lowered their positioning for this week. The latest COT data for Week 36 is updated through Tuesday September 6th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led lower by the Fed Funds & 2-Year Bond

COT Bonds Speculator bets led lower this week by Fed Funds & 2-Year Bond

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

Leading the gains for the bond markets was the Eurodollar (74,748 contracts) with the 10-Year Bond (63,826 contracts) and the 5-Year Bond (59,565 contracts) also recording positive weeks.

The bond markets leading the declines in speculator bets this week were the Fed Funds (-66,116 contracts) with the 2-Year Bond (-45,142 contracts), the Long US Bond (-16,383 contracts), the Ultra 10-Year (-4,726 contracts) and the Ultra US Bond (-1,621 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Sep-06-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,566,53214-2,782,65423,146,67197-364,01724
FedFunds1,379,7843218,65042-9,12859-9,52235
2-Year1,954,4278-326,74216412,994100-86,25213
Long T-Bond1,209,34046-85,2175764,1743321,04369
10-Year3,545,99533-376,27715490,28180-114,00453
5-Year4,009,30952-505,8919659,34994-153,45839

 

US Treasury Bond at top of Strength Scores, Eurodollar lowest

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) show that the US Treasury Bond leads the bonds markets and is the only market above the midpoint of its 3-year range at 56.9 percent. The Fed Funds (41.9 percent) comes in as the next highest bonds market in strength scores followed by the Ultra US Treasury Bond (39.4 percent).

On the downside, the Eurodollar (1.9 percent) comes in at the lowest strength level currently and is followed by the 5-Year Bond (9.0 percent), the 10-Year Bond (15.2 percent) and the 2-Year Bond (16.3 percent). All of these markets are currently in extreme bearish levels with scores below 20 percent.

COT Bonds Speculator bets led lower this week by Fed Funds & 2-Year Bond

Strength Statistics:
Fed Funds (41.9 percent) vs Fed Funds previous week (50.1 percent)
2-Year Bond (16.3 percent) vs 2-Year Bond previous week (25.4 percent)
5-Year Bond (9.0 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (15.2 percent) vs 10-Year Bond previous week (5.5 percent)
Ultra 10-Year Bond (22.9 percent) vs Ultra 10-Year Bond previous week (24.1 percent)
US Treasury Bond (56.9 percent) vs US Treasury Bond previous week (62.2 percent)
Ultra US Treasury Bond (39.4 percent) vs Ultra US Treasury Bond previous week (40.1 percent)
Eurodollar (1.9 percent) vs Eurodollar previous week (0.5 percent)

Ultra 10-Year Bond is only market with positive Strength Trend

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Ultra 10-Year Bond (2.1 percent) leads the past six weeks trends for bonds and is the only market with a positive six-week trend score.

The 2-Year Bond (-47.8 percent) leads the downside trend scores currently while the next market with the lowest trend scores was the 5-Year Bond (-28.9 percent) followed by the 10-Year Bond (-26.8 percent) and the Fed Funds (-15.9 percent).

COT Bonds Speculator bets led lower this week by Fed Funds & 2-Year Bond

Strength Trend Statistics:
Fed Funds (-15.9 percent) vs Fed Funds previous week (-3.6 percent)
2-Year Bond (-47.8 percent) vs 2-Year Bond previous week (-44.1 percent)
5-Year Bond (-28.9 percent) vs 5-Year Bond previous week (-46.5 percent)
10-Year Bond (-26.8 percent) vs 10-Year Bond previous week (-50.4 percent)
Ultra 10-Year Bond (2.1 percent) vs Ultra 10-Year Bond previous week (4.6 percent)
US Treasury Bond (-12.6 percent) vs US Treasury Bond previous week (-8.7 percent)
Ultra US Treasury Bond (-2.9 percent) vs Ultra US Treasury Bond previous week (-4.1 percent)
Eurodollar (-1.8 percent) vs Eurodollar previous week (-3.9 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -2,782,654 contracts in the data reported through Tuesday. This was a weekly lift of 74,748 contracts from the previous week which had a total of -2,857,402 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.9 percent. The commercials are Bullish-Extreme with a score of 97.3 percent and the small traders (not shown in chart) are Bearish with a score of 24.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.970.24.1
– Percent of Open Interest Shorts:36.037.37.9
– Net Position:-2,782,6543,146,671-364,017
– Gross Longs:661,7736,716,597396,477
– Gross Shorts:3,444,4273,569,926760,494
– Long to Short Ratio:0.2 to 11.9 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.997.324.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.83.4-19.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of 18,650 contracts in the data reported through Tuesday. This was a weekly decrease of -66,116 contracts from the previous week which had a total of 84,766 net contracts.

This 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 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 35.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.073.02.3
– Percent of Open Interest Shorts:11.673.73.0
– Net Position:18,650-9,128-9,522
– Gross Longs:178,7641,007,42431,787
– Gross Shorts:160,1141,016,55241,309
– Long to Short Ratio:1.1 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.958.835.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.915.8-4.8

 

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 -326,742 contracts in the data reported through Tuesday. This was a weekly lowering of -45,142 contracts from the previous week which had a total of -281,600 net contracts.

This 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 16.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.6 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.684.47.3
– Percent of Open Interest Shorts:21.363.311.8
– Net Position:-326,742412,994-86,252
– Gross Longs:89,2231,650,101143,560
– Gross Shorts:415,9651,237,107229,812
– Long to Short Ratio:0.2 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.3100.012.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-47.850.1-6.5

 

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 -505,891 contracts in the data reported through Tuesday. This was a weekly lift of 59,565 contracts from the previous week which had a total of -565,456 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.0 percent. The commercials are Bullish-Extreme with a score of 93.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.684.27.6
– Percent of Open Interest Shorts:19.267.711.4
– Net Position:-505,891659,349-153,458
– Gross Longs:264,3843,375,543304,706
– Gross Shorts:770,2752,716,194458,164
– Long to Short Ratio:0.3 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.093.738.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.925.5-5.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -376,277 contracts in the data reported through Tuesday. This was a weekly increase of 63,826 contracts from the previous week which had a total of -440,103 net contracts.

This 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 15.2 percent. The commercials are Bullish-Extreme with a score of 80.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.979.79.5
– Percent of Open Interest Shorts:18.565.812.7
– Net Position:-376,277490,281-114,004
– Gross Longs:279,8652,824,708336,063
– Gross Shorts:656,1422,334,427450,067
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.280.153.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.826.6-11.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -22,712 contracts in the data reported through Tuesday. This was a weekly fall of -4,726 contracts from the previous week which had a total of -17,986 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.9 percent. The commercials are Bullish with a score of 77.0 percent and the small traders (not shown in chart) are Bearish with a score of 47.3 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.479.89.7
– Percent of Open Interest Shorts:8.169.118.8
– Net Position:-22,712143,014-120,302
– Gross Longs:85,7671,064,996130,034
– Gross Shorts:108,479921,982250,336
– Long to Short Ratio:0.8 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.977.047.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.1-2.1-0.0

 

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 -85,217 contracts in the data reported through Tuesday. This was a weekly decrease of -16,383 contracts from the previous week which had a total of -68,834 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.9 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 69.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.076.213.9
– Percent of Open Interest Shorts:13.070.812.1
– Net Position:-85,21764,17421,043
– Gross Longs:72,558920,966167,960
– Gross Shorts:157,775856,792146,917
– Long to Short Ratio:0.5 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.933.569.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.612.62.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -357,415 contracts in the data reported through Tuesday. This was a weekly fall of -1,621 contracts from the previous week which had a total of -355,794 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.4 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 49.6 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.282.210.9
– Percent of Open Interest Shorts:31.558.18.8
– Net Position:-357,415327,74829,667
– Gross Longs:70,7131,118,090148,948
– Gross Shorts:428,128790,342119,281
– Long to Short Ratio:0.2 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.475.449.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.912.8-13.7

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds COT Updates Financial News investing
08 Sep
What is the Secured Overnight Financing Rate (SOFR)?

What is the Secured Overnight Financing Rate (SOFR)?

The Secured Overnight Financing Rate or SOFR for short, is a benchmark interest rate created by the US Federal Reserve. The SOFR has recently been implemented in order to better reflect the actual cost of borrowing cash overnight for large banking and financial firms. The financing interest rate is calculated using data from overnight repurchase agreement (REPO) transactions. REPO market transactions are essentially loans between market participants that are backed and collateralized by Treasury securities.

Banks, pension funds, insurance companies, brokers, money market funds and asset managing companies are some examples of participants active in the REPO markets.

Secured Overnight Financing Rate (SOFR) replaces LIBOR

The SOFR serves as a replacement for the London Interbank Offered Rate (LIBOR) in U.S. dollar-denominated derivatives and other financial contracts. LIBOR is not secured by Treasuries and is based on a survey of banks, which can be subject to manipulation. In fact, the LIBOR market had a major scandal where major banking institutions colluded to manipulate the LIBOR rate for their own benefit. Scandals aside, the usefulness of LIBOR started to wane after 2008 with less transactions taking place in the LIBOR markets. This prompted a need for a replacement benchmark lending rate that was more accurate and robust.

The SOFR has many advantages over LIBOR including that it is based on actual transactions as over $1 trillion dollars a day are traded in the REPO markets. This makes the SOFR a more accurate measure of the cost of borrowing cash for the participants of these markets. It is also seen as a risk-free alternative as transactions are backed by US Treasury bonds and notes.

The SOFR will also be used as the reference rate for a new type of overnight repo transaction called a standing repo facility. The standing repo facility will be available to a broad range of counterparties, including banks, broker-dealers, money market funds, and non-bank financial companies. The standing repo facility will help reduce funding pressures in the event of a market disruptions.

Where to get Secured Overnight Financing Rate (SOFR) Data?

sofr_secured_overnight_financing_rate

You can freely download or reference daily SOFR data and up to date interest rates from the Federal Reserve Bank of New York or from FRED at the Federal Reserve Bank of St. Louis.

About the Author:

Taylor Wilman is an experienced financial trader and stock market investor that writes for the InvestMacro finance blog.

Blog Posts Bonds Financial News
03 Sep

5-Year, 10-Year & 2-Year Bonds lead Weekly Speculator Bets Lower

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

COT Bonds Open Interest Comparison

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

The latest COT data is updated through Tuesday August 30th (COT Week 35) and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

5-Year, 10-Year & 2-Year Bonds lead Weekly Speculator Changes Lower

Bonds Futures Speculator Net Position Changes

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

Leading the gains for the bond markets were the Eurodollar (21,409 contracts) and the Ultra US Bond (20,439 contracts) with the Ultra 10-Year (7,103 contracts) also having a positive week.

The bond markets leading the declines in speculator bets this week were the 5-Year Bond (-61,931 contracts) and the 10-Year Bond (-58,934 contracts) with the 2-Year Bond (-40,457 contracts), the Fed Funds (-17,884 contracts) and the Long US Bond (-17,703 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Aug-30-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,583,49415-2,857,40213,053,63096-196,22861
FedFunds1,861,8956984,76650-78,24650-6,52043
2-Year1,966,5128-281,60025348,41296-66,81221
Long T-Bond1,233,30250-68,8346240,7892528,04575
10-Year3,559,44534-440,1036558,95888-118,85552
5-Year4,037,08553-565,4560694,38198-128,92546

 

US Treasury Bond & Fed Funds Futures lead the Strength Scores

Bonds Speculator Strength Scores (3-YR Range 0-100)

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 Bond (62.2 percent) continues to lead the bonds markets although it is cooling off from past months and from last week’s score of 67.9 percent. The Fed Funds (50.1 percent) comes in as the next highest bonds market in strength scores and the only other one above the 3-Year midpoint of 50 percent.

On the downside, the 5-Year Bond (0.0 percent), the Eurodollar (0.5 percent) and the 10-Year Bond (5.5 percent) come in as the lowest strength scores currently. All three of these markets are in bearish extreme positions (below 20 percent) and are near the bottoms of their 3-Year ranges.

Strength Statistics:
Fed Funds (50.1 percent) vs Fed Funds previous week (52.3 percent)
2-Year Bond (25.4 percent) vs 2-Year Bond previous week (33.6 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (9.4 percent)
10-Year Bond (5.5 percent) vs 10-Year Bond previous week (14.5 percent)
Ultra 10-Year Bond (24.1 percent) vs Ultra 10-Year Bond previous week (22.3 percent)
US Treasury Bond (62.2 percent) vs US Treasury Bond previous week (67.9 percent)
Ultra US Treasury Bond (40.1 percent) vs Ultra US Treasury Bond previous week (31.7 percent)
Eurodollar (0.5 percent) vs Eurodollar previous week (0.1 percent)

10-Year, 5-Year & 2-Year lead Strength Trends sharply lower

Bonds Speculator Strength Score Trends (6-Weeks)

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bond (4.6 percent) leads the past six weeks trends for bonds and is the only positive score in the latest data.

The 10-Year Bond (-50.4 percent), the 5-Year Bond (-46.5 percent) and the 2-Year Bond (-44.1 percent) lead the downside trend scores. These three market trends are all sharply lower as the speculator sentiment has become much weaker.

Strength Trend Statistics:
Fed Funds (-3.6 percent) vs Fed Funds previous week (2.7 percent)
2-Year Bond (-44.1 percent) vs 2-Year Bond previous week (-35.7 percent)
5-Year Bond (-46.5 percent) vs 5-Year Bond previous week (-32.1 percent)
10-Year Bond (-50.4 percent) vs 10-Year Bond previous week (-41.5 percent)
Ultra 10-Year Bond (4.6 percent) vs Ultra 10-Year Bond previous week (0.6 percent)
US Treasury Bond (-8.7 percent) vs US Treasury Bond previous week (-9.1 percent)
Ultra US Treasury Bond (-4.1 percent) vs Ultra US Treasury Bond previous week (-19.6 percent)
Eurodollar (-3.9 percent) vs Eurodollar previous week (-2.8 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -2,857,402 contracts in the data reported through Tuesday. This was a weekly advance of 21,409 contracts from the previous week which had a total of -2,878,811 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.5 percent. The commercials are Bullish-Extreme with a score of 95.6 percent and the small traders (not shown in chart) are Bullish with a score of 61.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.869.05.6
– Percent of Open Interest Shorts:35.637.17.7
– Net Position:-2,857,4023,053,630-196,228
– Gross Longs:556,3796,613,120541,288
– Gross Shorts:3,413,7813,559,490737,516
– Long to Short Ratio:0.2 to 11.9 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.595.661.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.92.121.5

 

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 84,766 contracts in the data reported through Tuesday. This was a weekly decline of -17,884 contracts from the previous week which had a total of 102,650 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.1 percent. The commercials are Bullish with a score of 50.4 percent and the small traders (not shown in chart) are Bearish with a score of 43.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.871.32.0
– Percent of Open Interest Shorts:11.275.52.3
– Net Position:84,766-78,246-6,520
– Gross Longs:293,5311,328,26936,739
– Gross Shorts:208,7651,406,51543,259
– Long to Short Ratio:1.4 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.150.443.1
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.63.35.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -281,600 contracts in the data reported through Tuesday. This was a weekly decrease of -40,457 contracts from the previous week which had a total of -241,143 net contracts.

This 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 25.4 percent. The commercials are Bullish-Extreme with a score of 96.0 percent and the small traders (not shown in chart) are Bearish with a score of 20.7 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.583.07.4
– Percent of Open Interest Shorts:19.865.210.8
– Net Position:-281,600348,412-66,812
– Gross Longs:108,3971,631,374146,211
– Gross Shorts:389,9971,282,962213,023
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.496.020.7
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.145.25.0

 

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 -565,456 contracts in the data reported through Tuesday. This was a weekly fall of -61,931 contracts from the previous week which had a total of -503,525 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 97.9 percent and the small traders (not shown in chart) are Bearish with a score of 45.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.684.17.7
– Percent of Open Interest Shorts:19.666.910.9
– Net Position:-565,456694,381-128,925
– Gross Longs:227,4253,395,892312,291
– Gross Shorts:792,8812,701,511441,216
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.945.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-46.535.73.8

 

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 -440,103 contracts in the data reported through Tuesday. This was a weekly decline of -58,934 contracts from the previous week which had a total of -381,169 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 5.5 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bullish with a score of 51.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.879.59.4
– Percent of Open Interest Shorts:19.263.812.7
– Net Position:-440,103558,958-118,855
– Gross Longs:241,8722,829,749334,948
– Gross Shorts:681,9752,270,791453,803
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.588.351.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-50.445.9-13.0

 

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 -17,986 contracts in the data reported through Tuesday. This was a weekly lift of 7,103 contracts from the previous week which had a total of -25,089 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.1 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bullish with a score of 56.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.280.110.0
– Percent of Open Interest Shorts:6.570.518.2
– Net Position:-17,986124,783-106,797
– Gross Longs:66,8301,039,205129,753
– Gross Shorts:84,816914,422236,550
– Long to Short Ratio:0.8 to 11.1 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.172.356.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.6-6.34.5

 

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 -68,834 contracts in the data reported through Tuesday. This was a weekly lowering of -17,703 contracts from the previous week which had a total of -51,131 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.2 percent. The commercials are Bearish with a score of 25.2 percent and the small traders (not shown in chart) are Bullish with a score of 74.8 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.473.314.1
– Percent of Open Interest Shorts:11.970.011.8
– Net Position:-68,83440,78928,045
– Gross Longs:78,532903,487173,323
– Gross Shorts:147,366862,698145,278
– Long to Short Ratio:0.5 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.225.274.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.76.37.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -355,794 contracts in the data reported through Tuesday. This was a weekly boost of 20,439 contracts from the previous week which had a total of -376,233 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 40.1 percent. The commercials are Bullish with a score of 73.1 percent and the small traders (not shown in chart) are Bullish with a score of 51.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.681.710.8
– Percent of Open Interest Shorts:31.358.48.5
– Net Position:-355,794323,16432,630
– Gross Longs:77,8991,132,704150,042
– Gross Shorts:433,693809,540117,412
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.173.151.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.17.6-3.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

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