Archive for Bonds – Page 15

03 Jan

COT Bonds Speculators push 10-Year Treasury bets higher after 97-week low

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 release was delayed by the CFTC due to the New Year’s holiday.

The latest COT data is updated through Tuesday December 28th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT bonds data is the jump in bets for the 10-Year Bond. Speculators sharply boosted their 10-Year bets by the largest one-week amount (+125,989) of the past fifteen weeks on December 28th. This rebound strongly trimmed the overall bearish level after it had hit a 97-week bearish high on December 21st at -339,299 contracts. The 10-Year speculator standing has been in bearish territory now for eleven consecutive weeks, dating back to October 19th.

Joining the 10-Year (125,989 contracts) with gains on the week were the 2-Year Bond (8,471 contracts), Ultra 10-Year (2,904 contracts), Long US Bond (16,129 contracts) and the 5-Year (47,689 contracts) while decreasing bets for the week were seen in the Eurodollar (-13,028 contracts), FedFunds (-3,900 contracts) and the Ultra US Bond (-3,156 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-28-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar11,150,59348-1,827,84802,203,302100-375,45431
FedFunds1,366,90028-93,32928107,47873-14,14927
2-Year1,966,290787,804100-25,76514-62,0395
Long T-Bond1,208,00050-19,95586-10,6541730,60977
10-Year3,846,38254-213,31039458,47979-245,16922
5-Year3,741,32734-298,68728543,54287-244,85514

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -1,827,848 contracts in the data reported through Tuesday. This was a weekly lowering of -13,028 contracts from the previous week which had a total of -1,814,820 net contracts.

This 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 with a score of 31.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.771.93.9
– Percent of Open Interest Shorts:24.152.17.3
– Net Position:-1,827,8482,203,302-375,454
– Gross Longs:854,9638,015,395436,619
– Gross Shorts:2,682,8115,812,093812,073
– Long to Short Ratio:0.3 to 11.4 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.031.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.216.1-3.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -93,329 contracts in the data reported through Tuesday. This was a weekly decline of -3,900 contracts from the previous week which had a total of -89,429 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.1 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bearish with a score of 26.6 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.083.01.7
– Percent of Open Interest Shorts:9.875.22.8
– Net Position:-93,329107,478-14,149
– Gross Longs:41,0571,135,00723,529
– Gross Shorts:134,3861,027,52937,678
– Long to Short Ratio:0.3 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.172.926.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.54.0-11.1

 

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 87,804 contracts in the data reported through Tuesday. This was a weekly rise of 8,471 contracts from the previous week which had a total of 79,333 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 14.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.567.06.3
– Percent of Open Interest Shorts:17.168.39.4
– Net Position:87,804-25,765-62,039
– Gross Longs:423,5301,316,762122,956
– Gross Shorts:335,7261,342,527184,995
– Long to Short Ratio:1.3 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.014.25.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.8-19.5-2.0

 

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 -298,687 contracts in the data reported through Tuesday. This was a weekly boost of 47,689 contracts from the previous week which had a total of -346,376 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.1 percent. The commercials are Bullish-Extreme with a score of 87.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.680.36.9
– Percent of Open Interest Shorts:17.665.813.5
– Net Position:-298,687543,542-244,855
– Gross Longs:358,1053,006,091259,112
– Gross Shorts:656,7922,462,549503,967
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.187.413.8
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.4-5.1-2.0

 

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 -213,310 contracts in the data reported through Tuesday. This was a weekly boost of 125,989 contracts from the previous week which had a total of -339,299 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.2 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bearish with a score of 21.6 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.275.87.6
– Percent of Open Interest Shorts:19.763.814.0
– Net Position:-213,310458,479-245,169
– Gross Longs:545,3372,913,736291,916
– Gross Shorts:758,6472,455,257537,085
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.279.321.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-17.313.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of 113,816 contracts in the data reported through Tuesday. This was a weekly lift of 2,904 contracts from the previous week which had a total of 110,912 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.8 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bearish with a score of 24.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.170.28.7
– Percent of Open Interest Shorts:11.767.519.7
– Net Position:113,81636,873-150,689
– Gross Longs:274,231959,273119,235
– Gross Shorts:160,415922,400269,924
– Long to Short Ratio:1.7 to 11.0 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.854.624.8
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.89.49.1

 

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 -19,955 contracts in the data reported through Tuesday. This was a weekly gain of 16,129 contracts from the previous week which had a total of -36,084 net contracts.

This 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 86.3 percent. The commercials are Bearish-Extreme with a score of 16.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.9 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.970.415.3
– Percent of Open Interest Shorts:14.571.312.8
– Net Position:-19,955-10,65430,609
– Gross Longs:155,753850,571185,407
– Gross Shorts:175,708861,225154,798
– Long to Short Ratio:0.9 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):86.316.776.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.3-6.017.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -300,717 contracts in the data reported through Tuesday. This was a weekly decrease of -3,156 contracts from the previous week which had a total of -297,561 net contracts.

This 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 62.5 percent. The commercials are Bearish with a score of 44.3 percent and the small traders (not shown in chart) are Bullish with a score of 54.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.680.112.8
– Percent of Open Interest Shorts:30.758.99.9
– Net Position:-300,717264,41236,305
– Gross Longs:82,877999,528159,612
– Gross Shorts:383,594735,116123,307
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.544.354.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.8-11.618.3

 

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 Opinions
27 Dec

COT Bonds Speculators drop 10-Year Treasury Notes to most bearish in past 97 weeks

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 release was delayed by the CFTC due to the Christmas holiday.

The latest COT data is updated through Tuesday December 21st 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT bonds data is the sharp drop in the 10-Year Bond futures. Speculator positioning in the 10-Year has fallen for two straight weeks and last week’s sharp decline marked the largest one-week fall of the past seven weeks. The weakness in speculator sentiment has pushed the current level (-339,299 contracts) to the most bearish level of the past ninety-seven weeks, dating all the way back to February 11th of 2020. The 10-Year contracts have also fallen into a bearish-extreme reading in the speculator strength index with a score of 19.8 percent (current level compared to past 3-year range, with below 20 percent equaling an extreme bearish score).

The bond markets with rising contracts last week were the 2-Year Bond (34,135 contracts), Ultra 10-Year (2,891 contracts) and the Long US Bond (1,234 contracts) while decreasing bets for the week were seen in Eurodollar (-92,289 contracts), 10-Year (-65,443 contracts), FedFunds (-117 contracts), 5-Year (-6,573 contracts) and the Ultra US Bond (-5,088 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-21-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar11,105,89547-1,814,82032,164,52693-349,70637
FedFunds1,368,54229-89,42929106,59873-17,16919
2-Year1,970,102879,333100-10,36618-68,9671
Long T-Bond1,225,02953-36,0848012,0742424,01072
10-Year3,798,26750-339,29920572,56393-233,26424
5-Year3,604,05227-346,37619595,08194-248,70513

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -1,814,820 contracts in the data reported through Tuesday. This was a weekly decrease of -92,289 contracts from the previous week which had a total of -1,722,531 net contracts.

This 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 93.1 percent and the small traders (not shown in chart) are Bearish with a score of 37.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.871.34.2
– Percent of Open Interest Shorts:24.151.87.4
– Net Position:-1,814,8202,164,526-349,706
– Gross Longs:861,9647,913,862466,971
– Gross Shorts:2,676,7845,749,336816,677
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.193.137.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.717.31.9

 

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 -89,429 contracts in the data reported through Tuesday. This was a weekly reduction of -117 contracts from the previous week which had a total of -89,312 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.6 percent. The commercials are Bullish with a score of 72.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.2 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.282.71.6
– Percent of Open Interest Shorts:9.874.92.9
– Net Position:-89,429106,598-17,169
– Gross Longs:44,1071,131,98821,886
– Gross Shorts:133,5361,025,39039,055
– Long to Short Ratio:0.3 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.672.819.2
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.73.6-19.4

 

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 79,333 contracts in the data reported through Tuesday. This was a weekly gain of 34,135 contracts from the previous week which had a total of 45,198 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 17.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.067.46.2
– Percent of Open Interest Shorts:17.067.99.7
– Net Position:79,333-10,366-68,967
– Gross Longs:413,9051,327,923122,871
– Gross Shorts:334,5721,338,289191,838
– Long to Short Ratio:1.2 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.017.61.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.7-17.2-8.9

 

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 -346,376 contracts in the data reported through Tuesday. This was a weekly lowering of -6,573 contracts from the previous week which had a total of -339,803 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.4 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.382.57.0
– Percent of Open Interest Shorts:16.966.013.9
– Net Position:-346,376595,081-248,705
– Gross Longs:263,2682,974,180252,720
– Gross Shorts:609,6442,379,099501,425
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.494.312.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.1-5.7-5.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -339,299 contracts in the data reported through Tuesday. This was a weekly fall of -65,443 contracts from the previous week which had a total of -273,856 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.8 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 24.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.678.27.9
– Percent of Open Interest Shorts:20.563.114.1
– Net Position:-339,299572,563-233,264
– Gross Longs:438,8142,968,460301,484
– Gross Shorts:778,1132,395,897534,748
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.893.424.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.10.016.7

 

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 110,912 contracts in the data reported through Tuesday. This was a weekly lift of 2,891 contracts from the previous week which had a total of 108,021 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.0 percent. The commercials are Bullish with a score of 55.9 percent and the small traders (not shown in chart) are Bearish with a score of 23.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.271.28.5
– Percent of Open Interest Shorts:11.068.219.8
– Net Position:110,91241,687-152,599
– Gross Longs:259,469964,154115,340
– Gross Shorts:148,557922,467267,939
– Long to Short Ratio:1.7 to 11.0 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.055.923.6
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.117.018.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -36,084 contracts in the data reported through Tuesday. This was a weekly boost of 1,234 contracts from the previous week which had a total of -37,318 net contracts.

This 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 80.5 percent. The commercials are Bearish with a score of 24.0 percent and the small traders (not shown in chart) are Bullish with a score of 71.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.071.515.2
– Percent of Open Interest Shorts:15.070.513.2
– Net Position:-36,08412,07424,010
– Gross Longs:147,408875,599185,627
– Gross Shorts:183,492863,525161,617
– Long to Short Ratio:0.8 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.524.071.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.90.64.9

 

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 -297,561 contracts in the data reported through Tuesday. This was a weekly fall of -5,088 contracts from the previous week which had a total of -292,473 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.8 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.6 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.680.112.8
– Percent of Open Interest Shorts:30.359.010.2
– Net Position:-297,561265,00332,558
– Gross Longs:83,0431,004,474160,841
– Gross Shorts:380,604739,471128,283
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.844.651.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.3-13.116.8

 

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 Opinions
18 Dec
trading

COT Bonds Speculators boost 2-Year Treasury Bond futures bullish bets to 185-week high

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 December 14th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT bonds data is the continued strengthening of the speculators net positions in the 2-Year Bond futures. Speculator net positions have increased in 2-year bonds for the third straight week and for the ninth time out of the past eleven weeks. The net speculator position turned bullish on November 30th after spending fourteen straight weeks in bearish territory and has now climbed to the most bullish level of the past one-hundred and eighty-five weeks, dating all the way back to May 29th of 2018. At the moment, both the speculators (+45,198 contracts) and commercials (+26,586 contracts) are bullish on the 2-year futures while the small traders make up the other side of the contracts with bearish positioning with a total of -71,784 contracts.

Joining the 2-Year Bond (12,593 contracts) with rising bets this week were the Long US Bond (9,204 contracts), the FedFunds (24,007 contracts) and the 5-Year (47,728 contracts) while decreasing bets for the week were seen in the Eurodollar (-347,668 contracts), 10-Year (-6,850 contracts), Ultra 10-Year (-5,586 contracts) and the Ultra US Bond (-2,119 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-14-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar11,179,13548-1,722,53182,176,28891-453,75717
FedFunds1,331,09626-89,31229102,12172-12,80930
2-Year1,965,142745,19810026,58626-71,7840
Long T-Bond1,219,69852-37,31880-4,8331942,15186
10-Year3,769,58548-273,85630532,16788-258,31119
5-Year3,603,99727-339,80321567,09091-227,28719

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,722,531 contracts in the data reported through Tuesday. This was a weekly decrease of -347,668 contracts from the previous week which had a total of -1,374,863 net contracts.

This 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 7.8 percent. The commercials are Bullish-Extreme with a score of 90.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.769.84.1
– Percent of Open Interest Shorts:24.150.48.2
– Net Position:-1,722,5312,176,288-453,757
– Gross Longs:974,0447,805,730457,991
– Gross Shorts:2,696,5755,629,442911,748
– Long to Short Ratio:0.4 to 11.4 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.890.917.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.816.6-17.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -89,312 contracts in the data reported through Tuesday. This was a weekly increase of 24,007 contracts from the previous week which had a total of -113,319 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.6 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bearish with a score of 29.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.780.91.7
– Percent of Open Interest Shorts:10.473.22.6
– Net Position:-89,312102,121-12,809
– Gross Longs:48,9591,076,38122,103
– Gross Shorts:138,271974,26034,912
– Long to Short Ratio:0.4 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.672.329.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.33.4-2.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of 45,198 contracts in the data reported through Tuesday. This was a weekly rise of 12,593 contracts from the previous week which had a total of 32,605 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish with a score of 25.6 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:19.968.26.1
– Percent of Open Interest Shorts:17.666.99.8
– Net Position:45,19826,586-71,784
– Gross Longs:392,0001,340,821120,776
– Gross Shorts:346,8021,314,235192,560
– Long to Short Ratio:1.1 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.025.60.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.9-19.6-9.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -339,803 contracts in the data reported through Tuesday. This was a weekly boost of 47,728 contracts from the previous week which had a total of -387,531 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.6 percent. The commercials are Bullish-Extreme with a score of 90.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.281.37.3
– Percent of Open Interest Shorts:17.765.513.6
– Net Position:-339,803567,090-227,287
– Gross Longs:297,0422,928,739262,001
– Gross Shorts:636,8452,361,649489,288
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.690.618.6
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-5.30.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -273,856 contracts in the data reported through Tuesday. This was a weekly decline of -6,850 contracts from the previous week which had a total of -267,006 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.578.27.9
– Percent of Open Interest Shorts:18.764.114.8
– Net Position:-273,856532,167-258,311
– Gross Longs:432,5012,946,901298,285
– Gross Shorts:706,3572,414,734556,596
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.988.418.5
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.8-9.218.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of 108,021 contracts in the data reported through Tuesday. This was a weekly fall of -5,586 contracts from the previous week which had a total of 113,607 net contracts.

This 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 56.3 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.872.27.6
– Percent of Open Interest Shorts:10.967.020.7
– Net Position:108,02171,231-179,252
– Gross Longs:257,314987,498103,827
– Gross Shorts:149,293916,267283,079
– Long to Short Ratio:1.7 to 11.1 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.364.27.6
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.013.5-1.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -37,318 contracts in the data reported through Tuesday. This was a weekly lift of 9,204 contracts from the previous week which had a total of -46,522 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 80.0 percent. The commercials are Bearish-Extreme with a score of 18.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.970.615.8
– Percent of Open Interest Shorts:15.071.012.4
– Net Position:-37,318-4,83342,151
– Gross Longs:145,491861,405193,198
– Gross Shorts:182,809866,238151,047
– Long to Short Ratio:0.8 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.018.686.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.7-17.046.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -292,473 contracts in the data reported through Tuesday. This was a weekly fall of -2,119 contracts from the previous week which had a total of -290,354 net contracts.

This 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 65.9 percent. The commercials are Bearish with a score of 42.0 percent and the small traders (not shown in chart) are Bullish with a score of 51.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.079.512.4
– Percent of Open Interest Shorts:30.358.89.8
– Net Position:-292,473259,70332,770
– Gross Longs:87,778997,164155,563
– Gross Shorts:380,251737,461122,793
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.942.051.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.1-11.616.8

 

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 Opinions
16 Dec

I’ve fine-tuned a tool that advises the Bank of England what interest rates to set – here’s what it says

By Costas Milas, University of Liverpool 

Interest rates were remarkably stable in ancient societies. It has been argued that this was because they reflected the local system of numerical fractions. Classical Greece had a “normal” interest rate of 10% per annum to reflect its smallest fractional unit, dekate, for instance, whereas classical Rome’s was 8.33% per annum to reflect its smallest fractional unit of 1/12th, uncia.

This saved ancient policymakers from the trouble of making interest rate decisions based on the economic outlook. It also spared them from being dubbed “unreliable boyfriends” by commentators for wrongfooting financial markets with their interest-rate decisions – unlike former Bank of England Governor Mark Carney and his successor, Andrew Bailey.

Bailey was most recently criticised in November when the Bank of England’s Monetary Policy Committee (MPC) voted to keep the policy rate of interest on hold at 0.1% despite signalling that it would be raising it to ward off inflation. The MPC’s job is to use interest rates to keep consumer price index (CPI) inflation within its 2% target over the next two years, but it is currently expected to remain above that until at least the first quarter of 2024.

The bank’s policymakers decided against raising rates because a majority believe that the current inflationary pressures are, to some extent, temporary. But is that so? US Treasury Secretary Janet Yellen believes inflation will remain high until COVID is under control, since the surge in prices is closely linked to problems in the global supply chain which have meant that there is too little supply to meet demand.

In Yellen’s view this means stubbornly high inflation well into 2022, which raises the question of what temporary means – particularly now that the omicron COVID variant will potentially see supply-chain disruption going on even longer.

Yet the markets’ bigger concern about omicron is that it is going to hamper economic growth. Economic growth is another (more positive) cause of inflation, so the new variant will potentially reduce the price pressure. For that reason, market expectations of imminent interest-rate rises have markedly weakened since omicron emerged. Paradoxically, however, delayed interest-rate action will arguably make it more likely that higher inflation (from prolonged supply-chain problems) will ultimately last longer.

To further raise the pressure on the MPC, the annual rate of inflation has just risen to 5.1% (up from 4.2% a month ago). The bank’s deputy governor, Ben Broadbent, had predicted recently that the UK wouldn’t hit this rate until the spring.

In this context, the MPC is currently meeting to make its latest decision on interest rates. So what should it do?

The interest rates predictor

To help determine this, there is a model called the “monetary policy rule”, originally devised by economist John Taylor at Stanford in the 1990s, which takes several important variables into account. The first is the central bank’s two-year inflation forecast – in other words, the most likely outcome based on market expectations of interest rates – relative to the official inflation target.

The second variable is UK economic growth relative to its long-run equilibrium level – that is, the Office for Budget Responsibility (OBR) “output gap” measure of “excess demand” in the economy. According to the OBR, UK output is currently 0.7% above equilibrium.

To improve the accuracy of the monetary rule during the pandemic, I have incorporated a third variable, an “infectious disease equity market volatility tracker”. This is an index constructed and updated daily by a team of US economists. It is based on approximately 3,000 US newspaper articles that contain economic terms such as “economy” and “financial”; stock market terms; volatility terms such as “uncertainty” and “risk”; and infectious disease terms such as “epidemic”, “pandemic”, “virus”, “flu” and “coronavirus”. The tracker is not just focused on COVID, and has over 20 years of historical data.

Infectious disease tracker, 1998-2021

Infectious disease tracker graph

So how well does this model predict interest-rate decisions? The next chart shows Bank of England interest-rate decisions going back to 1998, alongside what the model would have predicted. As you can see, it does a pretty decent job in explaining the MPC’s interest rate decisions. (Since the disease tracker was at such low levels until the COVID pandemic, its influence on interest rates would have been very small until recently).

UK policy rate decisions vs model predictions

Graph plotting UK interest rates against model prediction

One interesting thing to point out about this model is that it prescribed a negative policy rate of -0.15% for the end of 2020, when the UK was pushed into yet another COVID lockdown. At that time, the MPC decided against a negative interest rate, although it was certainly an option at the time as a way of encouraging as much lending as possible. Other central banks such as the European Central Bank had already been experimenting with negative rates for some time.

As for the MPC’s upcoming decision, the model is “recommending” a policy rate of 0.2% – in other words, a slight increase from today’s 0.1% rate. Without the disease tracker built in, the model would instead be calling for a 0.5% rate, so it shows how growth fears are weighing on its advice. Of course, if market expectations are correct and the MPC leaves rates unchanged, we will conclude that these fears were weighing on them even more.

The danger with such an approach is that growth fears are potentially being overdone right now. There is evidence that the UK economy has managed to adapt to past COVID restrictions. And the latest annual inflation reading of 5.1% will make it more likely that inflation in two years’ time will be higher than the current 2.2% prediction – putting additional pressure on the MPC to act.

Then again, with the speed at which omicron is moving through the population, the infectious disease tracker could well soon jump back to 2020 levels. Were that to happen, the model would recommend that interest rates remain at 0.1%. It all serves to highlight why it is a very difficult time for the MPC to make a decision, and why, particularly during the pandemic era, it is useful to look at the monetary rule for guidance.The Conversation

About the Author:

Costas Milas, Professor of Finance, University of Liverpool

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

Bonds Economics & Fundamentals Opinions
11 Dec
The Euro against US dollar

COT Bonds Speculators push bullish 2-Year Treasuries bets to 17-week high

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 December 7th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT bonds data is the gains in the 2-Year Bond that brings speculator positioning to the highest level in seventeen weeks. The speculative position in the 2-Year has risen for two consecutive weeks and for six out of the past seven weeks as well. This bullishness has brought the net position out of bearish territory for a second week and pushed the current net position to the best level since August 10th. This week’s net positioning is also the second highest level of the past three years which equates to a 99.5 percent strength score (current level compared to past three years of data).

Joining the 2-Year Bond (16,935 contracts) in gaining this week are 10-Year (46,365 contracts), Ultra 10-Year (4,727 contracts), Long US Bond (3,118 contracts), Ultra US Bond (20,142 contracts) while the declining positions this week were in the FedFunds (-14,841 contracts), 5-Year (-19,699 contracts) and the Eurodollar (-253,207 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-07-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,241,71071-1,374,863181,849,41982-474,55615
FedFunds1,338,24426-113,31926119,74074-6,42147
2-Year1,887,954432,60510021,75725-54,3622
Long T-Bond1,211,68551-46,5227725,0382821,48470
10-Year3,788,36250-267,00631538,92589-271,91915
5-Year3,532,35723-387,53112626,88599-239,35415

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -1,374,863 contracts in the data reported through Tuesday. This was a weekly fall of -253,207 contracts from the previous week which had a total of -1,121,656 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.6 percent. The commercials are Bullish-Extreme with a score of 82.0 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:11.067.73.6
– Percent of Open Interest Shorts:22.252.67.5
– Net Position:-1,374,8631,849,419-474,556
– Gross Longs:1,347,0068,286,582442,408
– Gross Shorts:2,721,8696,437,163916,964
– Long to Short Ratio:0.5 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.682.015.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.715.8-28.7

 

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 -113,319 contracts in the data reported through Tuesday. This was a weekly reduction of -14,841 contracts from the previous week which had a total of -98,478 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.6 percent. The commercials are Bullish with a score of 74.4 percent and the small traders (not shown in chart) are Bearish with a score of 47.4 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.681.21.6
– Percent of Open Interest Shorts:12.172.22.1
– Net Position:-113,319119,740-6,421
– Gross Longs:48,7631,086,34222,027
– Gross Shorts:162,082966,60228,448
– Long to Short Ratio:0.3 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.674.447.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.57.98.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of 32,605 contracts in the data reported through Tuesday. This was a weekly advance of 16,935 contracts from the previous week which had a total of 15,670 net contracts.

This 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 99.5 percent. The commercials are Bearish with a score of 24.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.670.66.8
– Percent of Open Interest Shorts:15.969.59.7
– Net Position:32,60521,757-54,362
– Gross Longs:332,9921,333,598128,768
– Gross Shorts:300,3871,311,841183,130
– Long to Short Ratio:1.1 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):99.524.62.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.8-29.1-6.6

 

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 -387,531 contracts in the data reported through Tuesday. This was a weekly decrease of -19,699 contracts from the previous week which had a total of -367,832 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.9 percent. The commercials are Bullish-Extreme with a score of 98.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.3 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.883.67.1
– Percent of Open Interest Shorts:16.865.913.9
– Net Position:-387,531626,885-239,354
– Gross Longs:206,1162,953,732252,310
– Gross Shorts:593,6472,326,847491,664
– Long to Short Ratio:0.3 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.998.615.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.46.3-0.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -267,006 contracts in the data reported through Tuesday. This was a weekly increase of 46,365 contracts from the previous week which had a total of -313,371 net contracts.

This 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 30.9 percent. The commercials are Bullish-Extreme with a score of 89.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.378.77.5
– Percent of Open Interest Shorts:18.464.514.7
– Net Position:-267,006538,925-271,919
– Gross Longs:429,6762,982,925286,003
– Gross Shorts:696,6822,444,000557,922
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.989.215.4
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.412.012.7

 

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 113,607 contracts in the data reported through Tuesday. This was a weekly boost of 4,727 contracts from the previous week which had a total of 108,880 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.7 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.472.27.8
– Percent of Open Interest Shorts:10.168.220.0
– Net Position:113,60754,412-168,019
– Gross Longs:252,678992,329107,252
– Gross Shorts:139,071937,917275,271
– Long to Short Ratio:1.8 to 11.1 to 10.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.759.514.4
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.49.85.0

 

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 -46,522 contracts in the data reported through Tuesday. This was a weekly advance of 3,118 contracts from the previous week which had a total of -49,640 net contracts.

This 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 76.7 percent. The commercials are Bearish with a score of 28.1 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.672.115.8
– Percent of Open Interest Shorts:14.570.114.0
– Net Position:-46,52225,03821,484
– Gross Longs:128,583873,875191,608
– Gross Shorts:175,105848,837170,124
– Long to Short Ratio:0.7 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.728.169.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.4-19.732.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -290,354 contracts in the data reported through Tuesday. This was a weekly advance of 20,142 contracts from the previous week which had a total of -310,496 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.8 percent. The commercials are Bearish with a score of 49.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.180.112.5
– Percent of Open Interest Shorts:29.757.811.1
– Net Position:-290,354274,03216,322
– Gross Longs:75,407986,451153,443
– Gross Shorts:365,761712,419137,121
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.849.040.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.7-25.27.5

 

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 Opinions
04 Dec

COT Speculators push 2-Year Bonds bets into bullish level for 1st time since August

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 November 30th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT bonds data is the 2-Year Bond speculators bets that rose for the fifth time in the past six weeks. Bond speculators have been improving their bets for the 2-Year steadily and have also pushed their bets higher for seven out of the past nine weeks and by a total of +78,499 contracts over that period. This improving sentiment has brought the current net position standing into a bullish level for the first time since August 17th, a span of fifteen weeks. The 2-Year Treasury Note is now one of the only two bond instruments (the other is the Ultra 10-Year U.S. T-Note) in our tracking that have bullish net positions at the moment.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-30-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,207,54159-1,121,656281,568,22271-446,56628
FedFunds1,426,03833-98,47827114,39674-15,91831
2-Year1,789,196115,6709635,09524-50,7654
Long T-Bond1,219,18152-49,6407629,5883020,05268
10-Year3,803,12551-313,37124567,63893-254,26719
5-Year3,486,53821-367,83216614,45397-246,62113

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,121,656 contracts in the data reported through Tuesday. This was a weekly rise of 178,825 contracts from the previous week which had a total of -1,300,481 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.3 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 27.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.466.33.7
– Percent of Open Interest Shorts:21.653.47.4
– Net Position:-1,121,6561,568,222-446,566
– Gross Longs:1,515,2478,091,297451,347
– Gross Shorts:2,636,9036,523,075897,913
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):28.370.727.9
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.78.9-24.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -98,478 contracts in the data reported through Tuesday. This was a weekly decline of -16,473 contracts from the previous week which had a total of -82,005 net contracts.

This 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 27.5 percent. The commercials are Bullish with a score of 73.8 percent and the small traders (not shown in chart) are Bearish with a score of 30.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.781.61.3
– Percent of Open Interest Shorts:10.673.62.4
– Net Position:-98,478114,396-15,918
– Gross Longs:52,4311,163,98918,288
– Gross Shorts:150,9091,049,59334,206
– Long to Short Ratio:0.3 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):27.573.830.8
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.45.9-10.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of 15,670 contracts in the data reported through Tuesday. This was a weekly increase of 62,290 contracts from the previous week which had a total of -46,620 net contracts.

This 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 95.8 percent. The commercials are Bearish with a score of 24.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 4.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.273.07.0
– Percent of Open Interest Shorts:15.371.09.9
– Net Position:15,67035,095-50,765
– Gross Longs:289,3881,306,141125,667
– Gross Shorts:273,7181,271,046176,432
– Long to Short Ratio:1.1 to 11.0 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):95.824.24.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.9-26.4-6.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -367,832 contracts in the data reported through Tuesday. This was a weekly reduction of -82,949 contracts from the previous week which had a total of -284,883 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.5 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.3 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.082.07.4
– Percent of Open Interest Shorts:17.664.414.5
– Net Position:-367,832614,453-246,621
– Gross Longs:244,8952,859,429258,648
– Gross Shorts:612,7272,244,976505,269
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):15.596.913.3
– COT Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.513.92.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -313,371 contracts in the data reported through Tuesday. This was a weekly rise of 10,044 contracts from the previous week which had a total of -323,415 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.8 percent. The commercials are Bullish-Extreme with a score of 92.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.178.47.8
– Percent of Open Interest Shorts:19.363.514.5
– Net Position:-313,371567,638-254,267
– Gross Longs:420,6942,982,808297,942
– Gross Shorts:734,0652,415,170552,209
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):23.892.819.5
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-48.230.615.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of 108,880 contracts in the data reported through Tuesday. This was a weekly decline of -47,706 contracts from the previous week which had a total of 156,586 net contracts.

This 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 56.5 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 10.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.572.17.3
– Percent of Open Interest Shorts:9.967.519.5
– Net Position:108,88066,179-175,059
– Gross Longs:250,4361,030,621104,031
– Gross Shorts:141,556964,442279,090
– Long to Short Ratio:1.8 to 11.1 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):56.562.810.2
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.19.5-2.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -49,640 contracts in the data reported through Tuesday. This was a weekly decline of -38,615 contracts from the previous week which had a total of -11,025 net contracts.

This 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 75.6 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bullish with a score of 68.5 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.572.614.9
– Percent of Open Interest Shorts:14.670.213.2
– Net Position:-49,64029,58820,052
– Gross Longs:127,915885,731181,245
– Gross Shorts:177,555856,143161,193
– Long to Short Ratio:0.7 to 11.0 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):75.629.668.5
– COT Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.9-17.336.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -310,496 contracts in the data reported through Tuesday. This was a weekly fall of -18,776 contracts from the previous week which had a total of -291,720 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.5 percent. The commercials are Bullish with a score of 60.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.680.512.0
– Percent of Open Interest Shorts:30.656.610.9
– Net Position:-310,496296,67013,826
– Gross Longs:69,3051,000,175149,596
– Gross Shorts:379,801703,505135,770
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):58.560.138.2
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.5-8.411.4

 

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 Opinions
02 Dec

Junk Bonds Are Sending a Signal to Stock Investors

Something happened just before the historic 2007 stock market top — and it’s happening again

By Elliott Wave International

It’s generally known that stocks are risky. It all hinges on how “hungry” investors are.

So, if investors’ appetite for risk starts to diminish, it stands to reason that this is not a positive development for stocks.

But is there a way to gauge investors’ risk tolerance so as to get an early warning sign before stocks start to tank?

Yes, keep your eye on the junk bond market.

You see, junk bonds also carry a great deal of risk because they’re issued by companies with the weakest balance sheets. Investors’ claim on assets in case of bankruptcy is usually next to the bottom rung, just one notch above equity holders. Hence, the trend in junk bonds often aligns with the trend in equities.

Here’s the important point: When the trends of stocks and junk bonds diverge, with stocks holding up as the value of junk debt declines, it’s usually a sign of impending trouble for stocks.

A past Elliott Wave Financial Forecast, a monthly publication which provides coverage of major U.S. financial markets, showed a historical example of such a divergence and said:

A countertrend rally high in prices for high-yield bonds occurred in February 2007, three months before the intraday extreme in the financials, five months before a top in the Dow Jones Composite Average and eight months before a top in the Dow Industrials. All stock indexes then crashed into the first quarter of 2009.

Now, here’s what you need to know in these closing weeks of 2021: Another divergence has been shaping up between high-yield (or “junk”) bonds and stocks.

Indeed, the Nov. 15 U.S. Short Term Update, an Elliott Wave International thrice weekly publication which offers near-term forecasts for key U.S. financial markets, explains why …

… the tension created by the nearly two-month non-confirmation between HYG [a junk bond ETF] and the Dow is about to become more severe.

Plus, the message of the Elliott wave model regarding the stock market is also revealing.

If you’re new to Elliott wave analysis, here’s a quote from Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior:

In the 1930s, Ralph Nelson Elliott discovered that stock market prices trend and reverse in recognizable patterns. The patterns he discerned are repetitive in form but not necessarily in time or amplitude. Elliott isolated five such patterns, or “waves,” that recur in market price data. He named, defined and illustrated these patterns and their variations. He then described how they link together to form larger versions of themselves, how they in turn link to form the same patterns of the next larger size, and so on, producing a structured progression. He called this phenomenon The Wave Principle.

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.

If you’d like to learn more about the Wave Principle, there’s a way to read the entire online version of the book for free.

That “way” is to become a Club EWI member. Club EWI is the world’s largest Elliott wave educational community and membership is free. Plus, members enjoy free access to a wealth of Elliott wave resources on financial markets, investing and trading with zero obligations.

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

This article was syndicated by Elliott Wave International and was originally published under the headline Junk Bonds Are Sending a Signal to Stock Investors. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

 

Bonds Financial News
29 Nov

COT Bonds Futures Charts: Treasuries, Fed Funds, 10-Year, 2-Year, 5-Year, Eurodollars & Ultra Treasury Notes

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) on Monday due to the Thanksgiving holiday last week.

The latest COT data is updated through Tuesday November 23 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-23-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,349,44462-1,300,481251,673,24272-372,76153
FedFunds1,298,42124-82,0052995,28071-13,27537
2-Year2,132,72014-46,6208298,53936-51,9193
Long T-Bond1,252,95958-11,025892,535218,49059
10-Year4,124,88673-323,41522626,237100-302,8228
5-Year4,093,70052-284,88331580,20092-295,3170

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -1,300,481 contracts in the data reported through Tuesday. This was a weekly fall of -181,198 contracts from the previous week which had a total of -1,119,283 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.8 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bullish with a score of 52.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.466.54.2
– Percent of Open Interest Shorts:21.953.07.2
– Net Position:-1,300,4811,673,242-372,761
– Gross Longs:1,402,0598,214,489521,653
– Gross Shorts:2,702,5406,541,247894,414
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):24.871.752.7
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.69.7-13.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -82,005 contracts in the data reported through Tuesday. This was a weekly reduction of -16,799 contracts from the previous week which had a total of -65,206 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.5 percent. The commercials are Bullish with a score of 71.4 percent and the small traders (not shown in chart) are Bearish with a score of 36.6 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.881.21.4
– Percent of Open Interest Shorts:11.173.92.5
– Net Position:-82,00595,280-13,275
– Gross Longs:62,5461,054,35118,787
– Gross Shorts:144,551959,07132,062
– Long to Short Ratio:0.4 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):29.571.436.6
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.61.9-5.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -46,620 contracts in the data reported through Tuesday. This was a weekly decrease of -41,175 contracts from the previous week which had a total of -5,445 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.0 percent. The commercials are Bearish with a score of 36.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.273.16.5
– Percent of Open Interest Shorts:16.468.58.9
– Net Position:-46,62098,539-51,919
– Gross Longs:302,5671,558,485138,934
– Gross Shorts:349,1871,459,946190,853
– Long to Short Ratio:0.9 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):82.036.43.4
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.37.2-17.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -284,883 contracts in the data reported through Tuesday. This was a weekly rise of 59,712 contracts from the previous week which had a total of -344,595 net contracts.

This 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 30.6 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.277.37.6
– Percent of Open Interest Shorts:15.163.114.8
– Net Position:-284,883580,200-295,317
– Gross Longs:335,1483,165,060310,719
– Gross Shorts:620,0312,584,860606,036
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):30.692.30.0
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.74.1-18.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -323,415 contracts in the data reported through Tuesday. This was a weekly decrease of -29,274 contracts from the previous week which had a total of -294,141 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.2 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.677.08.5
– Percent of Open Interest Shorts:18.561.815.8
– Net Position:-323,415626,237-302,822
– Gross Longs:437,8673,176,597350,623
– Gross Shorts:761,2822,550,360653,445
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):22.2100.08.2
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-73.957.13.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of 156,586 contracts in the data reported through Tuesday. This was a weekly reduction of -5,824 contracts from the previous week which had a total of 162,410 net contracts.

This 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 69.1 percent. The commercials are Bullish with a score of 54.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.971.77.4
– Percent of Open Interest Shorts:9.069.419.6
– Net Position:156,58635,408-191,994
– Gross Longs:297,2291,125,042115,416
– Gross Shorts:140,6431,089,634307,410
– Long to Short Ratio:2.1 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):69.154.20.0
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.5-14.3-6.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -11,025 contracts in the data reported through Tuesday. This was a weekly advance of 5,343 contracts from the previous week which had a total of -16,368 net contracts.

This 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 89.5 percent. The commercials are Bearish with a score of 20.9 percent and the small traders (not shown in chart) are Bullish with a score of 59.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.369.914.8
– Percent of Open Interest Shorts:13.169.714.1
– Net Position:-11,0252,5358,490
– Gross Longs:153,738876,170185,217
– Gross Shorts:164,763873,635176,727
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):89.520.959.3
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.0-26.722.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -291,720 contracts in the data reported through Tuesday. This was a weekly boost of 7,159 contracts from the previous week which had a total of -298,879 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.2 percent. The commercials are Bullish with a score of 52.2 percent and the small traders (not shown in chart) are Bearish with a score of 36.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.880.013.0
– Percent of Open Interest Shorts:28.558.212.1
– Net Position:-291,720280,49611,224
– Gross Longs:75,0051,029,708167,388
– Gross Shorts:366,725749,212156,164
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):66.252.236.3
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.9-18.110.9

 

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 Opinions
20 Nov

COT Bonds Speculators drop 10-Year Treasury Notes bets to lowest level in 91-weeks

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 November 16th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT Bonds data this week is the increase in bearishness of the 10-Year Treasury Note speculators. The 10-Year speculative positions fell by -26,809 net contracts this week and have now declined in four out of the past five weeks. Speculator net positions have experienced a huge drop of -450,183 contracts in just that 5-week period. This bearishness has dropped the current spec level to the most bearish standing since February 18th of 2020, a span of ninety-one weeks.

Looking at the overall situation in the 10-Year futures market shows that speculators (-294,141 contracts) and small traders (-304,450 contracts) currently make up the bearish side while the commercial hedgers (598,591 contracts) are very bullish and sport a strength index score of 99 percent. This means that commercial traders are right at the top of their range of bullishness over the past three years and as these traders can eventually move markets, this situation bears watching.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-16-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,283,29961-1,119,283281,477,22368-357,94055
FedFunds1,207,67717-65,2063274,83969-9,63345
2-Year2,016,3629-5,4459163,50130-58,0560
Long T-Bond1,232,18654-16,368888,293238,07559
10-Year3,972,39262-294,14127598,59199-304,4508
5-Year3,630,43128-344,59520581,98193-237,3865

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -1,119,283 contracts in the data reported through Tuesday. This was a weekly fall of -147,373 contracts from the previous week which had a total of -971,910 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.3 percent. The commercials are Bullish with a score of 67.7 percent and the small traders (not shown in chart) are Bullish with a score of 55.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.066.34.4
– Percent of Open Interest Shorts:21.154.27.3
– Net Position:-1,119,2831,477,223-357,940
– Gross Longs:1,477,5528,137,706540,741
– Gross Shorts:2,596,8356,660,483898,681
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):28.367.755.5
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.08.6-16.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -65,206 contracts in the data reported through Tuesday. This was a weekly boost of 2,743 contracts from the previous week which had a total of -67,949 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.6 percent. The commercials are Bullish with a score of 69.0 percent and the small traders (not shown in chart) are Bearish with a score of 44.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.981.41.7
– Percent of Open Interest Shorts:10.375.22.5
– Net Position:-65,20674,839-9,633
– Gross Longs:58,782982,45820,741
– Gross Shorts:123,988907,61930,374
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.669.044.5
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.6-1.84.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -5,445 contracts in the data reported through Tuesday. This was a weekly advance of 11,292 contracts from the previous week which had a total of -16,737 net contracts.

This 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 91.1 percent. The commercials are Bearish with a score of 29.6 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:17.173.36.0
– Percent of Open Interest Shorts:17.470.18.9
– Net Position:-5,44563,501-58,056
– Gross Longs:345,2451,477,100121,652
– Gross Shorts:350,6901,413,599179,708
– Long to Short Ratio:1.0 to 11.0 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):91.129.60.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.21.9-25.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -344,595 contracts in the data reported through Tuesday. This was a weekly lift of 62,890 contracts from the previous week which had a total of -407,485 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.7 percent. The commercials are Bullish-Extreme with a score of 92.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.5 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.381.17.2
– Percent of Open Interest Shorts:17.865.113.7
– Net Position:-344,595581,981-237,386
– Gross Longs:300,7502,944,901261,002
– Gross Shorts:645,3452,362,920498,388
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):19.792.65.5
– COT Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.44.5-1.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -294,141 contracts in the data reported through Tuesday. This was a weekly decline of -26,809 contracts from the previous week which had a total of -267,332 net contracts.

This 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 26.7 percent. The commercials are Bullish-Extreme with a score of 99.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.376.97.4
– Percent of Open Interest Shorts:19.761.815.1
– Net Position:-294,141598,591-304,450
– Gross Longs:486,9803,053,354293,521
– Gross Shorts:781,1212,454,763597,971
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):26.799.07.8
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-67.151.36.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of 162,410 contracts in the data reported through Tuesday. This was a weekly decrease of -39,640 contracts from the previous week which had a total of 202,050 net contracts.

This 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 70.6 percent. The commercials are Bearish with a score of 45.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.171.67.0
– Percent of Open Interest Shorts:10.171.417.3
– Net Position:162,4103,376-165,786
– Gross Longs:324,9611,154,942113,100
– Gross Shorts:162,5511,151,566278,886
– Long to Short Ratio:2.0 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):70.645.211.0
– COT Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.5-25.66.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -16,368 contracts in the data reported through Tuesday. This was a weekly rise of 11,704 contracts from the previous week which had a total of -28,072 net contracts.

This 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 87.5 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.869.616.0
– Percent of Open Interest Shorts:13.168.915.4
– Net Position:-16,3688,2938,075
– Gross Longs:144,973857,612197,253
– Gross Shorts:161,341849,319189,178
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):87.522.859.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.6-32.415.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -298,879 contracts in the data reported through Tuesday. This was a weekly gain of 1,903 contracts from the previous week which had a total of -300,782 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.3 percent. The commercials are Bullish with a score of 55.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.980.412.4
– Percent of Open Interest Shorts:29.657.511.6
– Net Position:-298,879287,98810,891
– Gross Longs:74,1791,012,845156,624
– Gross Shorts:373,058724,857145,733
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):63.355.936.1
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.0-17.715.4

 

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 Opinions
15 Nov

COT Speculators boosted Ultra 10-Year Treasury Notes & 2-Year bonds bets

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 November 9th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets. This week’s reports are delayed due to last week’s Veteran’s Day holiday.

Highlighting this week’s COT data for bonds were the gains in speculative bets for the Ultra 10-Year Notes and the 2-Year bond. These two markets each rose by over +46,000 net positions this week and led the weekly net changes for all the markets we cover. These two markets are also in extreme bullish positions for the speculator strength indexes with the 2-Year bond at an 88.6 percent score while the Ultra 10-Year is at an 81.1 percent score. The strength index weighs the current position against the past three years with extreme scores above 80 (bullish) and below 20 (bearish).

Data Snapshot of Bond Market Traders | Columns Legend
Nov-09-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,396,09463-971,910311,331,31465-359,40456
FedFunds1,157,27814-67,9493177,17669-9,22745
2-Year2,013,7639-16,7378968,31331-51,5761
Long T-Bond1,206,59350-28,0728310,2592317,81367
10-Year3,883,48356-267,33231572,24796-304,9158
5-Year3,600,58926-407,4858637,634100-230,1498

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -971,910 contracts in the data reported through Tuesday. This was a weekly boost of 21,463 contracts from the previous week which had a total of -993,373 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.2 percent. The commercials are Bullish with a score of 65.1 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.866.84.0
– Percent of Open Interest Shorts:20.656.06.9
– Net Position:-971,9101,331,314-359,404
– Gross Longs:1,581,4798,275,703492,587
– Gross Shorts:2,553,3896,944,389851,991
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.265.155.9
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.53.8-18.0

 

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 -67,949 contracts in the data reported through Tuesday. This was a weekly decline of -5,481 contracts from the previous week which had a total of -62,468 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.2 percent. The commercials are Bullish with a score of 69.3 percent and the small traders (not shown in chart) are Bearish with a score of 45.4 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.281.52.0
– Percent of Open Interest Shorts:10.174.82.8
– Net Position:-67,94977,176-9,227
– Gross Longs:48,886943,13422,753
– Gross Shorts:116,835865,95831,980
– Long to Short Ratio:0.4 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.269.345.4
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.3-2.76.2

 

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 -16,737 contracts in the data reported through Tuesday. This was a weekly gain of 46,371 contracts from the previous week which had a total of -63,108 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 Bullish-Extreme with a score of 88.6 percent. The commercials are Bearish with a score of 30.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.173.16.2
– Percent of Open Interest Shorts:18.069.78.7
– Net Position:-16,73768,313-51,576
– Gross Longs:345,1871,471,287124,473
– Gross Shorts:361,9241,402,974176,049
– Long to Short Ratio:1.0 to 11.0 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):88.630.60.9
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.21.0-29.0

 

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 -407,485 contracts in the data reported through Tuesday. This was a weekly decrease of -31,132 contracts from the previous week which had a total of -376,353 net contracts.

This 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 8.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.282.37.1
– Percent of Open Interest Shorts:18.564.613.5
– Net Position:-407,485637,634-230,149
– Gross Longs:258,0182,964,073256,898
– Gross Shorts:665,5032,326,439487,047
– Long to Short Ratio:0.4 to 11.3 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):8.3100.07.7
– COT Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.823.5-20.8

 

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 -267,332 contracts in the data reported through Tuesday. This was a weekly increase of 1,337 contracts from the previous week which had a total of -268,669 net contracts.

This 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 30.9 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.776.67.8
– Percent of Open Interest Shorts:19.561.915.7
– Net Position:-267,332572,247-304,915
– Gross Longs:491,8212,976,174303,939
– Gross Shorts:759,1532,403,927608,854
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):30.995.77.7
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-69.158.6-3.5

 

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 202,050 contracts in the data reported through Tuesday. This was a weekly increase of 48,567 contracts from the previous week which had a total of 153,483 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.1 percent. The commercials are Bearish with a score of 39.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.071.06.6
– Percent of Open Interest Shorts:9.572.217.9
– Net Position:202,050-18,901-183,149
– Gross Longs:355,0101,147,620105,943
– Gross Shorts:152,9601,166,521289,092
– Long to Short Ratio:2.3 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):81.139.00.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.3-27.2-18.5

 

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 -28,072 contracts in the data reported through Tuesday. This was a weekly lift of 4,475 contracts from the previous week which had a total of -32,547 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 Bullish-Extreme with a score of 83.3 percent. The commercials are Bearish with a score of 23.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.071.615.5
– Percent of Open Interest Shorts:13.370.714.0
– Net Position:-28,07210,25917,813
– Gross Longs:132,694863,487186,632
– Gross Shorts:160,766853,228168,819
– Long to Short Ratio:0.8 to 11.0 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):83.323.466.7
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:28.3-27.76.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -300,782 contracts in the data reported through Tuesday. This was a weekly decrease of -8,171 contracts from the previous week which had a total of -292,611 net contracts.

This 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 62.5 percent. The commercials are Bullish with a score of 57.7 percent and the small traders (not shown in chart) are Bearish with a score of 34.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.781.412.7
– Percent of Open Interest Shorts:28.858.012.0
– Net Position:-300,782291,6639,119
– Gross Longs:58,2131,013,082157,838
– Gross Shorts:358,995721,419148,719
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):62.557.734.8
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.4-1.52.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

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