Archive for Bonds – Page 13

18 Jun

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

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

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

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

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

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend
Jun-14-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,327,8249-1,854,692192,223,30381-368,61123
FedFunds1,680,51252110,93153-115,511464,58071
2-Year2,012,00410-160,42250228,21170-67,78920
Long T-Bond1,188,80647-29,4007543,87032-14,47041
10-Year3,509,63930-205,52941374,01866-168,48940
5-Year3,889,42245-191,07150372,68159-181,61031

 

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.8 percent. The commercials are Bullish-Extreme with a score of 80.8 percent and the small traders (not shown in chart) are Bearish with a score of 23.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.068.94.4
– Percent of Open Interest Shorts:26.945.18.4
– Net Position:-1,854,6922,223,303-368,611
– Gross Longs:651,7506,428,169412,783
– Gross Shorts:2,506,4424,204,866781,394
– Long to Short Ratio:0.3 to 11.5 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.880.823.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.4-15.711.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of 110,931 contracts in the data reported through Tuesday. This was a weekly advance of 56,698 contracts from the previous week which had a total of 54,233 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.3 percent. The commercials are Bearish with a score of 45.9 percent and the small traders (not shown in chart) are Bullish with a score of 71.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.270.82.8
– Percent of Open Interest Shorts:6.677.62.5
– Net Position:110,931-115,5114,580
– Gross Longs:221,5961,189,10146,737
– Gross Shorts:110,6651,304,61242,157
– Long to Short Ratio:2.0 to 10.9 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.345.971.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.5-21.425.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -160,422 contracts in the data reported through Tuesday. This was a weekly gain of 10,067 contracts from the previous week which had a total of -170,489 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.9 percent. The commercials are Bullish with a score of 69.7 percent and the small traders (not shown in chart) are Bearish with a score of 20.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.777.37.1
– Percent of Open Interest Shorts:19.765.910.5
– Net Position:-160,422228,211-67,789
– Gross Longs:236,1151,554,892143,727
– Gross Shorts:396,5371,326,681211,516
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.969.720.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.3-3.820.3

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.7 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.1 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.680.87.8
– Percent of Open Interest Shorts:14.571.212.5
– Net Position:-191,071372,681-181,610
– Gross Longs:374,6013,141,449302,708
– Gross Shorts:565,6722,768,768484,318
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.758.831.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.5-16.72.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -205,529 contracts in the data reported through Tuesday. This was a weekly lift of 60,658 contracts from the previous week which had a total of -266,187 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.2 percent. The commercials are Bullish with a score of 66.3 percent and the small traders (not shown in chart) are Bearish with a score of 39.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.280.38.7
– Percent of Open Interest Shorts:13.169.713.5
– Net Position:-205,529374,018-168,489
– Gross Longs:253,4852,819,950305,184
– Gross Shorts:459,0142,445,932473,673
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.266.339.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.87.2-0.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -81,207 contracts in the data reported through Tuesday. This was a weekly fall of -5,373 contracts from the previous week which had a total of -75,834 net contracts.

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.583.711.0
– Percent of Open Interest Shorts:11.166.221.8
– Net Position:-81,207213,971-132,764
– Gross Longs:55,0471,027,514134,825
– Gross Shorts:136,254813,543267,589
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.795.236.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.7-2.9-11.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -29,400 contracts in the data reported through Tuesday. This was a weekly lowering of -34,363 contracts from the previous week which had a total of 4,963 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.0 percent. The commercials are Bearish with a score of 32.3 percent and the small traders (not shown in chart) are Bearish with a score of 41.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.776.813.1
– Percent of Open Interest Shorts:11.173.114.3
– Net Position:-29,40043,870-14,470
– Gross Longs:102,957912,867155,248
– Gross Shorts:132,357868,997169,718
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.032.341.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.012.73.3

 

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.284.111.4
– Percent of Open Interest Shorts:29.560.19.1
– Net Position:-341,601311,38630,215
– Gross Longs:41,1471,091,594147,658
– Gross Shorts:382,748780,208117,443
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.967.450.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.26.27.1

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
12 Jun

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

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

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

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

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

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend
Jun-07-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,409,83432-2,646,50243,023,49095-376,98821
FedFunds1,568,8234454,23346-47,93254-6,30144
2-Year2,002,13410-170,48948225,04069-54,55126
Long T-Bond1,193,131484,96386-5,6331867053
10-Year3,469,94828-266,18732426,52473-160,33742
5-Year3,784,73239-222,54744409,46363-186,91630

 

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.574.13.7
– Percent of Open Interest Shorts:29.045.07.4
– Net Position:-2,646,5023,023,490-376,988
– Gross Longs:367,4767,712,618389,949
– Gross Shorts:3,013,9784,689,128766,937
– Long to Short Ratio:0.1 to 11.6 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.295.121.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.3-3.514.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 54,233 contracts in the data reported through Tuesday. This was a weekly boost of 29,026 contracts from the previous week which had a total of 25,207 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.3 percent. The commercials are Bullish with a score of 54.1 percent and the small traders (not shown in chart) are Bearish with a score of 43.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.674.52.6
– Percent of Open Interest Shorts:6.177.53.0
– Net Position:54,233-47,932-6,301
– Gross Longs:149,8531,168,08940,470
– Gross Shorts:95,6201,216,02146,771
– Long to Short Ratio:1.6 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.354.143.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.9-2.819.2

 

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.079.87.2
– Percent of Open Interest Shorts:18.568.69.9
– Net Position:-170,489225,040-54,551
– Gross Longs:200,3071,598,627143,536
– Gross Shorts:370,7961,373,587198,087
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.869.125.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.49.016.5

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.2 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bearish with a score of 29.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.580.97.5
– Percent of Open Interest Shorts:15.470.112.4
– Net Position:-222,547409,463-186,916
– Gross Longs:359,7153,061,190283,380
– Gross Shorts:582,2622,651,727470,296
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.263.229.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.1-8.75.5

 

10-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.0 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.681.08.9
– Percent of Open Interest Shorts:13.368.713.5
– Net Position:-266,187426,524-160,337
– Gross Longs:195,1202,810,360307,456
– Gross Shorts:461,3072,383,836467,793
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.072.641.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.616.13.1

 

Ultra 10-Year Notes Futures:

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

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.581.811.1
– Percent of Open Interest Shorts:11.666.720.0
– Net Position:-75,834187,134-111,300
– Gross Longs:67,8841,015,640137,608
– Gross Shorts:143,718828,506248,908
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.188.348.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.5-3.612.2

 

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 86.2 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.574.814.1
– Percent of Open Interest Shorts:9.075.214.0
– Net Position:4,963-5,633670
– Gross Longs:112,838892,073168,164
– Gross Shorts:107,875897,706167,494
– Long to Short Ratio:1.0 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):86.218.353.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.9-1.215.1

 

Ultra US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.7 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 45.6 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.483.511.7
– Percent of Open Interest Shorts:28.060.79.8
– Net Position:-314,973290,77124,202
– Gross Longs:42,9571,067,607149,154
– Gross Shorts:357,930776,836124,952
– Long to Short Ratio:0.1 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.757.245.6
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.9-8.7-8.2

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
04 Jun
trading

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

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

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

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

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

 

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

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

Data Snapshot of Bond Market Traders | Columns Legend
May-31-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,374,10531-2,855,21603,260,72299-405,50615
FedFunds1,907,2356925,20743-17,30358-7,90440
2-Year2,219,49719-128,11856193,10362-64,98521
Long T-Bond1,212,0235119,761911,62721-21,38836
10-Year3,470,80828-238,90736411,18371-172,27639
5-Year3,804,71540-217,78845367,35558-149,56740

 

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.4 percent. The commercials are Bullish-Extreme with a score of 99.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.275.43.6
– Percent of Open Interest Shorts:30.744.07.5
– Net Position:-2,855,2163,260,722-405,506
– Gross Longs:332,8117,825,376371,699
– Gross Shorts:3,188,0274,564,654777,205
– Long to Short Ratio:0.1 to 11.7 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.499.315.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.54.86.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of 25,207 contracts in the data reported through Tuesday. This was a weekly reduction of -17,284 contracts from the previous week which had a total of 42,491 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.7 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bearish with a score of 39.6 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.275.91.9
– Percent of Open Interest Shorts:4.876.82.4
– Net Position:25,207-17,303-7,904
– Gross Longs:117,4071,448,06637,077
– Gross Shorts:92,2001,465,36944,981
– Long to Short Ratio:1.3 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.757.839.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.8-1.411.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -128,118 contracts in the data reported through Tuesday. This was a weekly reduction of -92,825 contracts from the previous week which had a total of -35,293 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.4 percent. The commercials are Bullish with a score of 62.1 percent and the small traders (not shown in chart) are Bearish with a score of 21.5 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.977.26.5
– Percent of Open Interest Shorts:17.668.59.4
– Net Position:-128,118193,103-64,985
– Gross Longs:263,5301,714,483143,470
– Gross Shorts:391,6481,521,380208,455
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.462.121.5
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.2-5.112.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -217,788 contracts in the data reported through Tuesday. This was a weekly decline of -97,261 contracts from the previous week which had a total of -120,527 net contracts.

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.181.47.5
– Percent of Open Interest Shorts:14.971.711.4
– Net Position:-217,788367,355-149,567
– Gross Longs:348,1193,096,723285,676
– Gross Shorts:565,9072,729,368435,243
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.058.139.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-15.916.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -238,907 contracts in the data reported through Tuesday. This was a weekly decrease of -13,783 contracts from the previous week which had a total of -225,124 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.1 percent. The commercials are Bullish with a score of 70.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.179.69.0
– Percent of Open Interest Shorts:14.067.814.0
– Net Position:-238,907411,183-172,276
– Gross Longs:245,5572,764,399313,090
– Gross Shorts:484,4642,353,216485,366
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.170.738.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-13.13.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -105,367 contracts in the data reported through Tuesday. This was a weekly fall of -6,442 contracts from the previous week which had a total of -98,925 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.881.811.9
– Percent of Open Interest Shorts:13.464.720.4
– Net Position:-105,367210,588-105,221
– Gross Longs:59,6431,010,524147,144
– Gross Shorts:165,010799,936252,365
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.494.352.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.35.05.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of 19,761 contracts in the data reported through Tuesday. This was a weekly reduction of -8,741 contracts from the previous week which had a total of 28,502 net contracts.

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.975.913.0
– Percent of Open Interest Shorts:8.375.814.7
– Net Position:19,7611,627-21,388
– Gross Longs:120,014920,309157,340
– Gross Shorts:100,253918,682178,728
– Long to Short Ratio:1.2 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):91.020.635.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.1-6.3-8.8

 

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.283.411.5
– Percent of Open Interest Shorts:27.261.19.9
– Net Position:-309,278287,59121,687
– Gross Longs:41,1901,074,846148,794
– Gross Shorts:350,468787,255127,107
– Long to Short Ratio:0.1 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.055.743.8
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.5-11.4-3.5

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
28 May

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

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

bonds-oi cot open interest

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

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

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

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

  • OI Strength = Current Open Interest level compared to last 3 years range
  • Spec Strength = Current Net Speculator level compared to last 3 years range
  • Strength Move = Six week change of Spec Strength
Data Snapshot of Bond Market Traders | Columns Legend
May-24-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,441,56633-2,832,78013,227,86099-395,08017
FedFunds1,859,0676542,49145-38,49355-3,99850
2-Year2,526,00032-35,29375106,85443-71,56119
Long T-Bond1,267,2446028,50294-11,22417-17,27839
10-Year3,662,62841-225,12438376,66567-151,54144
5-Year4,011,41252-120,52762292,04849-171,52134

 

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.8 percent. The commercials are Bullish-Extreme with a score of 98.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.475.43.7
– Percent of Open Interest Shorts:30.544.57.5
– Net Position:-2,832,7803,227,860-395,080
– Gross Longs:351,9097,877,754384,474
– Gross Shorts:3,184,6894,649,894779,554
– Long to Short Ratio:0.1 to 11.7 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.898.717.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.53.13.7

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of 42,491 contracts in the data reported through Tuesday. This was a weekly fall of -6,524 contracts from the previous week which had a total of 49,015 net contracts.

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.475.52.1
– Percent of Open Interest Shorts:4.177.52.3
– Net Position:42,491-38,493-3,998
– Gross Longs:119,2021,403,14439,289
– Gross Shorts:76,7111,441,63743,287
– Long to Short Ratio:1.6 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.955.249.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.0-2.633.5

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.1 percent. The commercials are Bearish with a score of 43.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.373.05.8
– Percent of Open Interest Shorts:15.768.88.7
– Net Position:-35,293106,854-71,561
– Gross Longs:361,6141,845,029147,143
– Gross Shorts:396,9071,738,175218,704
– Long to Short Ratio:0.9 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.143.218.8
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.2-11.4-1.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -120,527 contracts in the data reported through Tuesday. This was a weekly rise of 139,697 contracts from the previous week which had a total of -260,224 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.1 percent. The commercials are Bearish with a score of 48.9 percent and the small traders (not shown in chart) are Bearish with a score of 33.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.19.7
– Percent of Open Interest Shorts:13.169.814.0
– Net Position:-120,527292,048-171,521
– Gross Longs:405,4753,093,412388,207
– Gross Shorts:526,0022,801,364559,728
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.148.933.9
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:37.6-30.610.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -225,124 contracts in the data reported through Tuesday. This was a weekly decrease of -65,033 contracts from the previous week which had a total of -160,091 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.2 percent. The commercials are Bullish with a score of 66.6 percent and the small traders (not shown in chart) are Bearish with a score of 43.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.577.49.7
– Percent of Open Interest Shorts:13.667.113.8
– Net Position:-225,124376,665-151,541
– Gross Longs:273,6672,834,111354,203
– Gross Shorts:498,7912,457,446505,744
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.266.643.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.4-14.411.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -98,925 contracts in the data reported through Tuesday. This was a weekly fall of -1,088 contracts from the previous week which had a total of -97,837 net contracts.

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.380.911.9
– Percent of Open Interest Shorts:13.064.520.7
– Net Position:-98,925211,834-112,909
– Gross Longs:68,3051,044,490153,665
– Gross Shorts:167,230832,656266,574
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.194.647.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.30.320.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of 28,502 contracts in the data reported through Tuesday. This was a weekly fall of -3,505 contracts from the previous week which had a total of 32,007 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 93.9 percent. The commercials are Bearish-Extreme with a score of 16.6 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.272.814.0
– Percent of Open Interest Shorts:8.973.715.4
– Net Position:28,502-11,224-17,278
– Gross Longs:141,452922,729177,518
– Gross Shorts:112,950933,953194,796
– Long to Short Ratio:1.3 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):93.916.638.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.0-7.5-7.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -307,895 contracts in the data reported through Tuesday. This was a weekly fall of -13,336 contracts from the previous week which had a total of -294,559 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.6 percent. The commercials are Bullish with a score of 57.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.9 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.681.811.6
– Percent of Open Interest Shorts:25.860.910.3
– Net Position:-307,895290,25217,643
– Gross Longs:50,1531,136,228161,147
– Gross Shorts:358,048845,976143,504
– Long to Short Ratio:0.1 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.657.040.9
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.2-7.2-7.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
25 May

The Fed Giveth, The Fed Taketh Away

By Ino.com

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

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

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

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

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

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

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

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

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

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

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

Visit back to read my next article!

George Yacik
INO.com Contributor – Fed & Interest Rates

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

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

Source: The Fed Giveth, The Fed Taketh Away

Bonds Economics & Fundamentals Opinions
22 May

COT Bonds Futures Charts: Speculator bets mostly lower this week

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

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

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

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend
May-17-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,381,88332-2,874,45103,300,959100-426,50811
FedFunds1,796,4055849,01546-45,48454-3,53151
2-Year2,376,02426-134,63755209,07466-74,43718
Long T-Bond1,244,8235732,00795-14,57515-17,43239
10-Year3,666,41641-160,09148318,59260-158,50142
5-Year3,791,54037-260,22438417,62964-157,40538

 

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.6 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.276.03.7
– Percent of Open Interest Shorts:30.944.27.8
– Net Position:-2,874,4513,300,959-426,508
– Gross Longs:336,9587,889,274386,384
– Gross Shorts:3,211,4094,588,315812,892
– Long to Short Ratio:0.1 to 11.7 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.010.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.55.94.6

 

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.675.52.1
– Percent of Open Interest Shorts:2.878.02.3
– Net Position:49,015-45,484-3,531
– Gross Longs:100,0431,355,88937,674
– Gross Shorts:51,0281,401,37341,205
– Long to Short Ratio:2.0 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.754.450.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.6-5.316.5

 

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.076.65.8
– Percent of Open Interest Shorts:18.667.88.9
– Net Position:-134,637209,074-74,437
– Gross Longs:307,9511,818,876137,690
– Gross Shorts:442,5881,609,802212,127
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.165.617.6
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.68.010.7

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.5 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.981.17.5
– Percent of Open Interest Shorts:14.770.111.7
– Net Position:-260,224417,629-157,405
– Gross Longs:298,6153,074,092284,595
– Gross Shorts:558,8392,656,463442,000
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.564.237.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.7-16.515.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -160,091 contracts in the data reported through Tuesday. This was a weekly decline of -74,119 contracts from the previous week which had a total of -85,972 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.1 percent. The commercials are Bullish with a score of 59.7 percent and the small traders (not shown in chart) are Bearish with a score of 42.1 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.676.98.9
– Percent of Open Interest Shorts:12.968.213.2
– Net Position:-160,091318,592-158,501
– Gross Longs:314,6132,819,008325,049
– Gross Shorts:474,7042,500,416483,550
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.159.742.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:30.8-29.711.0

 

Ultra 10-Year Notes Futures:

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

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.681.612.2
– Percent of Open Interest Shorts:12.665.220.7
– Net Position:-97,837200,995-103,158
– Gross Longs:56,2091,000,137150,063
– Gross Shorts:154,046799,142253,221
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.491.853.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.6-8.220.7

 

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 95.0 percent. The commercials are Bearish-Extreme with a score of 15.5 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.772.512.3
– Percent of Open Interest Shorts:9.273.613.7
– Net Position:32,007-14,575-17,432
– Gross Longs:146,002902,140152,520
– Gross Shorts:113,995916,715169,952
– Long to Short Ratio:1.3 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):95.015.538.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.0-7.4-6.1

 

Ultra US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.1 percent. The commercials are Bearish with a score of 44.2 percent and the small traders (not shown in chart) are Bullish with a score of 50.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.781.811.6
– Percent of Open Interest Shorts:26.361.59.3
– Net Position:-294,559264,22230,337
– Gross Longs:48,0331,065,877151,667
– Gross Shorts:342,592801,655121,330
– Long to Short Ratio:0.1 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.144.250.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.8-21.45.2

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
15 May

COT Bonds Futures Charts: Speculator bets higher this week

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

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

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

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend
May-10-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,439,12433-2,600,58733,030,50497-429,91710
FedFunds1,750,4045549,16246-49,2665410460
2-Year2,264,77421-126,82957201,60964-74,78017
Long T-Bond1,207,5605015,45390-4,99119-10,46244
10-Year3,722,69745-85,97259268,37654-182,40436
5-Year3,813,67738-325,67426502,38375-176,70932

 

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.475.34.1
– Percent of Open Interest Shorts:28.346.38.2
– Net Position:-2,600,5873,030,504-429,917
– Gross Longs:356,1017,861,403422,820
– Gross Shorts:2,956,6884,830,899852,737
– Long to Short Ratio:0.1 to 11.6 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.396.69.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.33.2-0.4

 

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.975.22.3
– Percent of Open Interest Shorts:3.178.02.3
– Net Position:49,162-49,266104
– Gross Longs:103,2381,316,14739,627
– Gross Shorts:54,0761,365,41339,523
– Long to Short Ratio:1.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.753.960.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.8-10.353.3

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.7 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.177.36.2
– Percent of Open Interest Shorts:17.768.49.5
– Net Position:-126,829201,609-74,780
– Gross Longs:275,1531,751,572140,782
– Gross Shorts:401,9821,549,963215,562
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.763.917.4
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.78.711.6

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.1 percent. The commercials are Bullish with a score of 74.5 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.683.07.1
– Percent of Open Interest Shorts:16.269.911.8
– Net Position:-325,674502,383-176,709
– Gross Longs:291,5273,167,247271,640
– Gross Shorts:617,2012,664,864448,349
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.174.532.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.3-11.716.6

 

10-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.4 percent. The commercials are Bullish with a score of 53.8 percent and the small traders (not shown in chart) are Bearish with a score of 36.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.976.58.4
– Percent of Open Interest Shorts:13.269.213.3
– Net Position:-85,972268,376-182,404
– Gross Longs:406,1232,846,309313,590
– Gross Shorts:492,0952,577,933495,994
– Long to Short Ratio:0.8 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.453.836.2
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:59.4-46.2-0.3

 

Ultra 10-Year Notes Futures:

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

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.582.911.3
– Percent of Open Interest Shorts:12.266.320.3
– Net Position:-95,416207,218-111,802
– Gross Longs:56,7831,034,536141,487
– Gross Shorts:152,199827,318253,289
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.093.448.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.70.412.4

 

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 89.6 percent. The commercials are Bearish-Extreme with a score of 18.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.972.113.0
– Percent of Open Interest Shorts:9.672.513.8
– Net Position:15,453-4,991-10,462
– Gross Longs:131,916870,932156,698
– Gross Shorts:116,463875,923167,160
– Long to Short Ratio:1.1 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):89.618.544.3
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-0.61.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -311,513 contracts in the data reported through Tuesday. This was a weekly advance of 7,666 contracts from the previous week which had a total of -319,179 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.1 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 43.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.684.611.4
– Percent of Open Interest Shorts:28.261.69.8
– Net Position:-311,513290,65520,858
– Gross Longs:45,0841,069,894144,208
– Gross Shorts:356,597779,239123,350
– Long to Short Ratio:0.1 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.157.243.2
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.90.8-9.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
07 May

Interest Rates: The Warning That Few Wanted to Heed

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

By Elliott Wave International

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

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

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

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

Low Rates Forever!

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

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

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

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

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

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

So much for the “low forever” sentiment.

Indeed, on April 14, a Bloomberg headline said:

Corporate Bond Rout is So Severe History Books Need a Revision

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

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

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

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

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

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

Here’s a quote from this Wall Street classic:

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

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

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

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

Bonds Economics & Fundamentals Financial News
07 May

COT Futures: This Week’s Bond Markets Charts

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

COT_Bonds_OI

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

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

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

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

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

 

Data Snapshot of Bond Market Traders | Columns Legend
May-03-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar10,548,84435-2,688,10823,107,10398-418,99512
FedFunds1,662,06949-55,2533360,53267-5,27946
2-Year2,232,14818-129,17156245,74574-116,5740
Long T-Bond1,187,1514713,511895,06822-18,57938
10-Year3,680,76442-147,53750313,34459-165,80740
5-Year3,818,83638-318,93627509,72075-190,78429

 

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.6 percent. The commercials are Bullish-Extreme with a score of 98.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.474.64.0
– Percent of Open Interest Shorts:28.945.18.0
– Net Position:-2,688,1083,107,103-418,995
– Gross Longs:357,6977,864,603420,867
– Gross Shorts:3,045,8054,757,500839,862
– Long to Short Ratio:0.1 to 11.7 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.698.012.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.60.6-0.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -55,253 contracts in the data reported through Tuesday. This was a weekly fall of -94,206 contracts from the previous week which had a total of 38,953 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.8 percent. The commercials are Bullish with a score of 67.2 percent and the small traders (not shown in chart) are Bearish with a score of 46.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:1.580.22.0
– Percent of Open Interest Shorts:4.876.52.3
– Net Position:-55,25360,532-5,279
– Gross Longs:24,6081,332,70732,724
– Gross Shorts:79,8611,272,17538,003
– Long to Short Ratio:0.3 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.867.246.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.23.728.0

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.2 percent. The commercials are Bullish with a score of 73.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.576.56.0
– Percent of Open Interest Shorts:19.365.511.2
– Net Position:-129,171245,745-116,574
– Gross Longs:301,3591,708,203133,733
– Gross Shorts:430,5301,462,458250,307
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.273.60.0
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.526.1-15.6

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.2 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bearish with a score of 28.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.26.9
– Percent of Open Interest Shorts:16.069.911.9
– Net Position:-318,936509,720-190,784
– Gross Longs:293,0823,178,614262,964
– Gross Shorts:612,0182,668,894453,748
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.275.428.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.0-4.215.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -147,537 contracts in the data reported through Tuesday. This was a weekly lowering of -29,720 contracts from the previous week which had a total of -117,817 net contracts.

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.677.58.9
– Percent of Open Interest Shorts:14.669.013.4
– Net Position:-147,537313,344-165,807
– Gross Longs:391,4552,853,366325,869
– Gross Shorts:538,9922,540,022491,676
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.059.140.0
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.7-17.98.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -110,718 contracts in the data reported through Tuesday. This was a weekly decrease of -40,831 contracts from the previous week which had a total of -69,887 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.1 percent and the small traders (not shown in chart) are Bearish with a score of 46.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.883.310.8
– Percent of Open Interest Shorts:13.565.619.8
– Net Position:-110,718225,309-114,591
– Gross Longs:60,9841,060,049136,897
– Gross Shorts:171,702834,740251,488
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.146.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.02.75.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of 13,511 contracts in the data reported through Tuesday. This was a weekly decline of -6,588 contracts from the previous week which had a total of 20,099 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 89.0 percent. The commercials are Bearish with a score of 21.7 percent and the small traders (not shown in chart) are Bearish with a score of 37.8 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.072.813.1
– Percent of Open Interest Shorts:9.872.414.7
– Net Position:13,5115,068-18,579
– Gross Longs:130,124864,328155,544
– Gross Shorts:116,613859,260174,123
– Long to Short Ratio:1.1 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):89.021.737.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.23.36.8

 

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.484.111.7
– Percent of Open Interest Shorts:28.460.710.1
– Net Position:-319,179298,80520,374
– Gross Longs:43,5171,073,810148,944
– Gross Shorts:362,696775,005128,570
– Long to Short Ratio:0.1 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.061.242.9
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.421.2-16.2

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News
19 Apr

Why You Should Pay Attention To Global Bond Yields

By Orbex

For those following central bank policy, the rise of bond yields around the world is imminent. These have a profound impact on financial markets, especially forex.

There is a general push by central banks to raise interest rates in an effort to stave off inflation. But not all banks are participating, and those that are, aren’t raising rates as fast as others. All of that shifts the underlying dynamic of currency markets. And that shift is likely to keep happening for several months.

What’s the issue?

The bond yield is basically how much interest is paid on a bond, minus the cost of the bond. This makes things a little more complicated because bonds are traded after they are issued at different prices. So, there are two factors to take under consideration:

1) When a bond is first issued, the seller has to attract interest from investors. They do this by offering to pay interest on the bond. The more popular the bond is the less interest has to be offered to get a buyer.

2) Once someone buys the bond, they can subsequently sell it. If they sell it at the value of the bond, then they don’t make a profit. But, if the demand for the bond has increased in the meantime, then they can sell the bond at a lower price than what it’s worth. And, thus they make a profit. Or, if demand for the bond diminishes, they might have to sell it at a higher price, and lose money. That is what drives the yield.

Central banks don’t “set” interest rates. Bonds have a fixed interest rate at the time of issue.

But depending on the price of the bond as it’s traded, then the yield varies. Central banks can cause a variation in this yield by setting an interest rate target, meaning that they will loan out money at a set rate. This puts competition into the market, lowering or increasing demand for bonds, and affecting yields.

Why you should care

Bonds are the primary investment for people holding liquid assets. That said, anyone who has a lot of cash will hold it in bonds.

Of course, they are going to prefer the bonds that offer the highest yield – that is, return on their investment. If yields go up, then more people will be attracted to buying bonds, instead of stocks, for example. If yields are higher in one currency than another, then investors will shift into that currency, increasing its value.

We also have to remember the mechanics behind this. If demand is lower, then yields naturally rise.

So, if yields are going up, it could also mean that there is less liquidity in the market. In other words, bondholders are forced to offer better terms to investors to attract them. This can be both organic and artificial.

Driving the exchange rate

An artificial lack of liquidity occurs when central banks start selling bonds (increasing the supply) and forcing bond yields to go up. The more bonds they sell, the less money is available in the market. While this makes investing in certain currencies more attractive and can drive them higher, it also means there is less money available for other things like buying stocks, gold, NFTs, and crypto.

Japanese yields are relatively low because the BOJ isn’t raising rates, and the Fed by comparison is pushing rates higher. Thus, it becomes a good investment to sell the yen to buy US bonds. And that explains why the USDJPY in particular has moved so high recently.

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