Archive for Bonds – Page 12

29 Apr

Bonds Speculators push their 5-Year Bond bets to most bearish on record

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 April 25th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the 2-Year Bonds (28,607 contracts) with the Fed Funds (28,111 contracts), the US Treasury Bonds (19,560 contracts), the Ultra 10-Year Bonds (15,667 contracts), the Eurodollar (8,395 contracts) and the Ultra Treasury Bonds (1,016 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-114,786 contracts), the SOFR 3-Months (-89,967 contracts) and the 10-Year Bonds (-60,180 contracts) seeing lower bets on the week.

Speculators push their 5-Year Bond bets to most bearish on record

Highlighting the COT bond’s data this week is the historic weakness in the 5-Year Bonds speculator net contracts. Large speculative 5-Year Bond positions dropped sharply this week by over -114,000 net contracts, marking the largest decline in 20 weeks and have now decreased in four out of the past six weeks. The 5-Year net positions have fallen by a total of -312,076 contracts over the past six-week period, going from a total of -557,212 contracts on March 14th to a total net position of -869,288 contracts this week.

This bearishness has pushed the net position to the most bearish level in history, according to CFTC data that goes back to 1988. The previous record bearish position was a total of -867,556 contracts that took place on August 7th of 2018 and coincided with an almost exact bottom in the 5-Year Bond futures price (see image below comparing the price on dates of record bearish levels).

The 5-Year Bond futures price has not followed along lately with the extreme bearishness of the speculators in this case and has potentially already bottomed with a low of 105.14 in October and a more recent dip to 106.02 in March. The 5-Year futures closed this week higher near the 109.24 level and about 3.25 percent higher than the most recent low in March. In terms of bond yields, the 5-Year yield is currently trading at the 3.48 percent level and also down from a recent high of 4.37 percent in March. Only time will tell if the 5-Year Bond price has bottomed (and yields have topped out) with the future paths of the US Federal Reserve and the US economy likely weighing heavily on the future direction.

Chart by TradingView
Data Snapshot of Bond Market Traders | Columns Legend
Apr-25-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar604,7220-42,8367352,68223-9,84697
FedFunds1,909,06781-90,60828103,00672-12,39867
2-Year2,719,44185-546,30719486,7577659,55084
Long T-Bond1,193,35855-97,3685326,6982070,670100
10-Year4,362,22290-740,2610685,2169555,04597
5-Year4,576,091100-869,2880837,20910032,07990

 

Strength Scores led by Eurodollar & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (73 percent) and the US Treasury Bonds (53 percent) lead the bond markets this week. The SOFR 3-Months (36 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the Ultra 10-Year Bonds (3 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.4 percent) vs Fed Funds previous week (25.0 percent)
2-Year Bond (19.2 percent) vs 2-Year Bond previous week (15.5 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.9 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (6.5 percent)
Ultra 10-Year Bond (3.3 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (52.9 percent) vs US Treasury Bond previous week (46.5 percent)
Ultra US Treasury Bond (19.6 percent) vs Ultra US Treasury Bond previous week (19.1 percent)
Eurodollar (72.9 percent) vs Eurodollar previous week (72.7 percent)
SOFR 3-Months (36.5 percent) vs SOFR 3-Months previous week (43.8 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (19 percent) and the US Treasury Bonds (17 percent) lead the past six weeks trends for bonds.

The 5-Year Bond (-32.3 percent) leads the downside trend scores currently with the SOFR 3-Months (-31 percent) and the 10-Year Bonds (-25 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.2 percent) vs Fed Funds previous week (15.2 percent)
2-Year Bond (-1.9 percent) vs 2-Year Bond previous week (5.5 percent)
5-Year Bond (-32.3 percent) vs 5-Year Bond previous week (-10.2 percent)
10-Year Bond (-25.3 percent) vs 10-Year Bond previous week (-13.5 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (-3.0 percent)
US Treasury Bond (17.1 percent) vs US Treasury Bond previous week (18.3 percent)
Ultra US Treasury Bond (19.4 percent) vs Ultra US Treasury Bond previous week (11.3 percent)
Eurodollar (15.9 percent) vs Eurodollar previous week (23.1 percent)
SOFR 3-Months (-31.3 percent) vs SOFR 3-Months previous week (43.8 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -42,836 contracts in the data reported through Tuesday. This was a weekly lift of 8,395 contracts from the previous week which had a total of -51,231 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.9 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.862.29.5
– Percent of Open Interest Shorts:33.953.511.2
– Net Position:-42,83652,682-9,846
– Gross Longs:162,210375,92457,705
– Gross Shorts:205,046323,24267,551
– Long to Short Ratio:0.8 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.923.097.2
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.9-20.752.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -716,355 contracts in the data reported through Tuesday. This was a weekly decrease of -89,967 contracts from the previous week which had a total of -626,388 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.5 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.264.00.4
– Percent of Open Interest Shorts:21.756.40.5
– Net Position:-716,355722,508-6,153
– Gross Longs:1,351,6486,105,24641,555
– Gross Shorts:2,068,0035,382,73847,708
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.563.984.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.318.984.5

 

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 -90,608 contracts in the data reported through Tuesday. This was a weekly boost of 28,111 contracts from the previous week which had a total of -118,719 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.4 percent. The commercials are Bullish with a score of 72.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.779.72.2
– Percent of Open Interest Shorts:8.474.32.8
– Net Position:-90,608103,006-12,398
– Gross Longs:70,4411,520,81641,850
– Gross Shorts:161,0491,417,81054,248
– Long to Short Ratio:0.4 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.472.466.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-3.966.7

 

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 -546,307 contracts in the data reported through Tuesday. This was a weekly increase of 28,607 contracts from the previous week which had a total of -574,914 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.2 percent. The commercials are Bullish with a score of 75.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.881.08.2
– Percent of Open Interest Shorts:29.963.16.0
– Net Position:-546,307486,75759,550
– Gross Longs:265,7112,203,465221,675
– Gross Shorts:812,0181,716,708162,125
– Long to Short Ratio:0.3 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.275.884.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-3.418.5

 

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 -869,288 contracts in the data reported through Tuesday. This was a weekly decline of -114,786 contracts from the previous week which had a total of -754,502 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.784.17.9
– Percent of Open Interest Shorts:25.765.87.2
– Net Position:-869,288837,20932,079
– Gross Longs:307,6403,846,432359,672
– Gross Shorts:1,176,9283,009,223327,593
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.089.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-32.327.516.4

 

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 -740,261 contracts in the data reported through Tuesday. This was a weekly decline of -60,180 contracts from the previous week which had a total of -680,081 net contracts.

This 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 95.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.979.49.2
– Percent of Open Interest Shorts:25.963.77.9
– Net Position:-740,261685,21655,045
– Gross Longs:389,7283,462,741400,768
– Gross Shorts:1,129,9892,777,525345,723
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.296.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.311.830.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -190,916 contracts in the data reported through Tuesday. This was a weekly advance of 15,667 contracts from the previous week which had a total of -206,583 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.3 percent. The commercials are Bullish-Extreme with a score of 91.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.010.0
– Percent of Open Interest Shorts:20.563.214.9
– Net Position:-190,916269,304-78,388
– Gross Longs:137,5311,281,853160,380
– Gross Shorts:328,4471,012,549238,768
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.391.967.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.311.5-32.6

 

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 -97,368 contracts in the data reported through Tuesday. This was a weekly advance of 19,560 contracts from the previous week which had a total of -116,928 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.9 percent. The commercials are Bearish with a score of 20.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.877.914.8
– Percent of Open Interest Shorts:15.075.78.8
– Net Position:-97,36826,69870,670
– Gross Longs:81,222929,608176,053
– Gross Shorts:178,590902,910105,383
– Long to Short Ratio:0.5 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.920.1100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.1-30.123.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -397,985 contracts in the data reported through Tuesday. This was a weekly rise of 1,016 contracts from the previous week which had a total of -399,001 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.6 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.882.012.0
– Percent of Open Interest Shorts:33.757.78.4
– Net Position:-397,985347,57550,410
– Gross Longs:83,0531,171,201170,666
– Gross Shorts:481,038823,626120,256
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.676.790.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.4-23.22.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
26 Apr
trading

Corporate Bonds: “The Next Shoe to Drop”

“The neckline has been broken over the last few days”

By Elliott Wave International

A “calamity” is likely ahead for corporate bonds, says our head of global research, Murray Gunn.

Some of Murray’s analysis involves the head and shoulders, a classic technical chart pattern. In case you’re unfamiliar with it, here’s an illustration along with an explanation from one of our past publications:

A head-and-shoulders is a reversal pattern that consists of three price extremes. Market technicians refer to [them] as the left shoulder, head, and right shoulder. …it takes a break of the neckline to confirm a reversal… [and it’s] not just a bearish reversal formation. Inverted head-and-shoulders mark bottoms.

With that in mind, here’s a chart and commentary which Murray provided for the April Global Market Perspective, a monthly Elliott Wave International publication which covers 50-plus financial markets:

The chart … shows the relative performance of corporate bonds, as proxied by the iShares iBoxx $ Investment Grade Corporate Bond ETF (ticker LQD) versus the iShares 7-10 Year Treasury Bond ETF (ticker IEF). A distinct Head and Shoulders pattern exists where the neckline has been broken over the last few days. The corporate bond market has held in reasonably well over the last year, but we fully expect this sector to be the next shoe to drop.

Don’t count on the ratings services to provide timely warnings. In the past, downgraded ratings have sometimes come only after most if not all the damage was done.

Remember Enron? The company still had an “investment grade” rating just four days before it collapsed. Ratings services also missed the 1995 debacle at Barings Bank. Olympia and York of Canada is another historical example: the largest real estate developer in the world at the time had a AA rating on its debt in 1991. Less than a year later, it went bankrupt.

Getting back to the present, Murray Gunn also notes:

When … corporate loans are re-set this year, there are going to be a few deep breaths being taken, and more than a fair share of tightened sphincters!

And, speaking of chart patterns of financial markets, another way to monitor the bond market is to use Elliott wave analysis.

If you’d like to delve into the details of this method of analysis, read Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior. Here’s a quote from the book:

If indeed markets are patterned, and if those patterns have a recognizable geometry, then regardless of the variations allowed, certain price and time relationships are likely to recur. In fact, experience shows that they do.

It is our practice to try to determine in advance where the next move will likely take the market. One advantage of setting a target is that it gives a sort of backdrop against which to monitor the market’s actual path. This way, you are alerted quickly when something is wrong and can shift your interpretation to a more appropriate one if the market does not do what you expect. The second advantage of choosing a target well in advance is that it prepares you psychologically for buying when others are selling out in despair, and selling when others are buying confidently in a euphoric environment.

If you’d like to read the entire online version of Elliott Wave Principle: Key to Market Behavior, you may do so for free once you become a member of Club EWI, the world’s largest Elliott wave educational community. A Club EWI membership is also free.

Join now by following this link: Elliott Wave Principle: Key to Market Behavior — get free and instant access.

This article was syndicated by Elliott Wave International and was originally published under the headline Corporate Bonds: “The Next Shoe to Drop”. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

Bonds Financial News
23 Apr

Bonds Speculators drop their 10-Year Treasury bets to a 237-week low

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 April 18th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 5-Year Bonds & Eurodollar

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

Leading the gains for the bond markets was the Eurodollar (598,254 contracts) which, as noted last week, is being phased out and replaced by the Secured Overnight Financing Rate (SOFR 3-Months) contracts. The rise in Eurodollar bets was due to traders closing out their bearish positions while the SOFR 3-Months contracts saw a similar rise in bearish contracts this week.

The other markets with gains this week were the Fed Funds (48,557 contracts), the US Treasury Bonds (15,656 contracts), the 5-Year Bonds (7,479 contracts) and the Ultra Treasury Bonds (277 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-466,948 contracts) with the 2-Year Bonds (-78,073 contracts), the 10-Year Bonds (-41,044 contracts) and the Ultra 10-Year Bonds (-9,612 contracts) also registering lower bets on the week.

10-Year Bond Speculators drop bets to 237-week low

Highlighting the COT bond’s data this week is the weakness in the 10-Year Bonds speculator net contracts. Large speculative 10-Year Bond positions fell this week by over -40,000 net contracts and have declined for three straight weeks as well as in four out of the past five weeks. The 10-Year Bond net position has now seen a total of -172,715 contracts added to the existing bearish standing over this past five week period.

The 10-Year positions have now fallen (currently at -680,081 contracts) to the most bearish level since October 2nd of 2018, a span of 237 weeks from when the net position totaled -740,192 contracts.

Overall, the 10-Year speculator net positions have now been in a continuous bearish level for 80 straight weeks, dating back to October 12th of 2021 when the net position flipped from bullish to bearish. Since that time, the net position has steadily increased in bearishness (save for a couple of short pullbacks) as the sentiment for bonds has been decimated due to the US Federal Reserve raising their benchmark interest rate (to fight inflation). Despite the current outlook (Fed Rate Tool) that the Federal Reserve will likely only raise the interest rate one more time in May, speculators have continued to raise their bearish bets for the 10-Year.

The 10-Year front-month futures price, meanwhile, has not dropped back to the lowest levels of this cycle. The price closed at 114.15 this week and is almost 5 percent higher than the lows of October when prices dropped to the 108 levels.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-18-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar603,3100-51,2317347,522233,709100
FedFunds1,728,59466-118,71925130,56376-11,84468
2-Year2,642,31478-574,91416520,5588154,35682
Long T-Bond1,185,80254-116,9284746,2352770,693100
10-Year4,393,55992-680,0810638,7409041,34194
5-Year4,472,64299-754,5023716,6339337,86991

 

Strength Scores led by Eurodollar & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (73 percent) and the US Treasury Bonds (47 percent) lead the bond markets this week. The SOFR 3-Months (44 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the 5-Year Bonds (3 percent) and the 2-Year Bonds (16 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (25.0 percent) vs Fed Funds previous week (19.0 percent)
2-Year Bond (15.5 percent) vs 2-Year Bond previous week (25.5 percent)
5-Year Bond (3.0 percent) vs 5-Year Bond previous week (2.2 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (4.8 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (2.0 percent)
US Treasury Bond (46.5 percent) vs US Treasury Bond previous week (41.4 percent)
Ultra US Treasury Bond (19.1 percent) vs Ultra US Treasury Bond previous week (19.0 percent)
Eurodollar (72.7 percent) vs Eurodollar previous week (57.4 percent)
SOFR 3-Months (43.8 percent) vs SOFR 3-Months previous week (81.6 percent)

 

SOFR 3-Months & Eurodollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (44 percent) and the Eurodollar (23 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (18 percent) and are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-14 percent) and the 5-Year Bonds (-11 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (15.2 percent) vs Fed Funds previous week (0.5 percent)
2-Year Bond (5.5 percent) vs 2-Year Bond previous week (20.4 percent)
5-Year Bond (-11.2 percent) vs 5-Year Bond previous week (-12.4 percent)
10-Year Bond (-14.4 percent) vs 10-Year Bond previous week (-1.3 percent)
Ultra 10-Year Bond (-3.0 percent) vs Ultra 10-Year Bond previous week (1.1 percent)
US Treasury Bond (18.3 percent) vs US Treasury Bond previous week (14.4 percent)
Ultra US Treasury Bond (11.3 percent) vs Ultra US Treasury Bond previous week (9.9 percent)
Eurodollar (23.1 percent) vs Eurodollar previous week (9.0 percent)
SOFR 3-Months (43.8 percent) vs SOFR 3-Months previous week (54.2 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -51,231 contracts in the data reported through Tuesday. This was a weekly lift of 598,254 contracts from the previous week which had a total of -649,485 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.7 percent. The commercials are Bearish with a score of 22.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.360.611.1
– Percent of Open Interest Shorts:34.852.710.5
– Net Position:-51,23147,5223,709
– Gross Longs:158,876365,30867,086
– Gross Shorts:210,107317,78663,377
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.722.9100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.1-27.252.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -626,388 contracts in the data reported through Tuesday. This was a weekly lowering of -466,948 contracts from the previous week which had a total of -159,440 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 43.8 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.0 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.965.00.6
– Percent of Open Interest Shorts:20.558.30.6
– Net Position:-626,388627,991-1,603
– Gross Longs:1,301,6266,103,49354,601
– Gross Shorts:1,928,0145,475,50256,204
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.856.387.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.8-43.7-0.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -118,719 contracts in the data reported through Tuesday. This was a weekly rise of 48,557 contracts from the previous week which had a total of -167,276 net contracts.

This 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 25.0 percent. The commercials are Bullish with a score of 75.7 percent and the small traders (not shown in chart) are Bullish with a score of 67.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.179.72.4
– Percent of Open Interest Shorts:11.072.23.0
– Net Position:-118,719130,563-11,844
– Gross Longs:70,6941,377,90340,832
– Gross Shorts:189,4131,247,34052,676
– Long to Short Ratio:0.4 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.075.767.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.2-15.23.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -574,914 contracts in the data reported through Tuesday. This was a weekly decrease of -78,073 contracts from the previous week which had a total of -496,841 net contracts.

This 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 15.5 percent. The commercials are Bullish-Extreme with a score of 80.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.682.28.4
– Percent of Open Interest Shorts:30.462.56.3
– Net Position:-574,914520,55854,356
– Gross Longs:227,6522,173,300221,790
– Gross Shorts:802,5661,652,742167,434
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.580.681.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.5-11.518.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -754,502 contracts in the data reported through Tuesday. This was a weekly lift of 7,479 contracts from the previous week which had a total of -761,981 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.0 percent. The commercials are Bullish-Extreme with a score of 93.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.084.48.2
– Percent of Open Interest Shorts:22.968.47.4
– Net Position:-754,502716,63337,869
– Gross Longs:270,0633,775,123366,773
– Gross Shorts:1,024,5653,058,490328,904
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.093.391.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.2-1.931.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -680,081 contracts in the data reported through Tuesday. This was a weekly lowering of -41,044 contracts from the previous week which had a total of -639,037 net contracts.

This 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 90.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.878.39.0
– Percent of Open Interest Shorts:26.263.78.1
– Net Position:-680,081638,74041,341
– Gross Longs:473,0723,439,022395,955
– Gross Shorts:1,153,1532,800,282354,614
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.090.193.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.4-4.139.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -206,583 contracts in the data reported through Tuesday. This was a weekly lowering of -9,612 contracts from the previous week which had a total of -196,971 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 Bearish-Extreme with a score of 0.0 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 66.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.779.810.3
– Percent of Open Interest Shorts:21.562.015.3
– Net Position:-206,583286,593-80,010
– Gross Longs:140,1071,286,225166,166
– Gross Shorts:346,690999,632246,176
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.666.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.0-4.420.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -116,928 contracts in the data reported through Tuesday. This was a weekly boost of 15,656 contracts from the previous week which had a total of -132,584 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.5 percent. The commercials are Bearish with a score of 27.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.879.014.8
– Percent of Open Interest Shorts:15.775.18.9
– Net Position:-116,92846,23570,693
– Gross Longs:69,031936,757175,995
– Gross Shorts:185,959890,522105,302
– Long to Short Ratio:0.4 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.527.1100.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.3-39.840.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -399,001 contracts in the data reported through Tuesday. This was a weekly gain of 277 contracts from the previous week which had a total of -399,278 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.1 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.582.511.9
– Percent of Open Interest Shorts:33.558.18.3
– Net Position:-399,001347,52151,480
– Gross Longs:78,0301,176,217169,143
– Gross Shorts:477,031828,696117,663
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.176.791.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-23.321.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
15 Apr

COT Bonds Speculators raise 3-Month SOFR bets as Eurodollars are phased out

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 April 11th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the SOFR 3-Months (41,837 contracts) with the 5-Year Bonds (19,258 contracts), the Ultra Treasury Bonds (8,480 contracts) and the 2-Year Bonds (5,214 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-20,036 contracts), the 10-Year Bonds (-18,006 contracts), the Eurodollar (-2,166 contracts), the US Treasury Bonds (-2,938 contracts) and the Ultra 10-Year Bonds (-10,494 contracts) also registering lower bets on the week.

SOFR contracts to replace Eurodollar contracts this week

Highlighting the COT bond’s data this week is an important week for the Secured Overnight Financing Rate (3-Months) or SOFR contracts. The SOFR contracts are relatively new on the scene as these futures only started in 2020. The SOFR contracts are in the process of taking the place of the Eurodollar contracts as the Eurodollars are being phased out and this week marks the last week for traders to use the Eurodollars contracts. Going forward, the Eurodollars contracts will be converted into 3-Month SOFRs and we will cease to have a Eurodollars futures contract.

The Eurodollars were the most traded and the highest open interest contract in the futures market for many years because it was a way for investors to express a view on short-term interest rates based on the London Interbank Offered Rate (LIBOR). However, LIBOR was fraught with controversy as it was a survey based on banks and was caught up in a manipulation scandal in 2012. In that scandal, bank participants colluded to move the LIBOR rate higher or lower and use that to their advantage.

The SOFR has taken precedence because it is calculated using actually market data (provided by the NY Fed Bank) instead of survey data. The SOFR data is from the US Dollar Treasury overnight repurchase agreement (REPO) transactions which are essentially loans between banks that are backed and collateralized by Treasury securities.

The SOFR contracts now have the highest open interest levels with these contracts exceeding over 10 million in open interest in March. To read more on the SOFRs and how to imply the SOFR interest rate from the futures contracts, see here.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-11-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,630,6510-649,48557801,07341-151,58871
FedFunds1,624,73057-167,27619175,87581-8,59974
2-Year2,531,96968-496,84125460,4137236,42873
Long T-Bond1,179,82352-132,5844169,5083563,07695
10-Year4,275,29384-639,0370622,6618816,37687
5-Year4,446,56697-761,9812722,7029439,27992

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (82 percent) and the Eurodollar (57 percent) lead the bond markets this week. The US Treasury Bonds (41 percent) comes in as the next highest in the weekly strength scores.

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

Strength Statistics:
Fed Funds (19.0 percent) vs Fed Funds previous week (21.4 percent)
2-Year Bond (25.5 percent) vs 2-Year Bond previous week (24.8 percent)
5-Year Bond (2.2 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (2.2 percent)
Ultra 10-Year Bond (1.2 percent) vs Ultra 10-Year Bond previous week (3.4 percent)
US Treasury Bond (41.4 percent) vs US Treasury Bond previous week (42.4 percent)
Ultra US Treasury Bond (19.0 percent) vs Ultra US Treasury Bond previous week (15.4 percent)
Eurodollar (57.4 percent) vs Eurodollar previous week (57.4 percent)
SOFR 3-Months (81.6 percent) vs SOFR 3-Months previous week (78.2 percent)

 

SOFR 3-Months & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (54 percent) and the 2-Year Bonds (20 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (14 percent) and the 5-Year Bonds (-12 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-1 percent) leads the downside trend scores currently with the Fed Funds (0 percent) and the Ultra 10-Year Bonds (1 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (0.5 percent) vs Fed Funds previous week (-7.1 percent)
2-Year Bond (20.4 percent) vs 2-Year Bond previous week (24.4 percent)
5-Year Bond (-12.4 percent) vs 5-Year Bond previous week (-20.8 percent)
10-Year Bond (-1.4 percent) vs 10-Year Bond previous week (-14.7 percent)
Ultra 10-Year Bond (1.2 percent) vs Ultra 10-Year Bond previous week (-9.8 percent)
US Treasury Bond (14.4 percent) vs US Treasury Bond previous week (8.2 percent)
Ultra US Treasury Bond (9.9 percent) vs Ultra US Treasury Bond previous week (-1.9 percent)
Eurodollar (9.0 percent) vs Eurodollar previous week (9.3 percent)
SOFR 3-Months (54.2 percent) vs SOFR 3-Months previous week (43.9 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 -649,485 contracts in the data reported through Tuesday. This was a weekly reduction of -2,166 contracts from the previous week which had a total of -647,319 net contracts.

This 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 57.4 percent. The commercials are Bearish with a score of 40.7 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.267.74.5
– Percent of Open Interest Shorts:20.350.47.7
– Net Position:-649,485801,073-151,588
– Gross Longs:288,6503,134,754207,022
– Gross Shorts:938,1352,333,681358,610
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.440.771.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-10.419.5

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -159,440 contracts in the data reported through Tuesday. This was a weekly advance of 41,837 contracts from the previous week which had a total of -201,277 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 Bullish-Extreme with a score of 81.6 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.157.70.5
– Percent of Open Interest Shorts:21.856.00.5
– Net Position:-159,440159,269171
– Gross Longs:1,920,6375,513,37548,102
– Gross Shorts:2,080,0775,354,10647,931
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.618.388.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.2-55.04.8

 

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 -167,276 contracts in the data reported through Tuesday. This was a weekly decline of -20,036 contracts from the previous week which had a total of -147,240 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.0 percent. The commercials are Bullish-Extreme with a score of 81.2 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.382.12.4
– Percent of Open Interest Shorts:12.671.32.9
– Net Position:-167,276175,875-8,599
– Gross Longs:37,1001,334,56938,360
– Gross Shorts:204,3761,158,69446,959
– Long to Short Ratio:0.2 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.081.274.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.5-1.314.0

 

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 -496,841 contracts in the data reported through Tuesday. This was a weekly advance of 5,214 contracts from the previous week which had a total of -502,055 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.5 percent. The commercials are Bullish with a score of 72.0 percent and the small traders (not shown in chart) are Bullish with a score of 73.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.782.38.1
– Percent of Open Interest Shorts:28.464.26.7
– Net Position:-496,841460,41336,428
– Gross Longs:221,1392,084,824205,672
– Gross Shorts:717,9801,624,411169,244
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.572.073.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.4-25.79.9

 

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 -761,981 contracts in the data reported through Tuesday. This was a weekly gain of 19,258 contracts from the previous week which had a total of -781,239 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.2 percent. The commercials are Bullish-Extreme with a score of 94.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.48.2
– Percent of Open Interest Shorts:24.267.27.3
– Net Position:-761,981722,70239,279
– Gross Longs:312,0763,708,958365,278
– Gross Shorts:1,074,0572,986,256325,999
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.294.091.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.41.925.4

 

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 -639,037 contracts in the data reported through Tuesday. This was a weekly reduction of -18,006 contracts from the previous week which had a total of -621,031 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.879.78.7
– Percent of Open Interest Shorts:24.765.18.3
– Net Position:-639,037622,66116,376
– Gross Longs:418,0803,405,619371,253
– Gross Shorts:1,057,1172,782,958354,877
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.088.487.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.4-11.628.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -196,971 contracts in the data reported through Tuesday. This was a weekly fall of -10,494 contracts from the previous week which had a total of -186,477 net contracts.

This 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 1.2 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.981.19.7
– Percent of Open Interest Shorts:20.363.414.9
– Net Position:-196,971280,480-83,509
– Gross Longs:126,5171,290,288153,890
– Gross Shorts:323,4881,009,808237,399
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.294.364.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-4.910.3

 

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 -132,584 contracts in the data reported through Tuesday. This was a weekly decrease of -2,938 contracts from the previous week which had a total of -129,646 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.4 percent. The commercials are Bearish with a score of 35.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.979.014.7
– Percent of Open Interest Shorts:17.273.19.4
– Net Position:-132,58469,50863,076
– Gross Longs:69,855932,461173,415
– Gross Shorts:202,439862,953110,339
– Long to Short Ratio:0.3 to 11.1 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.435.495.1
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.4-31.332.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -399,278 contracts in the data reported through Tuesday. This was a weekly rise of 8,480 contracts from the previous week which had a total of -407,758 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.0 percent. The commercials are Bullish with a score of 77.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.583.011.3
– Percent of Open Interest Shorts:33.858.37.7
– Net Position:-399,278348,66950,609
– Gross Longs:78,0231,172,982159,503
– Gross Shorts:477,301824,313108,894
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.077.290.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.9-21.821.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
08 Apr

Bond Speculators boost their 5-Year Bond bearish bets to highest level since 2018

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 April 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 2-Year Bonds & Fed Funds

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

Leading the gains for the bond markets was the 2-Year Bonds (23,422 contracts) with the Fed Funds (21,360 contracts) and the Ultra Treasury Bonds (14,018 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-154,078 contracts), the 10-Year Bonds (-149,453 contracts), the 5-Year Bonds (-98,884 contracts), the US Treasury Bonds (-38,247 contracts), the Eurodollar (-17,911 contracts) and the Ultra 10-Year Bonds (-34,673 contracts) also registering lower bets on the week.

Speculators boost their 5-Year Bond bearish bets to highest level since 2018

Highlighting the COT bond’s data this week is the renewed bearishness of the speculator positioning in the 5-Year Bonds contracts.

Large speculative positions for the 5-Year Bonds dropped sharply this week by the largest one-week amount of the past 17 weeks. Speculator bets have fallen for three straight weeks and in six out of the past seven weeks.

Prior to the past seven weeks, speculator bets had been improving and saw lessening bearish bets in seven out of the previous nine weeks that had brought the overall bearish level to a total of -589,391 contracts on February 14th. Since then a total of -191,848 contracts have been added back to the overall net bearish position – bringing this week’s total of -781,239 contracts to the most bearish standing since October 16th of 2018, a span dating back 233 weeks. The 5-Year Bond speculator positions have been in a continuous bearish position for the 84 consecutive weeks (since August 31st of 2021).

Despite the speculators bearishness this week, the 5-Year Bond futures price closed the week higher. The front month futures finished the week over the 110.20 level which marks the highest closing price since September and the 5-Year Bond futures have now risen for five out of the past six weeks.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-04-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,684,5640-647,31957820,93841-173,61966
FedFunds1,577,22553-147,24021156,92779-9,68772
2-Year2,351,68252-502,05525483,1707518,88565
Long T-Bond1,193,58356-129,6464282,2814047,36584
10-Year4,263,19583-621,0311618,359882,67284
5-Year4,493,575100-781,2390754,9709826,26988

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (78 percent) and the Eurodollar (57 percent) lead the bond markets this week. The US Treasury Bonds (42 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (1 percent), the Ultra 10-Year Bonds (3 percent) and the Ultra Treasury Bonds (15 percent) came in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (21.4 percent) vs Fed Funds previous week (18.8 percent)
2-Year Bond (24.8 percent) vs 2-Year Bond previous week (21.8 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.3 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (19.3 percent)
Ultra 10-Year Bond (3.4 percent) vs Ultra 10-Year Bond previous week (10.6 percent)
US Treasury Bond (42.4 percent) vs US Treasury Bond previous week (54.8 percent)
Ultra US Treasury Bond (15.4 percent) vs Ultra US Treasury Bond previous week (9.4 percent)
Eurodollar (57.4 percent) vs Eurodollar previous week (57.9 percent)
SOFR 3-Months (78.2 percent) vs SOFR 3-Months previous week (90.7 percent)

 

SOFR 3-Months & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (44 percent) and the 2-Year Bonds (24 percent) lead the past six weeks trends for bonds.

The 10-Year Bonds (-15 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-10 percent) and the Fed Funds (-7 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-7.1 percent) vs Fed Funds previous week (-6.9 percent)
2-Year Bond (24.4 percent) vs 2-Year Bond previous week (21.8 percent)
5-Year Bond (-20.8 percent) vs 5-Year Bond previous week (-10.6 percent)
10-Year Bond (-14.9 percent) vs 10-Year Bond previous week (11.3 percent)
Ultra 10-Year Bond (-9.8 percent) vs Ultra 10-Year Bond previous week (-6.4 percent)
US Treasury Bond (8.2 percent) vs US Treasury Bond previous week (30.5 percent)
Ultra US Treasury Bond (-1.9 percent) vs Ultra US Treasury Bond previous week (-1.9 percent)
Eurodollar (9.3 percent) vs Eurodollar previous week (10.3 percent)
SOFR 3-Months (43.9 percent) vs SOFR 3-Months previous week (40.2 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -647,319 contracts in the data reported through Tuesday. This was a weekly decrease of -17,911 contracts from the previous week which had a total of -629,408 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.4 percent. The commercials are Bearish with a score of 41.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.967.65.1
– Percent of Open Interest Shorts:19.750.18.8
– Net Position:-647,319820,938-173,619
– Gross Longs:275,7243,168,706237,406
– Gross Shorts:923,0432,347,768411,025
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.441.266.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.3-10.417.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -201,277 contracts in the data reported through Tuesday. This was a weekly decline of -154,078 contracts from the previous week which had a total of -47,199 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.2 percent. The commercials are Bearish with a score of 22.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.2 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.157.90.9
– Percent of Open Interest Shorts:22.255.70.9
– Net Position:-201,277206,206-4,929
– Gross Longs:1,887,9735,451,41780,647
– Gross Shorts:2,089,2505,245,21185,576
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.222.185.2
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.9-43.1-5.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -147,240 contracts in the data reported through Tuesday. This was a weekly lift of 21,360 contracts from the previous week which had a total of -168,600 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 with a score of 21.4 percent. The commercials are Bullish with a score of 78.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.281.52.5
– Percent of Open Interest Shorts:11.671.63.1
– Net Position:-147,240156,927-9,687
– Gross Longs:35,2041,285,51338,653
– Gross Shorts:182,4441,128,58648,340
– Long to Short Ratio:0.2 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.478.972.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.16.310.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -502,055 contracts in the data reported through Tuesday. This was a weekly boost of 23,422 contracts from the previous week which had a total of -525,477 net contracts.

This 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 24.8 percent. The commercials are Bullish with a score of 75.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.684.88.3
– Percent of Open Interest Shorts:26.964.37.5
– Net Position:-502,055483,17018,885
– Gross Longs:131,3691,994,892194,214
– Gross Shorts:633,4241,511,722175,329
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.875.364.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.4-24.7-8.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -781,239 contracts in the data reported through Tuesday. This was a weekly decrease of -98,884 contracts from the previous week which had a total of -682,355 net contracts.

This 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 97.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.284.48.2
– Percent of Open Interest Shorts:23.567.67.6
– Net Position:-781,239754,97026,269
– Gross Longs:276,4323,791,191366,353
– Gross Shorts:1,057,6713,036,221340,084
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.888.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.814.516.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -621,031 contracts in the data reported through Tuesday. This was a weekly decline of -149,453 contracts from the previous week which had a total of -471,578 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.9 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.78.8
– Percent of Open Interest Shorts:23.266.28.7
– Net Position:-621,031618,3592,672
– Gross Longs:366,7933,440,398374,033
– Gross Shorts:987,8242,822,039371,361
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.987.984.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.93.122.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -186,477 contracts in the data reported through Tuesday. This was a weekly decline of -34,673 contracts from the previous week which had a total of -151,804 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 3.4 percent. The commercials are Bullish-Extreme with a score of 94.0 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.880.310.8
– Percent of Open Interest Shorts:19.662.616.7
– Net Position:-186,477279,297-92,820
– Gross Longs:122,7711,268,053171,348
– Gross Shorts:309,248988,756264,168
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.494.058.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.813.4-9.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -129,646 contracts in the data reported through Tuesday. This was a weekly reduction of -38,247 contracts from the previous week which had a total of -91,399 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.4 percent. The commercials are Bearish with a score of 39.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.679.113.9
– Percent of Open Interest Shorts:17.472.39.9
– Net Position:-129,64682,28147,365
– Gross Longs:78,208944,657165,747
– Gross Shorts:207,854862,376118,382
– Long to Short Ratio:0.4 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.439.983.6
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.2-15.313.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -407,758 contracts in the data reported through Tuesday. This was a weekly increase of 14,018 contracts from the previous week which had a total of -421,776 net contracts.

This 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 15.4 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.183.111.7
– Percent of Open Interest Shorts:34.058.17.8
– Net Position:-407,758353,31354,445
– Gross Longs:71,9161,171,667164,167
– Gross Shorts:479,674818,354109,722
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.479.494.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-5.115.1

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
01 Apr

Bonds Speculators raised their 10-Year Bond bets to best level in 11-weeks

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 10-Year Bonds (99,451 contracts) with the SOFR 3-Months (35,598 contracts), the Ultra Treasury Bonds (22,186 contracts), Eurodollar (8,563 contracts), US Treasury Bonds (8,014 contracts), and the Ultra 10-Year Bonds (6,322 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-144,248 contracts), the 2-Year Bonds (-61,280 contracts) and the 5-Year Bonds (-50,787 contracts) also having lower bets on the week.

10-Year Bond Speculator bets improve to best level in 11-weeks

Highlighting the COT bond’s data this week is the recent improvement of the speculator positioning in the 10-Year Bonds contracts. Large speculative positions for the 10-Year Bonds rose this week by the largest amount of the past 27 weeks and the weekly bets have now been higher in three out of the past five weeks as well as five out of the past seven weeks.

The 10-Year Bond speculator net positions, overall, have been in a continuous bearish position for the past 76 weeks (since October of 2021). The bearish bets have accelerated over the past year in conjunction with the Federal Reserve’s interest rate hiking campaign to tame inflation. The 10-Year Bonds spec position recently hit a 230-week low of -627,947 contracts on February 28th, marking the lowest level dating back to October of 2018 and potentially the low for this cycle.

Since then, the 10-Year Bond speculator positions have taken +156,369 contracts off of the bearish standing and leveled this week at a total of -471,578 contracts which marks the least bearish level of the past eleven weeks. The 10-Year Bond’s speculator strength score level remains depressed in a bearish-extreme standing of 19.3 percent (compared to its 3-year range) but its 6-week strength score trend has shown an improvement by 11.3 percent.

The 10-Year Bond futures price dipped this week after showing gains in the previous four straight weeks. The front month futures price closed at approximately the 114.30 level, just below its 50-day moving average but up over 4 percent from the 2023 low of 110.125.

Data Snapshot of Bond Market Traders | Columns Legend
Mar-28-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,708,9920-629,40858815,49941-186,09164
FedFunds1,779,64770-168,60019174,03381-5,43380
2-Year2,356,31852-525,47722504,3957821,08266
Long T-Bond1,201,69958-91,3995521,6861869,713100
10-Year4,127,91774-471,57819436,4976835,08192
5-Year4,378,90099-682,3556628,1788354,17796

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (91 percent) and the Eurodollar (58 percent) lead the bond markets this week. The US Treasury Bonds (55 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (6 percent), the Ultra Treasury Bonds (9 percent), the Ultra 10-Year Bonds (11 percent), the Fed Funds (18.8 percent) and the 10-Year Bonds (19 percent) came in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (18.8 percent) vs Fed Funds previous week (36.6 percent)
2-Year Bond (21.8 percent) vs 2-Year Bond previous week (29.6 percent)
5-Year Bond (6.1 percent) vs 5-Year Bond previous week (12.2 percent)
10-Year Bond (19.3 percent) vs 10-Year Bond previous week (7.0 percent)
Ultra 10-Year Bond (10.6 percent) vs Ultra 10-Year Bond previous week (9.3 percent)
US Treasury Bond (54.8 percent) vs US Treasury Bond previous week (52.2 percent)
Ultra US Treasury Bond (9.4 percent) vs Ultra US Treasury Bond previous week (0.0 percent)
Eurodollar (57.9 percent) vs Eurodollar previous week (57.7 percent)
SOFR 3-Months (90.7 percent) vs SOFR 3-Months previous week (87.8 percent)

SOFR 3-Months & US Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (40 percent) and the US Treasury Bonds (31 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (22 percent) are the next highest positive movers in the latest trends data.

The 5-Year Bond (-11.2 percent) and the Fed Funds (-7 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-6 percent) and the Ultra Treasury Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-6.9 percent) vs Fed Funds previous week (5.2 percent)
2-Year Bond (21.8 percent) vs 2-Year Bond previous week (24.8 percent)
5-Year Bond (-11.2 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (11.3 percent) vs 10-Year Bond previous week (1.8 percent)
Ultra 10-Year Bond (-6.4 percent) vs Ultra 10-Year Bond previous week (-6.7 percent)
US Treasury Bond (30.5 percent) vs US Treasury Bond previous week (26.5 percent)
Ultra US Treasury Bond (-1.9 percent) vs Ultra US Treasury Bond previous week (-10.3 percent)
Eurodollar (10.3 percent) vs Eurodollar previous week (10.2 percent)
SOFR 3-Months (40.2 percent) vs SOFR 3-Months previous week (10.2 percent)

Individual Bond Markets:

Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -629,408 contracts in the data reported through Tuesday. This was a weekly rise of 8,563 contracts from the previous week which had a total of -637,971 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 57.9 percent. The commercials are Bearish with a score of 41.1 percent and the small traders (not shown in chart) are Bullish with a score of 63.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.167.25.1
– Percent of Open Interest Shorts:20.449.99.0
– Net Position:-629,408815,499-186,091
– Gross Longs:332,4233,163,717238,646
– Gross Shorts:961,8312,348,218424,737
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.941.163.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.3-11.013.2

 

Secured Overnight Financing Rate (SOFR 3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -47,199 contracts in the data reported through Tuesday. This was a weekly gain of 35,598 contracts from the previous week which had a total of -82,797 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 90.7 percent. The commercials are Bearish-Extreme with a score of 9.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.356.50.8
– Percent of Open Interest Shorts:21.856.00.8
– Net Position:-47,19952,561-5,362
– Gross Longs:2,001,1245,319,82773,750
– Gross Shorts:2,048,3235,267,26679,112
– Long to Short Ratio:1.0 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.79.684.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:40.2-39.6-3.5

 

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 -168,600 contracts in the data reported through Tuesday. This was a weekly fall of -144,248 contracts from the previous week which had a total of -24,352 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.8 percent. The commercials are Bullish-Extreme with a score of 81.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.581.71.9
– Percent of Open Interest Shorts:13.071.92.2
– Net Position:-168,600174,033-5,433
– Gross Longs:62,6641,454,31533,575
– Gross Shorts:231,2641,280,28239,008
– Long to Short Ratio:0.3 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.881.080.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.95.915.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -525,477 contracts in the data reported through Tuesday. This was a weekly reduction of -61,280 contracts from the previous week which had a total of -464,197 net contracts.

This 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 21.8 percent. The commercials are Bullish with a score of 78.3 percent and the small traders (not shown in chart) are Bullish with a score of 65.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.785.28.3
– Percent of Open Interest Shorts:28.063.87.4
– Net Position:-525,477504,39521,082
– Gross Longs:133,3762,007,134196,052
– Gross Shorts:658,8531,502,739174,970
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.878.365.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.8-21.1-10.9

 

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 -682,355 contracts in the data reported through Tuesday. This was a weekly reduction of -50,787 contracts from the previous week which had a total of -631,568 net contracts.

This 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 6.1 percent. The commercials are Bullish-Extreme with a score of 82.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.882.58.6
– Percent of Open Interest Shorts:23.468.17.4
– Net Position:-682,355628,17854,177
– Gross Longs:343,2413,611,307377,097
– Gross Shorts:1,025,5962,983,129322,920
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.182.995.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.21.422.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -471,578 contracts in the data reported through Tuesday. This was a weekly rise of 99,451 contracts from the previous week which had a total of -571,029 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.3 percent. The commercials are Bullish with a score of 68.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.478.69.2
– Percent of Open Interest Shorts:21.968.08.3
– Net Position:-471,578436,49735,081
– Gross Longs:430,5983,245,247379,666
– Gross Shorts:902,1762,808,750344,585
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.368.092.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-24.633.0

 

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 -151,804 contracts in the data reported through Tuesday. This was a weekly advance of 6,322 contracts from the previous week which had a total of -158,126 net contracts.

This 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 10.6 percent. The commercials are Bullish-Extreme with a score of 84.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.879.110.9
– Percent of Open Interest Shorts:18.564.216.1
– Net Position:-151,804232,397-80,593
– Gross Longs:136,4411,232,587170,563
– Gross Shorts:288,2451,000,190251,156
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.684.066.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.42.212.0

 

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 -91,399 contracts in the data reported through Tuesday. This was a weekly boost of 8,014 contracts from the previous week which had a total of -99,413 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.8 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.876.614.4
– Percent of Open Interest Shorts:16.474.88.6
– Net Position:-91,39921,68669,713
– Gross Longs:105,219920,469172,685
– Gross Shorts:196,618898,783102,972
– Long to Short Ratio:0.5 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.818.3100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:30.5-51.136.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -421,776 contracts in the data reported through Tuesday. This was a weekly rise of 22,186 contracts from the previous week which had a total of -443,962 net contracts.

This 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 9.4 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.9 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.883.012.0
– Percent of Open Interest Shorts:34.657.47.9
– Net Position:-421,776363,69758,079
– Gross Longs:68,5401,175,863170,261
– Gross Shorts:490,316812,166112,182
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.484.597.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-3.311.3

 

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 Opinions
26 Mar

COT Bonds Speculators boosting 2-Year Bond bets after record low

By InvestMacro

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

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

* This COT data is fully up-to-date after weeks of delays due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). The hacking incident had disrupted the ability for the CFTC to report large trader positions.

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

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

Leading the gains for the bond markets was the 2-Year Bonds (67,316 contracts) with the Fed Funds (64,355 contracts), US Treasury Bonds (50,579 contracts), the Ultra 10-Year Bonds (34,396 contracts) and the Eurodollar (23,399 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-74,356 contracts), the 10-Year Bonds (-63,663 contracts) and the Ultra Treasury Bonds (-436 contracts) also registering lower bets on the week.

2-Year Bonds bets rising after record low

Highlighting the COT bond’s data this week is the rapid improvement of the speculator positioning in the 2-Year Bonds. Large speculative positions for the 2-Year Bond rose this week for a fifth consecutive week and by a total of 232,489 contracts in just the past five weeks. The 2-Year Bond speculator positions hit an all-time record low of -696,686 net contracts on February 14th before starting this recent five-week positive streak that has taken the current net position down to -464,197 contracts. This week’s net position marks the least bearish level of the past nine weeks.

The 2-Year Bond futures price have rebounded sharply over the past month due to a combination of a banking crisis and the sentiment that the Federal Reserve will slow or pause the pace of interest rate increases. According to the CME FedWatch Tool at the current time, traders expect the Fed to raise interest rates by 25 basis points in May but as the calendar progresses, traders are starting to forecast that the Fed will be cutting rates before the end of this year. Rate cuts would positively effect the bonds markets and especially the 2-Year as it is heavily influenced by Fed policy on the shorter end of the yield curve. This week the 2-Year Bond futures price closed near 103.29 and at the highest close since September.

Data Snapshot of Bond Market Traders | Columns Legend
Mar-21-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,779,1040-637,97158833,86942-195,89861
FedFunds1,847,79276-24,3523730,57864-6,22679
2-Year2,314,66449-464,19730444,0967020,10165
Long T-Bond1,235,09767-99,4135243,6172655,796100
10-Year4,155,76476-571,0297540,0677930,96291
5-Year4,350,30297-631,56812626,445835,12382

 

Strength Scores led by Eurodollar & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (58 percent) and the US Treasury Bonds (52 percent) lead the bond markets this week. The Fed Funds (37 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra Treasury Bonds (0 percent), the 10-Year Bonds (7 percent) and the Ultra 10-Year Bonds (9 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (36.6 percent) vs Fed Funds previous week (28.7 percent)
2-Year Bond (29.6 percent) vs 2-Year Bond previous week (21.1 percent)
5-Year Bond (12.2 percent) vs 5-Year Bond previous week (21.2 percent)
10-Year Bond (7.0 percent) vs 10-Year Bond previous week (14.9 percent)
Ultra 10-Year Bond (9.3 percent) vs Ultra 10-Year Bond previous week (2.1 percent)
US Treasury Bond (52.2 percent) vs US Treasury Bond previous week (35.8 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (0.2 percent)
Eurodollar (57.7 percent) vs Eurodollar previous week (57.1 percent)

 

US Treasury Bonds & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (27 percent) and the 2-Year Bonds (25 percent) lead the past six weeks trends for bonds. The Eurodollar (10 percent) is the next highest positive movers in the latest trends data.

The Ultra Treasury Bonds (-10 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-7 percent) following next with a lower trend score.

Strength Trend Statistics:
Fed Funds (5.2 percent) vs Fed Funds previous week (-8.5 percent)
2-Year Bond (24.8 percent) vs 2-Year Bond previous week (5.8 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (21.2 percent)
10-Year Bond (1.8 percent) vs 10-Year Bond previous week (5.9 percent)
Ultra 10-Year Bond (-6.7 percent) vs Ultra 10-Year Bond previous week (-12.5 percent)
US Treasury Bond (26.5 percent) vs US Treasury Bond previous week (16.0 percent)
Ultra US Treasury Bond (-10.3 percent) vs Ultra US Treasury Bond previous week (-4.3 percent)
Eurodollar (10.2 percent) vs Eurodollar previous week (9.4 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -637,971 contracts in the data reported through Tuesday. This was a weekly lift of 23,399 contracts from the previous week which had a total of -661,370 net contracts.

This 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 57.7 percent. The commercials are Bearish with a score of 41.5 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:7.066.85.3
– Percent of Open Interest Shorts:20.449.49.4
– Net Position:-637,971833,869-195,898
– Gross Longs:334,8193,193,023251,700
– Gross Shorts:972,7902,359,154447,598
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.741.561.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.2-10.59.9

 

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 -24,352 contracts in the data reported through Tuesday. This was a weekly gain of 64,355 contracts from the previous week which had a total of -88,707 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.6 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.876.62.2
– Percent of Open Interest Shorts:10.174.92.6
– Net Position:-24,35230,578-6,226
– Gross Longs:161,9001,414,73841,466
– Gross Shorts:186,2521,384,16047,692
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.663.678.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.2-5.78.5

 

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 -464,197 contracts in the data reported through Tuesday. This was a weekly advance of 67,316 contracts from the previous week which had a total of -531,513 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.6 percent. The commercials are Bullish with a score of 69.7 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.384.68.1
– Percent of Open Interest Shorts:26.465.57.3
– Net Position:-464,197444,09620,101
– Gross Longs:146,5301,959,237188,296
– Gross Shorts:610,7271,515,141168,195
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.669.765.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.8-24.0-12.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -631,568 contracts in the data reported through Tuesday. This was a weekly lowering of -74,356 contracts from the previous week which had a total of -557,212 net contracts.

This 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 82.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.982.47.7
– Percent of Open Interest Shorts:23.568.07.6
– Net Position:-631,568626,4455,123
– Gross Longs:389,0003,586,593335,724
– Gross Shorts:1,020,5682,960,148330,601
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.282.782.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-1.4-6.8

 

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 -571,029 contracts in the data reported through Tuesday. This was a weekly reduction of -63,663 contracts from the previous week which had a total of -507,366 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.0 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.180.19.0
– Percent of Open Interest Shorts:22.967.18.2
– Net Position:-571,029540,06730,962
– Gross Longs:379,1043,329,656372,551
– Gross Shorts:950,1332,789,589341,589
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.079.391.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.8-12.724.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -158,126 contracts in the data reported through Tuesday. This was a weekly boost of 34,396 contracts from the previous week which had a total of -192,522 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.3 percent. The commercials are Bullish-Extreme with a score of 81.0 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.711.2
– Percent of Open Interest Shorts:19.863.815.0
– Net Position:-158,126218,538-60,412
– Gross Longs:153,8051,224,366176,050
– Gross Shorts:311,9311,005,828236,462
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.381.078.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.7-3.929.6

 

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 -99,413 contracts in the data reported through Tuesday. This was a weekly gain of 50,579 contracts from the previous week which had a total of -149,992 net contracts.

This 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 26.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.377.713.7
– Percent of Open Interest Shorts:16.474.29.2
– Net Position:-99,41343,61755,796
– Gross Longs:102,678959,632169,332
– Gross Shorts:202,091916,015113,536
– Long to Short Ratio:0.5 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.226.2100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.5-36.216.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -443,962 contracts in the data reported through Tuesday. This was a weekly fall of -436 contracts from the previous week which had a total of -443,526 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.484.611.0
– Percent of Open Interest Shorts:35.557.17.4
– Net Position:-443,962391,92752,035
– Gross Longs:62,3081,206,968157,069
– Gross Shorts:506,270815,041105,034
– Long to Short Ratio:0.1 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.191.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.34.614.8

 

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 Opinions
11 Mar

Bonds COT Charts: February 21st data shows Speculator bets led by 10-Year Bonds & US Treasury Bonds

By InvestMacro

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

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

*** This data is still a few weeks behind the current data because the CFTC up-to-date data has been delayed due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). This hack of ION has created a problem for the large trader positions to be reported and reconciled. The CFTC has back-filled some data over the past few weeks and will get the data back up to date in the coming weeks.

Weekly Speculator Changes led by 10-Year Bonds & US Treasury Bonds

The COT bond market speculator bets were higher through February 21st as six out of the eight bond markets we cover had higher positioning while the other two markets had lower speculator contracts.

Leading the gains for the bond markets was the 10-Year Bonds (62,275 contracts) with the US Treasury Bonds (30,404 contracts), the Fed Funds (22,320 contracts), the Ultra Treasury Bonds (14,048 contracts), Eurodollar (24,267 contracts) and the 2-Year Bonds (3,194 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-18,345 contracts) and the 5-Year Bonds (-9,858 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Feb-21-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,785,4340-1,008,528351,260,81664-252,28849
FedFunds1,810,07473-90,02429104,96973-14,94544
2-Year2,884,05371-693,4920657,11610036,37668
Long T-Bond1,307,31786-154,81634125,2855529,53186
10-Year4,335,63488-500,66011590,35792-89,69759
5-Year4,387,85184-599,24916631,38184-32,13272

 

Strength Scores led by Eurodollar & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (35 percent) and the US Treasury Bonds (34 percent) led the bond markets through February 21st. The Fed Funds (29 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), 2-Year Bonds (0 percent), 10-Year Bonds (11 percent), Ultra US Treasury Bond (13.4 percent) and the 5-Year Bond (16.1 percent) came in at the lowest strength levels and were in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.5 percent) vs Fed Funds previous week (25.8 percent)
2-Year Bond (0.4 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (16.1 percent) vs 5-Year Bond previous week (17.3 percent)
10-Year Bond (11.1 percent) vs 10-Year Bond previous week (3.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (4.4 percent)
US Treasury Bond (34.2 percent) vs US Treasury Bond previous week (24.3 percent)
Ultra US Treasury Bond (13.4 percent) vs Ultra US Treasury Bond previous week (7.1 percent)
Eurodollar (34.6 percent) vs Eurodollar previous week (34.1 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (3 percent) and the 5-Year Bonds (3 percent) led the past six weeks trends for bonds through February 21st. The Eurodollar (1 percent) is the next highest positive movers in the latest trends data.

The 2-Year Bonds (-30 percent) leads the downside trend scores currently with the Ultra Treasury Bonds (-14 percent) and the 10-Year Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (2.8 percent) vs Fed Funds previous week (-0.5 percent)
2-Year Bond (-30.3 percent) vs 2-Year Bond previous week (-22.3 percent)
5-Year Bond (2.9 percent) vs 5-Year Bond previous week (7.7 percent)
10-Year Bond (-11.6 percent) vs 10-Year Bond previous week (-23.4 percent)
Ultra 10-Year Bond (-10.0 percent) vs Ultra 10-Year Bond previous week (-2.0 percent)
US Treasury Bond (0.8 percent) vs US Treasury Bond previous week (-5.2 percent)
Ultra US Treasury Bond (-14.2 percent) vs Ultra US Treasury Bond previous week (-23.4 percent)
Eurodollar (0.9 percent) vs Eurodollar previous week (-0.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing the week came in at a net position of -1,008,528 contracts in the data reported through Tuesday February 21st. This was a weekly advance of 24,267 contracts from the previous week which had a total of -1,032,795 net contracts.

The 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 34.6 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.767.84.6
– Percent of Open Interest Shorts:27.146.18.9
– Net Position:-1,008,5281,260,816-252,288
– Gross Longs:561,3433,925,149263,818
– Gross Shorts:1,569,8712,664,333516,106
– Long to Short Ratio:0.4 to 11.5 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.663.748.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.90.0-10.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing the week came in at a net position of -90,024 contracts in the data reported through Tuesday February 21st. This was a weekly increase of 22,320 contracts from the previous week which had a total of -112,344 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.5 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.175.02.0
– Percent of Open Interest Shorts:13.169.22.9
– Net Position:-90,024104,969-14,945
– Gross Longs:146,3861,357,91036,925
– Gross Shorts:236,4101,252,94151,870
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.572.644.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.8-2.95.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing the week came in at a net position of -693,492 contracts in the data reported through Tuesday February 21st. This was a weekly increase of 3,194 contracts from the previous week which had a total of -696,686 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.4 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 68.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.779.411.3
– Percent of Open Interest Shorts:30.856.610.0
– Net Position:-693,492657,11636,376
– Gross Longs:193,9282,288,617325,019
– Gross Shorts:887,4201,631,501288,643
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.4100.068.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.328.114.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing the week came in at a net position of -599,249 contracts in the data reported through TuesdayFebruary 21st. This was a weekly decrease of -9,858 contracts from the previous week which had a total of -589,391 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.1 percent. The commercials are Bullish-Extreme with a score of 83.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.680.59.2
– Percent of Open Interest Shorts:21.266.29.9
– Net Position:-599,249631,381-32,132
– Gross Longs:331,3293,534,403401,556
– Gross Shorts:930,5782,903,022433,688
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.183.972.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.9-3.00.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing the week came in at a net position of -500,660 contracts in the data reported through Tuesday February 21st. This was a weekly rise of 62,275 contracts from the previous week which had a total of -562,935 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.1 percent. The commercials are Bullish-Extreme with a score of 91.6 percent and the small traders (not shown in chart) are Bullish with a score of 58.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.09.8
– Percent of Open Interest Shorts:21.363.411.9
– Net Position:-500,660590,357-89,697
– Gross Longs:423,1673,337,222425,774
– Gross Shorts:923,8272,746,865515,471
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.191.658.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.612.0-3.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing the week came in at a net position of -139,776 contracts in the data reported through Tuesday February 21st. This was a weekly decline of -18,345 contracts from the previous week which had a total of -121,431 net contracts.

The 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 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 75.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.774.713.2
– Percent of Open Interest Shorts:18.660.918.1
– Net Position:-139,776216,868-77,092
– Gross Longs:152,3551,175,266207,505
– Gross Shorts:292,131958,398284,597
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.075.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.06.011.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing the week came in at a net position of -154,816 contracts in the data reported through Tuesday February 21st. This was a weekly boost of 30,404 contracts from the previous week which had a total of -185,220 net contracts.

The 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 34.2 percent. The commercials are Bullish with a score of 55.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.674.315.5
– Percent of Open Interest Shorts:18.564.713.2
– Net Position:-154,816125,28529,531
– Gross Longs:86,475971,509202,158
– Gross Shorts:241,291846,224172,627
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.255.386.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.8-1.61.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing the week came in at a net position of -403,372 contracts in the data reported through Tuesday February 21st. This was a weekly lift of 14,048 contracts from the previous week which had a total of -417,420 net contracts.

The 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 85.4 percent and the small traders (not shown in chart) are Bullish with a score of 68.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.481.812.0
– Percent of Open Interest Shorts:32.357.69.4
– Net Position:-403,372363,97439,398
– Gross Longs:81,1671,228,622180,433
– Gross Shorts:484,539864,648141,035
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.485.468.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.212.55.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
10 Mar

Fed hawks won’t be satisfied with cooler February jobs report: deVere CEO

By George Prior

Even a cooler jobs report on Friday is unlikely to stop the Federal Reserve hiking interest rates further on March 22, warns the CEO and founder of one of the world’s largest independent financial advisory, asset management and fintech organizations.

The warning from Nigel Green of deVere Group comes as domestic and global financial markets hold their breath for the monthly US jobs report published on Friday 8:30 a.m. ET by the US Bureau of Labor Statistics.

He says: “This jobs report is being closely watched by investors around the world, after January’s gave analysts a massive surprise. It revealed the US economy had added more than half a million jobs and unemployment had fallen to a level not seen in more than five decades.

“All eyes are now on the February jobs data. We expect the US to have added around 225,000 in new jobs last month and the unemployment rate to remain at a 54-year low of 3.4%.

As this represents a cooling of the labor market, will the Fed impose only a quarter-point rate hike on March 22, rather than a half-point one?

“I doubt it,” says the deVere CEO. “Even a cooler jobs report on Friday is unlikely to stop the Federal Reserve hiking interest rates further later this month.

“Fed Chair Jerome Powell has been clear that officials are looking at ‘totality’ of the data. A couple of milder jobs reports won’t cut it for the central bank – especially following January’s bumper gains.  A drop of even 100,000 new jobs would not be enough to satisfy the Fed.

“We would need to have several months of weakening employment in order for the Fed to respond by taking its foot off the gas on rates.

“As such, we expect a half-point rate hike on March 22. Markets are set to tumble as a result.”

Whilst inflation remains a major headwind, Nigel Green says that investors should “remain alive to other metrics” in investment decision-making.

When costs are going up, investors should increasingly be looking at a company’s ability to maintain margin, he notes.

“Investors should be paying close attention to margin because it can indicate how well a company is managing costs and competing in its industry.

“It can also impact a corporation’s ability to invest in growth opportunities or pay dividends to shareholders.”

In a recent media note, the deVere chief said that sectors that can maintain margin, despite inflation and interest rate hikes are likely to include healthcare, luxury goods, energy and agriculture.

“A cooler February jobs report is not going to satisfy the Fed hawks, so investors must expect higher for longer rates and may need to rebalance their portfolios as a result.”

About:

deVere Group is one of the world’s largest independent advisors of specialist global financial solutions to international, local mass affluent, and high-net-worth clients.  It has a network of offices across the world, over 80,000 clients and $12bn under advisement.

Bonds Economics & Fundamentals Financial News
07 Mar

Fed’s Powell warns of higher rates, investors urged not to forget other metrics

By George Prior

Federal Reserve Chair Jerome Powell’s high-stakes appearance before Congress should act as a reminder to investors to consider other metrics besides inflation and interest rates, says the CEO and founder of one of the world’s largest independent financial advisory, asset management and fintech organizations.

The observation from deVere Group’s Nigel Green follows the US central bank chief telling lawmakers on Tuesday that it will likely raise interest rates more than expected amid strong economic data and that it is prepared to move more aggressively if the “totality” of fresh reports suggests stronger measures are needed to tame inflation.

In a hearing before the Senate Banking Committee, Mr Powell said: “The latest economic data have come in stronger than expected, which suggests that the ultimate level of interest rates is likely to be higher than previously anticipated… If the totality of the data were to indicate that faster tightening is warranted, we would be prepared to increase the pace of rate hikes.”

Following the hearing, Nigel Green noted: “Investors were looking for clues from Powell as to whether he favours another 25-basis point rate increase at the next Federal Open Market Committee meeting, or if he might consider a heftier 50-basis point increase.

“The Fed chair was perhaps more hawkish than many analysts had expected, and stocks tumbled after he warned that interest rates could remain higher for longer.”

He continues: “Despite the hawkish tone, when in the decision-making process, I remind investors that even though there’s still a way to go, we’re likely closer than we have been to getting back to the central bank’s target and would urge them to focus more on earnings and margin than on inflation and interest rate news.

“If you’re serious about building wealth, you should be looking at sectors and companies that can maintain margin despite inflation and interest rate hikes.

“Margin is an often overlooked yet important metric for investors to consider when evaluating investment opportunities. It can provide insight into the company’s profitability, efficiency, and competitive advantages, and can impact investor sentiment and stock prices.”

In this environment of higher rates for longer than had previously been anticipated, some companies are going to find it difficult to maintain margin and, as we have recently seen, are failing to report earnings as had been expected.

“In other words, if costs are going up firms can’t maintain margin, so that company is unlikely to be a good investment until things change,” noted the deVere CEO in a recent media note.

He identified four key sectors that he expects to be resilient in this current environment.

“We’re looking at sectors that can maintain margin, despite inflation and interest rate hikes. These include healthcare, luxury goods, energy and agriculture.

“Healthcare is a robust sector as people will always need to stay healthy – this has come into focus more than ever since the pandemic. Also, despite wider market volatility, there’s strong earnings potential due to ageing populations and other demographic changes. Plus, healthcare is becoming increasingly tech-driven, which offers fresh opportunities.”

He went on to say: “Luxury goods can maintain margin due to the inherent aspirational ‘elite and exclusive’ aspect of the sector.

“We’ll look at energy because there’s a shortage of energy in the world right now.

“Agriculture is another one as populations in emerging markets around the world are eating more meat. As they eat more meat, there needs to be more grain produced.”

As ever, it’s critical that investors ensure their portfolios are suitably diversified across asset classes, sectors, currencies and regions so as to make the most of the considerable opportunities that will inevitably present themselves.

Following Powell’s appearance on Capitol Hill on Tuesday, Nigel Green concludes: “Of course, investors shouldn’t dismiss the Fed’s signals about future rate hikes, but they must also consider other investment metrics too, in particular, margin.”

About:

deVere Group is one of the world’s largest independent advisors of specialist global financial solutions to international, local mass affluent, and high-net-worth clients.  It has a network of more than 70 offices across the world, over 80,000 clients and $12bn under advisement

Bonds Economics & Fundamentals Opinions
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