Archive for Bonds – Page 15

11 Sep

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

By InvestMacro

COT Bonds Open Interest Comparison

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

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

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

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

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

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

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

 

US Treasury Bond at top of Strength Scores, Eurodollar lowest

Strength Scores (a normalized measure of Speculator positions over a 3-year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury Bond leads the bonds markets and is the only market above the midpoint of its 3-year range at 56.9 percent. The Fed Funds (41.9 percent) comes in as the next highest bonds market in strength scores followed by the Ultra US Treasury Bond (39.4 percent).

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

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

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

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

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

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

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

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

Individual Markets:

3-Month Eurodollars Futures:

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

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

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

 

30-Day Federal Funds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.9 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 35.5 percent.

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -326,742 contracts in the data reported through Tuesday. This was a weekly lowering of -45,142 contracts from the previous week which had a total of -281,600 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.6 percent.

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -505,891 contracts in the data reported through Tuesday. This was a weekly lift of 59,565 contracts from the previous week which had a total of -565,456 net contracts.

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

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

 

10-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.2 percent. The commercials are Bullish-Extreme with a score of 80.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.

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

 

Ultra 10-Year Notes Futures:

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

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -85,217 contracts in the data reported through Tuesday. This was a weekly decrease of -16,383 contracts from the previous week which had a total of -68,834 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.9 percent. The commercials are Bearish with a score of 33.5 percent and the small traders (not shown in chart) are Bullish with a score of 69.3 percent.

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

 

Ultra US Treasury Bonds Futures:

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

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

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

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

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

What is the Secured Overnight Financing Rate (SOFR)?

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

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

Secured Overnight Financing Rate (SOFR) replaces LIBOR

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

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

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

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

sofr_secured_overnight_financing_rate

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

About the Author:

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

Blog Posts Bonds Financial News
03 Sep

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

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

COT Bonds Open Interest Comparison

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

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

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

Bonds Futures Speculator Net Position Changes

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

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

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

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

 

US Treasury Bond & Fed Funds Futures lead the Strength Scores

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

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Treasury Bond (62.2 percent) continues to lead the bonds markets although it is cooling off from past months and from last week’s score of 67.9 percent. The Fed Funds (50.1 percent) comes in as the next highest bonds market in strength scores and the only other one above the 3-Year midpoint of 50 percent.

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

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

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

Bonds Speculator Strength Score Trends (6-Weeks)

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

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

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

Individual Markets:

3-Month Eurodollars Futures:

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

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

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

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of 84,766 contracts in the data reported through Tuesday. This was a weekly decline of -17,884 contracts from the previous week which had a total of 102,650 net contracts.

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

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

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.4 percent. The commercials are Bullish-Extreme with a score of 96.0 percent and the small traders (not shown in chart) are Bearish with a score of 20.7 percent.

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -565,456 contracts in the data reported through Tuesday. This was a weekly fall of -61,931 contracts from the previous week which had a total of -503,525 net contracts.

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

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -440,103 contracts in the data reported through Tuesday. This was a weekly decline of -58,934 contracts from the previous week which had a total of -381,169 net contracts.

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -17,986 contracts in the data reported through Tuesday. This was a weekly lift of 7,103 contracts from the previous week which had a total of -25,089 net contracts.

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

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -68,834 contracts in the data reported through Tuesday. This was a weekly lowering of -17,703 contracts from the previous week which had a total of -51,131 net contracts.

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

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

 

Ultra US Treasury Bonds Futures:

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

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

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

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News investing
20 Aug

Large Bond Speculators drop 5-Year Bonds bets lower for 4th Week to 24-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 COT data is updated through Tuesday August 16th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes Week 33: 5-Year Bonds bets hit 24-week low

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

Leading the gains for the bond markets was the Fed Funds Futures (87,697 contracts) with the Eurodollar (16,102 contracts), the Ultra 10-Year (14,667 contracts) and the Long US Bond (261 contracts) also recording positive weeks.

The bond markets leading the declines in speculator bets this week were the 5-Year Bond (-116,372 contracts) and the 10-Year Bond (-76,650 contracts) with the 2-Year Bond (-41,827 contracts) and the Ultra US Bond (-13,607 contracts) also registering lower bets on the week.

The 5-Year Treasury Bond Futures saw their speculator bets drop sharply again this week. The 5-Year fell for the fourth straight week and for the seventh time in the past eight weeks for an eight-week total decline by -363,294 contracts. This recent weakness has pushed the overall speculator standing to the lowest level since March 1st, a span of twenty-four weeks. Overall, the 5-Year market is now very close to the bottom of it’s 3-year speculator sentiment range (1.2 percent strength score on a scale of 0-100) and has seen that strength score fall by -37.4 percent over the past six weeks (6-week trend score).

The 5-Year Bond price has continued in a downtrend and it’s yield closed the week (yields rise when bond prices fall) higher around 3.09 percent. Currently, the 5-Year yield (3.09%) is inverted with the 10-Year yield (2.97%), meaning that the shorter bond pays more yield than the longer bond and overall, an unusual occurrence.

Data Snapshot of Bond Market Traders | Columns Legend
Aug-16-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,585,91115-2,869,87703,208,50398-338,62630
FedFunds1,665,3655488,65851-93,150494,49271
2-Year2,124,68815-214,04839249,55374-35,50534
Long T-Bond1,167,91539-47,3256921,2071826,11873
10-Year3,520,46831-363,12817470,73278-107,60454
5-Year4,066,73055-467,3751621,46889-154,09339

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury Bond (69.2 percent) continues to generate the highest spec strength score for bonds and just a edge up from last week’s score of 69.1 percent. The Fed Funds (50.6 percent) comes in as the next highest bonds market in strength scores and the only other one above its 3-year midpoint of 50 percent. On the downside, the Eurodollar (0.3 percent), the 5-Year Bond (1.2 percent) and the 10-Year Bond (17.2 percent) come in as the lowest strength scores currently and are all in a bearish extreme level (below 20 percent).

 


Strength Statistics:
Fed Funds (50.6 percent) vs Fed Funds previous week (39.7 percent)
2-Year Bond (39.0 percent) vs 2-Year Bond previous week (47.5 percent)
5-Year Bond (1.2 percent) vs 5-Year Bond previous week (21.6 percent)
10-Year Bond (17.2 percent) vs 10-Year Bond previous week (28.9 percent)
Ultra 10-Year Bond (20.5 percent) vs Ultra 10-Year Bond previous week (16.7 percent)
US Treasury Bond (69.2 percent) vs US Treasury Bond previous week (69.1 percent)
Ultra US Treasury Bond (32.3 percent) vs Ultra US Treasury Bond previous week (37.8 percent)
Eurodollar (0.3 percent) vs Eurodollar previous week (0.0 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed  that all of the bonds markets this week had negative trend scores. The Fed Funds (-0.9 percent) had the least negative trend score followed by the Ultra 10-Year Bond (-2.4 percent) and the US Treasury Bond (-6.4 percent). The most negative downside trend scores were led by the 5-Year Bond (-37.4 percent) followed by the 10-Year Bond (-29.3 percent), the 2-Year Bond (-25.6 percent) and the Ultra US Treasury Bond (-23.0 percent).

 

Strength Trend Statistics:
Fed Funds (-0.9 percent) vs Fed Funds previous week (-14.8 percent)
2-Year Bond (-25.6 percent) vs 2-Year Bond previous week (-14.2 percent)
5-Year Bond (-37.4 percent) vs 5-Year Bond previous week (-26.0 percent)
10-Year Bond (-29.3 percent) vs 10-Year Bond previous week (-15.9 percent)
Ultra 10-Year Bond (-2.4 percent) vs Ultra 10-Year Bond previous week (-5.4 percent)
US Treasury Bond (-6.4 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (-23.0 percent) vs Ultra US Treasury Bond previous week (-9.5 percent)
Eurodollar (-9.6 percent) vs Eurodollar previous week (-13.4 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -2,869,877 contracts in the data reported through Tuesday. This was a weekly rise of 16,102 contracts from the previous week which had a total of -2,885,979 net contracts.

This 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 0.3 percent. The commercials are Bullish-Extreme with a score of 98.4 percent and the small traders (not shown in chart) are Bearish with a score of 29.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.571.34.5
– Percent of Open Interest Shorts:34.437.88.1
– Net Position:-2,869,8773,208,503-338,626
– Gross Longs:429,0276,835,497434,367
– Gross Shorts:3,298,9043,626,994772,993
– Long to Short Ratio:0.1 to 11.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.398.429.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.610.3-13.0

 

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 88,658 contracts in the data reported through Tuesday. This was a weekly rise of 87,697 contracts from the previous week which had a total of 961 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.6 percent. The commercials are Bearish with a score of 48.6 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.671.02.6
– Percent of Open Interest Shorts:9.376.62.3
– Net Position:88,658-93,1504,492
– Gross Longs:243,2641,183,00743,138
– Gross Shorts:154,6061,276,15738,646
– Long to Short Ratio:1.6 to 10.9 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.648.671.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.9-0.630.8

 

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 -214,048 contracts in the data reported through Tuesday. This was a weekly lowering of -41,827 contracts from the previous week which had a total of -172,221 net contracts.

This 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 39.0 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 33.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.580.97.4
– Percent of Open Interest Shorts:18.669.29.1
– Net Position:-214,048249,553-35,505
– Gross Longs:180,8581,718,780158,017
– Gross Shorts:394,9061,469,227193,522
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.074.433.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.617.120.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -467,375 contracts in the data reported through Tuesday. This was a weekly decline of -116,372 contracts from the previous week which had a total of -351,003 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.2 percent. The commercials are Bullish-Extreme with a score of 89.0 percent and the small traders (not shown in chart) are Bearish with a score of 38.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.583.77.4
– Percent of Open Interest Shorts:18.068.411.2
– Net Position:-467,375621,468-154,093
– Gross Longs:265,7413,402,691299,503
– Gross Shorts:733,1162,781,223453,596
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.289.038.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-37.426.4-1.0

 

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 -363,128 contracts in the data reported through Tuesday. This was a weekly lowering of -76,650 contracts from the previous week which had a total of -286,478 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-Extreme with a score of 17.2 percent. The commercials are Bullish with a score of 77.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.081.59.4
– Percent of Open Interest Shorts:16.368.212.5
– Net Position:-363,128470,732-107,604
– Gross Longs:209,8212,870,103332,003
– Gross Shorts:572,9492,399,371439,607
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.277.854.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-29.319.86.0

 

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 -32,000 contracts in the data reported through Tuesday. This was a weekly increase of 14,667 contracts from the previous week which had a total of -46,667 net contracts.

This 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 20.5 percent. The commercials are Bullish-Extreme with a score of 81.5 percent and the small traders (not shown in chart) are Bearish with a score of 41.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.684.710.0
– Percent of Open Interest Shorts:7.271.320.7
– Net Position:-32,000160,566-128,566
– Gross Longs:54,9651,016,979120,448
– Gross Shorts:86,965856,413249,014
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.581.541.8
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.43.7-3.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -47,325 contracts in the data reported through Tuesday. This was a weekly rise of 261 contracts from the previous week which had a total of -47,586 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 69.2 percent. The commercials are Bearish-Extreme with a score of 18.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.676.814.4
– Percent of Open Interest Shorts:11.774.912.2
– Net Position:-47,32521,20726,118
– Gross Longs:88,791896,481168,447
– Gross Shorts:136,116875,274142,329
– Long to Short Ratio:0.7 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.218.273.3
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.4-0.316.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -374,923 contracts in the data reported through Tuesday. This was a weekly reduction of -13,607 contracts from the previous week which had a total of -361,316 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.3 percent. The commercials are Bullish-Extreme with a score of 80.2 percent and the small traders (not shown in chart) are Bullish with a score of 55.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.082.511.0
– Percent of Open Interest Shorts:31.357.98.3
– Net Position:-374,923337,61437,309
– Gross Longs:55,0631,133,222150,925
– Gross Shorts:429,986795,608113,616
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.380.255.1
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.025.33.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

See CFTC criteria here.

Bonds CountingPips Forex Blog Financial News investing
13 Aug

COT Week 32 Charts: Bonds Speculators bets weaker this week led by Eurodollar & 2-Year Bonds

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

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

The latest COT data is updated through Tuesday August 9nd and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes

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

Leading the gains for the bond markets was the 10-Year Bond (9,012 contracts) with the Long US Bond (8,467 contracts) and the Fed Funds (3,686 contracts) also having positive weeks.

The bond markets leading the declines in speculator bets this week were the Eurodollar (-99,296 contracts) and the 2-Year Bond (-72,753 contracts) with the 5-Year Bond (-15,058 contracts), the Ultra 10-Year (-10,376 contracts) and the Ultra US Bond (-9,201 contracts) also registering lower bets for the week.

Data Snapshot of Bond Market Traders | Columns Legend
Aug-09-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,633,69816-2,885,97903,205,92798-319,94834
FedFunds1,595,759499614011,29961-12,26029
2-Year2,122,09915-172,22147224,20269-51,98127
Long T-Bond1,160,70937-47,5866923,4041924,18272
10-Year3,541,74433-286,47829386,24568-99,76756
5-Year3,901,25346-351,00322481,26672-130,26345

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Treasury Bond (69.1 percent) leads the bonds markets and is the only market with an above 50 percent score currently (above 50 percent of 3-year speculator bet range). The strength scores reiterate the weakness for speculator sentiment in bonds this year. On the downside, the Eurodollar (0.0 percent) comes in at the lowest strength level currently and is at the bottom of its three-year range. Joining the Eurodollar in an extreme bearish level (below 20 percent) is the Ultra 10-Year Bond at a 16.7 percent score.


Strength Statistics:
Fed Funds (39.7 percent) vs Fed Funds previous week (39.3 percent)
2-Year Bond (47.5 percent) vs 2-Year Bond previous week (62.2 percent)
5-Year Bond (21.6 percent) vs 5-Year Bond previous week (24.3 percent)
10-Year Bond (28.9 percent) vs 10-Year Bond previous week (27.5 percent)
Ultra 10-Year Bond (16.7 percent) vs Ultra 10-Year Bond previous week (19.4 percent)
US Treasury Bond (69.1 percent) vs US Treasury Bond previous week (66.3 percent)
Ultra US Treasury Bond (37.8 percent) vs Ultra US Treasury Bond previous week (41.6 percent)
Eurodollar (0.0 percent) vs Eurodollar previous week (1.8 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that there are no positive trends in the past six weeks currently. The US Treasury Bond (-3.0 percent), the Ultra 10-Year Bond (-5.4 percent) and the Ultra US Treasury Bond (-9.5 percent) are the markets showing the least declines in the latest trends data. The 5-Year Bond (-26.0 percent) leads the downside trend scores currently followed by the 10-Year Bond (-15.9 percent), the Fed Funds (-14.8 percent) and the 2-Year Bond (-14.2 percent).


Strength Trend Statistics:
Fed Funds (-14.8 percent) vs Fed Funds previous week (-15.7 percent)
2-Year Bond (-14.2 percent) vs 2-Year Bond previous week (4.0 percent)
5-Year Bond (-26.0 percent) vs 5-Year Bond previous week (-40.7 percent)
10-Year Bond (-15.9 percent) vs 10-Year Bond previous week (-10.2 percent)
Ultra 10-Year Bond (-5.4 percent) vs Ultra 10-Year Bond previous week (7.1 percent)
US Treasury Bond (-3.0 percent) vs US Treasury Bond previous week (-12.0 percent)
Ultra US Treasury Bond (-9.5 percent) vs Ultra US Treasury Bond previous week (-2.9 percent)
Eurodollar (-13.4 percent) vs Eurodollar (-14.5 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -2,885,979 contracts in the data reported through Tuesday. This was a weekly decline of -99,296 contracts from the previous week which had a total of -2,786,683 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.3 percent and the small traders (not shown in chart) are Bearish with a score of 34.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.671.24.8
– Percent of Open Interest Shorts:34.637.98.1
– Net Position:-2,885,9793,205,927-319,948
– Gross Longs:447,5606,859,412463,734
– Gross Shorts:3,333,5393,653,485783,682
– Long to Short Ratio:0.1 to 11.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.334.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.412.37.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of 961 contracts in the data reported through Tuesday. This was a weekly gain of 3,686 contracts from the previous week which had a total of -2,725 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.7 percent. The commercials are Bullish with a score of 61.3 percent and the small traders (not shown in chart) are Bearish with a score of 28.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.874.52.1
– Percent of Open Interest Shorts:10.873.82.9
– Net Position:96111,299-12,260
– Gross Longs:172,5971,188,92833,947
– Gross Shorts:171,6361,177,62946,207
– Long to Short Ratio:1.0 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.761.328.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.814.9-7.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -172,221 contracts in the data reported through Tuesday. This was a weekly fall of -72,753 contracts from the previous week which had a total of -99,468 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 47.5 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bearish with a score of 26.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.880.77.8
– Percent of Open Interest Shorts:17.970.210.3
– Net Position:-172,221224,202-51,981
– Gross Longs:208,4341,712,983165,581
– Gross Shorts:380,6551,488,781217,562
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.568.926.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.26.516.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -351,003 contracts in the data reported through Tuesday. This was a weekly reduction of -15,058 contracts from the previous week which had a total of -335,945 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.6 percent. The commercials are Bullish with a score of 72.0 percent and the small traders (not shown in chart) are Bearish with a score of 45.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.37.6
– Percent of Open Interest Shorts:16.771.010.9
– Net Position:-351,003481,266-130,263
– Gross Longs:298,6313,249,286295,805
– Gross Shorts:649,6342,768,020426,068
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.672.045.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.013.111.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -286,478 contracts in the data reported through Tuesday. This was a weekly boost of 9,012 contracts from the previous week which had a total of -295,490 net contracts.

This 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 28.9 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.679.89.7
– Percent of Open Interest Shorts:15.768.812.6
– Net Position:-286,478386,245-99,767
– Gross Longs:269,6992,824,549344,919
– Gross Shorts:556,1772,438,304444,686
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.967.855.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.96.811.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -46,667 contracts in the data reported through Tuesday. This was a weekly reduction of -10,376 contracts from the previous week which had a total of -36,291 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.7 percent. The commercials are Bullish-Extreme with a score of 80.7 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.883.510.9
– Percent of Open Interest Shorts:8.870.220.3
– Net Position:-46,667157,510-110,843
– Gross Longs:56,978986,942128,400
– Gross Shorts:103,645829,432239,243
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.780.753.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.41.49.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -47,586 contracts in the data reported through Tuesday. This was a weekly advance of 8,467 contracts from the previous week which had a total of -56,053 net contracts.

This 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 Bearish-Extreme with a score of 19.0 percent and the small traders (not shown in chart) are Bullish with a score of 71.8 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.677.214.5
– Percent of Open Interest Shorts:11.775.212.4
– Net Position:-47,58623,40424,182
– Gross Longs:87,700896,500168,639
– Gross Shorts:135,286873,096144,457
– Long to Short Ratio:0.6 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.119.071.8
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.0-4.918.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -361,316 contracts in the data reported through Tuesday. This was a weekly decrease of -9,201 contracts from the previous week which had a total of -352,115 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.8 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish with a score of 50.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.684.210.4
– Percent of Open Interest Shorts:30.459.68.1
– Net Position:-361,316330,12431,192
– Gross Longs:47,8211,132,208139,719
– Gross Shorts:409,137802,084108,527
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.876.650.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.511.20.4

 

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 Financial News investing
06 Aug

Bonds Speculators bets drop this week led by Fed Funds, Eurodollar & 10-Year Bond

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 August 2nd and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes: COT Week 31

COT bond market speculator bets were overall lower this week as all eight of the bond markets we cover recorded declining speculative bets on the week.

The bond markets leading the declines in speculator positions were the Fed Funds (-149,893 contracts) and the Eurodollar (-102,744 contracts) with the 10-Year Bond (-95,630 contracts), the 5-Year Bond (-20,772 contracts), the 2-Year Bond (-9,604 contracts), the Long US Bond (-9,408 contracts), the Ultra 10-Year (-5,365 contracts) and the Ultra US Bond (-1,854 contracts) also registering lower bets on the week.

 

Data Snapshot of Bond Market Traders | Columns Legend
Aug-02-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,609,60915-2,786,68323,137,69297-351,00927
FedFunds1,540,43744-2,7253914,19762-11,47231
2-Year2,058,44212-99,46862182,72560-83,25714
Long T-Bond1,172,81540-56,0536643,3232612,73063
10-Year3,540,07632-295,49028382,61767-87,12759
5-Year3,935,26348-335,94524430,65666-94,71155

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Treasury Bond (66.3 percent) and the 2-Year Bond (62.2 percent) lead the bonds markets strength positions and are the only two markets above their midpoint positions (above 50 percent) over the past three-year range.

On the downside, the Eurodollar (1.6 percent) comes in at the lowest strength level currently and is joined in an extreme bearish level (below 20 percent) by the Ultra 10-Year Bond (19.4 percent). The 5-Year Bond (24.3 percent), the 10-Year Bond (27.5 percent) and the Fed Funds (39.3 percent) come in as the next lowest strength scores this week.


Strength Statistics:
Fed Funds (39.3 percent) vs Fed Funds previous week (57.8 percent)
2-Year Bond (62.2 percent) vs 2-Year Bond previous week (64.1 percent)
5-Year Bond (24.3 percent) vs 5-Year Bond previous week (27.9 percent)
10-Year Bond (27.5 percent) vs 10-Year Bond previous week (42.1 percent)
Ultra 10-Year Bond (19.4 percent) vs Ultra 10-Year Bond previous week (20.8 percent)
US Treasury Bond (66.3 percent) vs US Treasury Bond previous week (69.4 percent)
Ultra US Treasury Bond (41.6 percent) vs Ultra US Treasury Bond previous week (42.3 percent)
Eurodollar (1.6 percent) vs Eurodollar previous week (3.5 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bond (7.1 percent) leads the past six weeks trends for bonds this week. The 2-Year Bond (4.0 percent) is the only other positive mover in the latest trends data. The 5-Year Bond (-40.7 percent) leads the downside trend scores currently while the next markets with lower trend scores were the Fed Funds (-15.7 percent), the Eurodollar (-14.6 percent) and the US Treasury Bond (-12.0 percent).


Strength Trend Statistics:
Fed Funds (-15.7 percent) vs Fed Funds previous week (4.5 percent)
2-Year Bond (4.0 percent) vs 2-Year Bond previous week (14.2 percent)
5-Year Bond (-40.7 percent) vs 5-Year Bond previous week (-21.8 percent)
10-Year Bond (-10.2 percent) vs 10-Year Bond previous week (0.9 percent)
Ultra 10-Year Bond (7.1 percent) vs Ultra 10-Year Bond previous week (13.1 percent)
US Treasury Bond (-12.0 percent) vs US Treasury Bond previous week (-5.6 percent)
Ultra US Treasury Bond (-2.9 percent) vs Ultra US Treasury Bond previous week (-3.5 percent)
Eurodollar (-14.6 percent) vs Eurodollar (-15.3 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week totaled a net position of -2,786,683 contracts in the data reported through Tuesday. This was a weekly lowering of -102,744 contracts from the previous week which had a total of -2,683,939 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.6 percent. The commercials are Bullish-Extreme with a score of 97.1 percent and the small traders (not shown in chart) are Bearish with a score of 27.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.172.04.1
– Percent of Open Interest Shorts:33.139.37.7
– Net Position:-2,786,6833,137,692-351,009
– Gross Longs:391,7556,915,941392,620
– Gross Shorts:3,178,4383,778,249743,629
– Long to Short Ratio:0.1 to 11.8 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.697.127.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.613.91.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -2,725 contracts in the data reported through Tuesday. This was a weekly fall of -149,893 contracts from the previous week which had a total of 147,168 net contracts.

This 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 39.3 percent. The commercials are Bullish with a score of 61.6 percent and the small traders (not shown in chart) are Bearish with a score of 30.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.075.32.2
– Percent of Open Interest Shorts:10.274.32.9
– Net Position:-2,72514,197-11,472
– Gross Longs:153,9481,159,50833,605
– Gross Shorts:156,6731,145,31145,077
– Long to Short Ratio:1.0 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.361.630.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.717.0-31.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -99,468 contracts in the data reported through Tuesday. This was a weekly lowering of -9,604 contracts from the previous week which had a total of -89,864 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.2 percent. The commercials are Bullish with a score of 59.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.579.97.0
– Percent of Open Interest Shorts:16.371.011.1
– Net Position:-99,468182,725-83,257
– Gross Longs:236,8031,644,805144,664
– Gross Shorts:336,2711,462,080227,921
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.259.813.9
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.0-5.01.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -335,945 contracts in the data reported through Tuesday. This was a weekly lowering of -20,772 contracts from the previous week which had a total of -315,173 net contracts.

This 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 24.3 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.382.18.1
– Percent of Open Interest Shorts:16.971.210.5
– Net Position:-335,945430,656-94,711
– Gross Longs:327,8963,232,238317,840
– Gross Shorts:663,8412,801,582412,551
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.365.854.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.717.224.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -295,490 contracts in the data reported through Tuesday. This was a weekly decrease of -95,630 contracts from the previous week which had a total of -199,860 net contracts.

This 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 67.3 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.880.59.9
– Percent of Open Interest Shorts:15.169.612.4
– Net Position:-295,490382,617-87,127
– Gross Longs:239,4382,848,101351,703
– Gross Shorts:534,9282,465,484438,830
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.567.358.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.2-2.621.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -36,291 contracts in the data reported through Tuesday. This was a weekly reduction of -5,365 contracts from the previous week which had a total of -30,926 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.4 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bearish with a score of 49.7 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.782.711.7
– Percent of Open Interest Shorts:7.869.621.6
– Net Position:-36,291152,427-116,136
– Gross Longs:54,793966,321136,755
– Gross Shorts:91,084813,894252,891
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.479.449.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.1-15.521.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -56,053 contracts in the data reported through Tuesday. This was a weekly decrease of -9,408 contracts from the previous week which had a total of -46,645 net contracts.

This 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 66.3 percent. The commercials are Bearish with a score of 26.1 percent and the small traders (not shown in chart) are Bullish with a score of 62.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.178.014.0
– Percent of Open Interest Shorts:11.974.313.0
– Net Position:-56,05343,32312,730
– Gross Longs:83,261915,066164,718
– Gross Shorts:139,314871,743151,988
– Long to Short Ratio:0.6 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.326.162.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.01.924.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -352,115 contracts in the data reported through Tuesday. This was a weekly decrease of -1,854 contracts from the previous week which had a total of -350,261 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.6 percent. The commercials are Bullish with a score of 65.6 percent and the small traders (not shown in chart) are Bullish with a score of 60.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.784.611.5
– Percent of Open Interest Shorts:30.461.28.1
– Net Position:-352,115307,87744,238
– Gross Longs:48,8801,114,434150,939
– Gross Shorts:400,995806,557106,701
– Long to Short Ratio:0.1 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.665.660.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.9-4.411.5

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News investing
02 Aug

Bond yields move lower, stocks too

By ForexTime

Asian stocks have kicked off August on the back foot as US-China tensions stir safe-haven demand. This follows on from US equities, that snapped a three-day win streak after capping their best month since 2020 last week. Trading volumes are typically thinner during summer as European traders especially are running flat trading books during the holiday season. This means volumes will be a fraction of the size of normal trading activity which can exacerbate price action and swings. These were certainly seen intraday yesterday as the broad S&P500 index moved between gains and losses.

Yesterday’s falls across the pond followed on from a gain of more than 9% for the blue-chip S&P500 in July and a 12.3% increase in the tech-heavy Nasdaq that marked the tech benchmark’s strongest month since April 2020. Easing expectations for interest rate rises and positive earnings updates from several big tech and energy companies were the two key drivers of this summer rally. The question on many investors’ lips has been if the low is now in place, or if this is a bear market rally in a broader downtrend?

On the technical side, the S&P500 has hit the 100-day simple moving average at 4121 in a resistance zone with the February low at 4114. The halfway point of the March to June move is also near at 4137.

Data Dependent traders

Market participants are now watching data more closely too, after Fed Chair Powell, and President Lagarde, and the ECB, bailed out of offering forward guidance to investors and markets. Probably this is an honest admission that policymakers don’t know what the economy is going to do next. Instead, they are now data dependent and yesterday’s main economic indicator painted a cloudy picture at best.

The US ISM slipped to 52.9 in July, its lowest level since June 2020. Any figure above 50 indicates an expansion, but the latest result points to a slowdown in growth.  But the ISM’s index did provide an encouraging gauge that cost pressures may be easing on companies. The sub-index fell to a near two-year low, well below the estimates of economists.

Falling bond yields take down USD/JPY

The high in USD/JPY seems a distant memory today from when it was posted in mid-July above 139. The major is correlated with US 10-year rate differentials, mainly due to the Bank of Japan’s commitment to yield curve control. This effectively means where the US 10-year Treasury yield goes, so to does USD/JPY. And those yields have fallen sharply as markets have scaled back their expectations of how much the Fed will tighten policy to curb red-hot inflation. From a high close to 3.5%, the US 10-year yield is now nearing 2.5% after dropping below the lower bound of the recent sideways trading range around 2.7%. This is a mighty fall in bond markets and has weighed heavily on USD/JPY.

The major is back below 135 and smashed down through the next major support at 131.34 overnight. The latest US wage and inflation data may slow the descent of US yields. But the yen may retain a small bid on growing odds of a US recession as the Fed hiking cycle continues. This week’s bid for safe haven assets as US House Speaker Pelosi gears up to visit Taiwan is also helping the yen. The 100-day simple moving average could offer support at 130.12 as prices go into overbought territory.

Forex-Time-LogoArticle by ForexTime

ForexTime Ltd (FXTM) is an award winning international online forex broker regulated by CySEC 185/12 www.forextime.com

Bonds Economics & Fundamentals Financial News
30 Jul

COT Week 30 Charts: Bonds Speculators bets fall this week led by 10-Year & 5-Year Bonds

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

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

The latest COT data is updated through Tuesday July 26th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes

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

Leading the gains for the bond markets was the Fed Funds Futures (33,590 contracts) with the Ultra 10-Year (4,781 contracts) also showing a positive week.

The bond markets leading the declines in speculator bets this week were the 10-Year Bond (-91,156 contracts) and the 5-Year Bond (-57,158 contracts) with the Eurodollar (-40,034 contracts), the 2-Year Bond (-26,811 contracts), the Long US Bond (-4,543 contracts) and the Ultra US Bond (-4,479 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-26-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,398,09211-2,683,93942,957,40994-273,47044
FedFunds1,885,79971147,16858-139,54943-7,61940
2-Year2,018,24410-89,86464160,60455-70,74019
Long T-Bond1,183,49942-46,6456928,8962117,74967
10-Year3,504,78030-199,86042266,23454-66,37464
5-Year3,988,92951-315,17328449,86968-134,69644

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Treasury Bond (69.4 percent) continues to lead the strength scores although it has been cooling off over the past weeks. The 2-Year Bond (64.1 percent) and the Fed Funds (57.8 percent) come in as the next highest bonds markets in strength scores this week with both over 50 percent (or the midway point of their 3-year range). On the downside, the Eurodollar (3.5 percent) comes in at the lowest strength level currently – at an extreme bearish position and near the bottom of its three-year range. The Ultra 10-Year Bond is the next lowest at 20.8 percent followed by the 5-Year Bond (27.9 percent).


Strength Statistics:
Fed Funds (57.8 percent) vs Fed Funds previous week (53.6 percent)
2-Year Bond (64.1 percent) vs 2-Year Bond previous week (69.5 percent)
5-Year Bond (27.9 percent) vs 5-Year Bond previous week (37.9 percent)
10-Year Bond (42.1 percent) vs 10-Year Bond previous week (55.9 percent)
Ultra 10-Year Bond (20.8 percent) vs Ultra 10-Year Bond previous week (19.5 percent)
US Treasury Bond (69.4 percent) vs US Treasury Bond previous week (70.9 percent)
Ultra US Treasury Bond (42.3 percent) vs Ultra US Treasury Bond previous week (44.1 percent)
Eurodollar (3.5 percent) vs Eurodollar previous week (4.3 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bond (14.2 percent) leads the past six weeks trends for bonds this week. The Ultra 10-Year Bond (13.1 percent), the Fed Funds (4.5 percent) and the 10-Year Bond (0.9 percent) round out the only other positive movers in the latest trends data. The 5-Year Bond (-21.8 percent) leads the downside trend scores currently while the next markets with lower trend scores were the Eurodollar (-15.3 percent) followed by the US Treasury Bond (-5.6 percent).

Strength Trend Statistics:
Fed Funds (4.5 percent) vs Fed Funds previous week (7.3 percent)
2-Year Bond (14.2 percent) vs 2-Year Bond previous week (21.7 percent)
5-Year Bond (-21.8 percent) vs 5-Year Bond previous week (-6.2 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (23.9 percent)
Ultra 10-Year Bond (13.1 percent) vs Ultra 10-Year Bond previous week (10.4 percent)
US Treasury Bond (-5.6 percent) vs US Treasury Bond previous week (-15.3 percent)
Ultra US Treasury Bond (-3.5 percent) vs Ultra US Treasury Bond previous week (-12.6 percent)
Eurodollar (-15.3 percent) vs Eurodollar (0.0 percent)

Individual Markets

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -2,683,939 contracts in the data reported through Tuesday. This was a weekly fall of -40,034 contracts from the previous week which had a total of -2,643,905 net contracts.

This 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 3.5 percent. The commercials are Bullish-Extreme with a score of 93.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.271.54.4
– Percent of Open Interest Shorts:32.840.17.3
– Net Position:-2,683,9392,957,409-273,470
– Gross Longs:397,5706,724,178413,933
– Gross Shorts:3,081,5093,766,769687,403
– Long to Short Ratio:0.1 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.593.944.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.313.120.9

 

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 147,168 contracts in the data reported through Tuesday. This was a weekly advance of 33,590 contracts from the previous week which had a total of 113,578 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.8 percent. The commercials are Bearish with a score of 42.9 percent and the small traders (not shown in chart) are Bearish with a score of 40.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.471.41.7
– Percent of Open Interest Shorts:7.678.82.1
– Net Position:147,168-139,549-7,619
– Gross Longs:290,9671,346,03732,709
– Gross Shorts:143,7991,485,58640,328
– Long to Short Ratio:2.0 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.842.940.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-2.9-31.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -89,864 contracts in the data reported through Tuesday. This was a weekly decrease of -26,811 contracts from the previous week which had a total of -63,053 net contracts.

This 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 64.1 percent. The commercials are Bullish with a score of 55.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.980.06.8
– Percent of Open Interest Shorts:16.372.010.3
– Net Position:-89,864160,604-70,740
– Gross Longs:239,9801,613,664137,474
– Gross Shorts:329,8441,453,060208,214
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.155.019.1
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-14.8-1.2

 

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 -315,173 contracts in the data reported through Tuesday. This was a weekly fall of -57,158 contracts from the previous week which had a total of -258,015 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.9 percent. The commercials are Bullish with a score of 68.2 percent and the small traders (not shown in chart) are Bearish with a score of 44.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.983.97.1
– Percent of Open Interest Shorts:15.872.710.5
– Net Position:-315,173449,869-134,696
– Gross Longs:314,6963,348,396283,150
– Gross Shorts:629,8692,898,527417,846
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.968.244.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.89.412.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -199,860 contracts in the data reported through Tuesday. This was a weekly lowering of -91,156 contracts from the previous week which had a total of -108,704 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.1 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.680.110.0
– Percent of Open Interest Shorts:13.372.511.9
– Net Position:-199,860266,234-66,374
– Gross Longs:266,8142,805,832351,590
– Gross Shorts:466,6742,539,598417,964
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.153.563.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.9-12.824.0

 

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 -30,926 contracts in the data reported through Tuesday. This was a weekly advance of 4,781 contracts from the previous week which had a total of -35,707 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.8 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bearish with a score of 47.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.183.011.3
– Percent of Open Interest Shorts:7.870.021.6
– Net Position:-30,926151,176-120,250
– Gross Longs:59,468967,242131,774
– Gross Shorts:90,394816,066252,024
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.879.147.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.1-16.18.2

 

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 -46,645 contracts in the data reported through Tuesday. This was a weekly decline of -4,543 contracts from the previous week which had a total of -42,102 net contracts.

This 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 69.4 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 66.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.077.914.4
– Percent of Open Interest Shorts:11.075.512.9
– Net Position:-46,64528,89617,749
– Gross Longs:83,344922,508169,862
– Gross Shorts:129,989893,612152,113
– Long to Short Ratio:0.6 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.420.966.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.6-5.325.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -350,261 contracts in the data reported through Tuesday. This was a weekly decrease of -4,479 contracts from the previous week which had a total of -345,782 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 Bearish with a score of 42.3 percent. The commercials are Bullish with a score of 62.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.784.411.7
– Percent of Open Interest Shorts:30.161.78.0
– Net Position:-350,261301,56848,693
– Gross Longs:49,1911,120,969154,740
– Gross Shorts:399,452819,401106,047
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.362.563.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.5-4.813.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News investing
23 Jul
trading

COT Week 29 Charts: Bonds Speculators bets mixed led by Eurodollar, 5-Year & Long Treasury Bond

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 July 19th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes

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

Leading the weekly gains for the bond markets was the Eurodollar (80,661 contracts) with the 5-Year Bond (33,108 contracts), the Fed Funds Futures (32,523 contracts) and the 2-Year Bond (1,516 contracts) also showing positive changes for the week.

The bond markets leading the declines in speculator bets this week were the Long US Bond (-18,884 contracts) with the Ultra US Bond (-17,487 contracts) coming in a close second while the Ultra 10-Year (-8,368 contracts) and the 10-Year Bond (-333 contracts) also saw lower speculator bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-19-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,390,82511-2,643,90542,937,91294-294,00740
FedFunds1,769,13959113,57854-105,03247-8,54638
2-Year2,079,26513-63,05370141,84951-78,79616
Long T-Bond1,182,31244-42,1027123,0041919,09868
10-Year3,431,24625-108,70456172,61242-63,90864
5-Year3,916,09747-258,01538400,93062-142,91542

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury Bond (70.9 percent) continues to lead the bonds category in sentiment. The 2-Year Bond (69.5 percent) comes in as the next highest bonds market in strength scores followed by the 10-Year Bond (55.9 percent) and the Fed Funds (53.6 percent). On the downside, the Eurodollar (4.3 percent) and the Ultra 10-Year Bond (19.5 percent) come in at the lowest strength levels currently and are both in bearish extreme standings this week (below 20 percent). The next lowest strength scores are seen in the 5-Year Bond (37.9 percent) and the Ultra US Treasury Bond (44.1 percent).

Strength Statistics:
Fed Funds (53.6 percent) vs Fed Funds previous week (49.6 percent)
2-Year Bond (69.5 percent) vs 2-Year Bond previous week (69.2 percent)
5-Year Bond (37.9 percent) vs 5-Year Bond previous week (32.1 percent)
10-Year Bond (55.9 percent) vs 10-Year Bond previous week (56.0 percent)
Ultra 10-Year Bond (19.5 percent) vs Ultra 10-Year Bond previous week (21.7 percent)
US Treasury Bond (70.9 percent) vs US Treasury Bond previous week (77.0 percent)
Ultra US Treasury Bond (44.1 percent) vs Ultra US Treasury Bond previous week (51.3 percent)
Eurodollar (4.3 percent) vs Eurodollar previous week (2.8 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the 10-Year Bond (23.9 percent) leads the past six weeks trends for bonds currently. The 2-Year Bond (21.7 percent), the Ultra 10-Year Bond (10.4 percent) and the Fed Funds (7.3 percent) fill out the rest of the positive movers in the latest trends data. The US Treasury Bond (-15.3 percent) leads the downside trend scores currently while the next markets with negative trend scores were the Ultra US Treasury Bond (-12.6 percent) and the 5-Year Bond (-6.2 percent).

Strength Trend Statistics:
Fed Funds (7.3 percent) vs Fed Funds previous week (6.9 percent)
2-Year Bond (21.7 percent) vs 2-Year Bond previous week (12.8 percent)
5-Year Bond (-6.2 percent) vs 5-Year Bond previous week (-12.9 percent)
10-Year Bond (23.9 percent) vs 10-Year Bond previous week (19.8 percent)
Ultra 10-Year Bond (10.4 percent) vs Ultra 10-Year Bond previous week (20.3 percent)
US Treasury Bond (-15.3 percent) vs US Treasury Bond previous week (-14.0 percent)
Ultra US Treasury Bond (-12.6 percent) vs Ultra US Treasury Bond previous week (-7.8 percent)
Eurodollar (0.0 percent) vs Eurodollar (2.4 percent)

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -2,643,905 contracts in the data reported through Tuesday. This was a weekly lift of 80,661 contracts from the previous week which had a total of -2,724,566 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.3 percent. The commercials are Bullish-Extreme with a score of 93.5 percent and the small traders (not shown in chart) are Bearish with a score of 39.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.971.74.4
– Percent of Open Interest Shorts:33.040.47.5
– Net Position:-2,643,9052,937,912-294,007
– Gross Longs:455,5676,735,605413,100
– Gross Shorts:3,099,4723,797,693707,107
– Long to Short Ratio:0.1 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.393.539.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.0-1.518.3

 

Individual Markets:

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of 113,578 contracts in the data reported through Tuesday. This was a weekly lift of 32,523 contracts from the previous week which had a total of 81,055 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.6 percent. The commercials are Bearish with a score of 47.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.072.91.8
– Percent of Open Interest Shorts:7.678.92.3
– Net Position:113,578-105,032-8,546
– Gross Longs:248,0721,290,34431,928
– Gross Shorts:134,4941,395,37640,474
– Long to Short Ratio:1.8 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.647.138.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.3-6.9-5.7

 

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week resulted in a net position of -63,053 contracts in the data reported through Tuesday. This was a weekly increase of 1,516 contracts from the previous week which had a total of -64,569 net contracts.

This 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 69.5 percent. The commercials are Bullish with a score of 50.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.7 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.478.16.6
– Percent of Open Interest Shorts:16.571.310.4
– Net Position:-63,053141,849-78,796
– Gross Longs:279,4801,623,897137,606
– Gross Shorts:342,5331,482,048216,402
– Long to Short Ratio:0.8 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.550.915.7
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.7-18.2-10.1

 

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week resulted in a net position of -258,015 contracts in the data reported through Tuesday. This was a weekly increase of 33,108 contracts from the previous week which had a total of -291,123 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.9 percent. The commercials are Bullish with a score of 62.2 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.384.37.4
– Percent of Open Interest Shorts:13.974.111.0
– Net Position:-258,015400,930-142,915
– Gross Longs:284,4163,302,273289,136
– Gross Shorts:542,4312,901,343432,051
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.962.241.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.2-1.012.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -108,704 contracts in the data reported through Tuesday. This was a weekly lowering of -333 contracts from the previous week which had a total of -108,371 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 Bullish with a score of 55.9 percent. The commercials are Bearish with a score of 42.4 percent and the small traders (not shown in chart) are Bullish with a score of 64.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.277.49.8
– Percent of Open Interest Shorts:13.472.411.6
– Net Position:-108,704172,612-63,908
– Gross Longs:351,6792,655,676335,131
– Gross Shorts:460,3832,483,064399,039
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.942.464.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.9-30.222.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -35,707 contracts in the data reported through Tuesday. This was a weekly fall of -8,368 contracts from the previous week which had a total of -27,339 net contracts.

This 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 19.5 percent. The commercials are Bullish with a score of 78.6 percent and the small traders (not shown in chart) are Bullish with a score of 51.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.282.811.6
– Percent of Open Interest Shorts:8.270.121.2
– Net Position:-35,707149,258-113,551
– Gross Longs:61,232974,246136,055
– Gross Shorts:96,939824,988249,606
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.578.651.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.4-9.7-1.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -42,102 contracts in the data reported through Tuesday. This was a weekly decline of -18,884 contracts from the previous week which had a total of -23,218 net contracts.

This 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 70.9 percent. The commercials are Bearish-Extreme with a score of 18.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.677.913.9
– Percent of Open Interest Shorts:11.275.912.3
– Net Position:-42,10223,00419,098
– Gross Longs:90,183920,782164,348
– Gross Shorts:132,285897,778145,250
– Long to Short Ratio:0.7 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.918.867.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.310.214.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -345,782 contracts in the data reported through Tuesday. This was a weekly fall of -17,487 contracts from the previous week which had a total of -328,295 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.1 percent. The commercials are Bullish with a score of 65.5 percent and the small traders (not shown in chart) are Bullish with a score of 55.6 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.884.811.3
– Percent of Open Interest Shorts:30.161.48.4
– Net Position:-345,782307,67938,103
– Gross Longs:49,3871,113,613147,987
– Gross Shorts:395,169805,934109,884
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.165.555.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.68.310.0

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Financial News investing
16 Jul

COT Week 28 Charts: Bond Market Speculators bets mostly lower led by Eurodollar, 5-Year & FedFunds

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 July 12th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes

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

Leading the gains for the bond markets was the 10-Year Bond with a gain of 62,129 contracts while the 2-Year Bond (22,473 contracts) and the Long US Treasury Bond (4,455 contracts) also had higher net speculator positions for the week.

The Bond markets leading the declines in speculator bets this week were the Eurodollar (-375,415 contracts) and the 5-Year Bond (-36,670 contracts) with the Fed Funds (-15,131 contracts), the Ultra US Bond (-9,640 contracts) and the Ultra 10-Year (-4,597 contracts) also having lower bets on the week.

The Eurodollar represents the largest futures market with open interest (contracts open in the market currently) near 10 million contracts each week and the weekly changes dwarf most other markets. Overall, the bonds category represents around sixty percent of the contracts outstanding in the futures markets we cover and currently five bond markets reside in the top six of open interest.

 

Data Snapshot of Bond Market Traders | Columns Legend
Jul-12-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar9,649,03716-2,724,56633,025,60795-301,04138
FedFunds1,627,1144981,05550-72,13251-8,92337
2-Year2,064,38312-64,56969166,75256-102,1836
Long T-Bond1,174,64343-23,218778,3041414,91464
10-Year3,459,76127-108,37156221,84948-113,47853
5-Year3,968,03450-291,12332418,73464-127,61146

 

Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury Bond (77.0 percent) and the 2-Year Bond (69.2 percent) lead the bonds markets currently and have both risen since last week. The 10-Year Bond (56.0 percent) comes in as the next highest bonds market in strength scores and has risen almost 10 percent for the week. On the downside, the Eurodollar (2.8 percent) comes in at the lowest strength level currently and is the only extreme score this week (bearish). The Ultra 10-Year Bond (21.7 percent) and the 5-Year Bond (32.1 percent) follow as the next weakest strength scores.


Strength Statistics:
Fed Funds (49.6 percent) vs Fed Funds previous week (51.5 percent)
2-Year Bond (69.2 percent) vs 2-Year Bond previous week (64.7 percent)
5-Year Bond (32.1 percent) vs 5-Year Bond previous week (38.6 percent)
10-Year Bond (56.0 percent) vs 10-Year Bond previous week (46.5 percent)
Ultra 10-Year Bond (21.7 percent) vs Ultra 10-Year Bond previous week (22.9 percent)
US Treasury Bond (77.0 percent) vs US Treasury Bond previous week (75.6 percent)
Ultra US Treasury Bond (51.3 percent) vs Ultra US Treasury Bond previous week (55.2 percent)
Eurodollar (2.8 percent) vs Eurodollar previous week (9.7 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Ultra 10-Year Bond leads the past six weeks trends for bonds this week with a 20.3 percent gain. The 10-Year Bond (19.8 percent) and the 2-Year Bond (12.8 percent) round out the next top movers in the latest trends data. The US Treasury Bond (-14.0 percent) leads the downside trend scores currently while the next markets with lower trend scores were the 5-Year Bond (-12.9 percent) followed by the Ultra US Treasury Bond (-7.8 percent).

Strength Trend Statistics:
Fed Funds (6.9 percent) vs Fed Funds previous week (6.6 percent)
2-Year Bond (12.8 percent) vs 2-Year Bond previous week (-10.5 percent)
5-Year Bond (-12.9 percent) vs 5-Year Bond previous week (-23.5 percent)
10-Year Bond (19.8 percent) vs 10-Year Bond previous week (8.3 percent)
Ultra 10-Year Bond (20.3 percent) vs Ultra 10-Year Bond previous week (19.8 percent)
US Treasury Bond (-14.0 percent) vs US Treasury Bond previous week (-18.3 percent)
Ultra US Treasury Bond (-7.8 percent) vs Ultra US Treasury Bond previous week (-4.4 percent)
Eurodollar (2.4 percent) vs Eurodollar (8.9 percent)

Individual Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week totaled a net position of -2,724,566 contracts in the data reported through Tuesday. This was a weekly decrease of -375,415 contracts from the previous week which had a total of -2,349,151 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.8 percent. The commercials are Bullish-Extreme with a score of 95.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.772.44.3
– Percent of Open Interest Shorts:33.041.17.4
– Net Position:-2,724,5663,025,607-301,041
– Gross Longs:456,6666,989,571415,361
– Gross Shorts:3,181,2323,963,964716,402
– Long to Short Ratio:0.1 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.895.138.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.4-4.223.0

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 81,055 contracts in the data reported through Tuesday. This was a weekly fall of -15,131 contracts from the previous week which had a total of 96,186 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.6 percent. The commercials are Bullish with a score of 51.1 percent and the small traders (not shown in chart) are Bearish with a score of 37.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.772.92.3
– Percent of Open Interest Shorts:6.777.32.8
– Net Position:81,055-72,132-8,923
– Gross Longs:189,8151,186,00737,102
– Gross Shorts:108,7601,258,13946,025
– Long to Short Ratio:1.7 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.651.137.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.9-6.7-2.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -64,569 contracts in the data reported through Tuesday. This was a weekly boost of 22,473 contracts from the previous week which had a total of -87,042 net contracts.

This 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 69.2 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.578.06.5
– Percent of Open Interest Shorts:16.669.911.4
– Net Position:-64,569166,752-102,183
– Gross Longs:278,4481,610,060133,635
– Gross Shorts:343,0171,443,308235,818
– Long to Short Ratio:0.8 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.256.36.0
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.8-5.8-15.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -291,123 contracts in the data reported through Tuesday. This was a weekly reduction of -36,670 contracts from the previous week which had a total of -254,453 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.1 percent. The commercials are Bullish with a score of 64.4 percent and the small traders (not shown in chart) are Bearish with a score of 45.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.27.6
– Percent of Open Interest Shorts:14.373.610.8
– Net Position:-291,123418,734-127,611
– Gross Longs:274,5513,340,256301,482
– Gross Shorts:565,6742,921,522429,093
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.164.445.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.96.36.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -108,371 contracts in the data reported through Tuesday. This was a weekly increase of 62,129 contracts from the previous week which had a total of -170,500 net contracts.

This 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 56.0 percent. The commercials are Bearish with a score of 48.2 percent and the small traders (not shown in chart) are Bullish with a score of 52.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.477.69.3
– Percent of Open Interest Shorts:13.571.212.5
– Net Position:-108,371221,849-113,478
– Gross Longs:360,1632,686,457320,087
– Gross Shorts:468,5342,464,608433,565
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.048.252.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.8-22.513.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -27,339 contracts in the data reported through Tuesday. This was a weekly decrease of -4,597 contracts from the previous week which had a total of -22,742 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.7 percent. The commercials are Bullish with a score of 74.1 percent and the small traders (not shown in chart) are Bullish with a score of 57.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.182.212.0
– Percent of Open Interest Shorts:7.471.120.8
– Net Position:-27,339131,498-104,159
– Gross Longs:60,265973,110141,625
– Gross Shorts:87,604841,612245,784
– Long to Short Ratio:0.7 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.774.157.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.3-20.20.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -23,218 contracts in the data reported through Tuesday. This was a weekly lift of 4,455 contracts from the previous week which had a total of -27,673 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.0 percent. The commercials are Bearish-Extreme with a score of 13.6 percent and the small traders (not shown in chart) are Bullish with a score of 64.4 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.377.214.0
– Percent of Open Interest Shorts:10.376.512.7
– Net Position:-23,2188,30414,914
– Gross Longs:97,335907,260163,928
– Gross Shorts:120,553898,956149,014
– Long to Short Ratio:0.8 to 11.0 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.013.664.4
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.02.428.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -328,295 contracts in the data reported through Tuesday. This was a weekly fall of -9,640 contracts from the previous week which had a total of -318,655 net contracts.

This 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 51.3 percent. The commercials are Bullish with a score of 61.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.184.311.4
– Percent of Open Interest Shorts:29.561.29.1
– Net Position:-328,295298,40229,893
– Gross Longs:52,7661,087,219146,988
– Gross Shorts:381,061788,817117,095
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.361.049.7
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.85.35.9

 

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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