Archive for Bonds – Page 16

09 Nov

Interest rates: why the era of cheap money is finally ending

By John Whittaker, Lancaster University 

The Bank of England was widely expected to slightly increase its official bank rate on November 4, but it decided to stick to the all-time low of 0.1%. However, the bank has made it clear that a rise will soon be needed, and the recent increases in mortgage rates indicate that lenders agree. So why the decision to hold off?

The Bank of England is well aware of the distress that higher rates cause for borrowers and, in particular, for the biggest borrower in the land: the UK government. At the current level of national debt, roughly £2 trillion, every rise in rates by one percentage point pushes up the interest paid by the government on its bonds by £20 billion per year over the long term.

Higher rates also have a dampening effect on the prices of property and financial assets such as shares. Indeed, this is one way in which monetary policy is believed to work: if people feel less wealthy, they spend less and this relieves the pressure on inflation.

On the other hand, what’s bad for borrowers is good for savers. As rates rise, bank deposits will be better rewarded and even the finances of our beleaguered pension funds should begin to look more healthy.

But regardless of who wins and who loses from higher interest rates, inflation is on the rise. The bank does not want to lose credibility by letting it rise too far before tightening monetary policy.

The inflation dilemma

After rising for the past 12 months, UK inflation is currently 3.1%, and the bank expects it could even reach an uncomfortable 5% by early next year – much higher than its 2% target. Yet the bank maintains the view that this higher inflation will turn out to be temporary, arguing that it will fall back as the post-COVID excess demand for goods subsides and supply bottlenecks are worked out. Against that, energy prices are likely to remain higher, driven partly by climate initiatives; and if employers continue to have trouble filling vacancies, higher wages will also tend to push up prices.

The bottom line is that nobody really knows where inflation is heading, so the bank is wrestling with the usual dilemma: does it raise rates now to forestall future inflation, or does it hold rates down to avoid jeopardising the economic recovery while hoping that inflation will subside by itself? It can’t have it both ways.

Annual inflation 2019-21

Graph showing annual inflation 2019-21
ONS

This same dilemma is echoed in other countries. In the United States, the position is similarly troubling, with inflation already at 5.4% against a 2% target. Yet the Federal Reserve also continues to insist that the current high inflation is temporary, thereby justifying keeping its official interest rate (the Fed funds rate) near zero.

Yet the Fed is not completely sitting on its hands; it has announced that it will start “tapering” its quantitative easing (QE) programme, in which it is creating US$120 billion (£89 billion) a month to buy US government bonds and other financial assets to help prop up the economy. From the middle of November, it will scale this back by US$15 billion each month. This is at least an acknowledgement by the Fed that its excessively stimulatory monetary policy must eventually come to an end.

Back in the UK, the Bank of England has accumulated £800 billion of government debt as a result of its own QE asset purchases, designed to stimulate demand particularly since the outbreak of COVID. At some stage, the bank will need to begin offloading this debt.

Its choices of when and how to do this present the bank with arguably an even bigger dilemma than the bank rate, because unwinding QE will drive up yields on bonds – thus directly raising interest costs for the government and all other long-term borrowers.

Yields on 10-year UK government bonds

Chart showing 10-year government bond yields
Trading Economics

In fact, yields have already started rising after many years of decline (see chart above). This is a sign that investors think that monetary policy needs to become tighter to curb inflation (by raising official rates and reversing QE) – which also explains why mortgage rates have already been rising.

This all confirms that the long era of ever-cheaper finance is finally over. The future will be tougher thanks to higher interest rates, or higher inflation, or both.The Conversation

John Whittaker, Senior Teaching Fellow in Economics, Lancaster University

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

Bonds Economics & Fundamentals Opinions
06 Nov

COT Bonds Futures Charts: 2-Year & Long Treasury Notes see Speculator bets rise this week

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

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

The latest COT data is updated through Tuesday November 2nd 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT Bonds data is the general rise in speculator positions among a few of the bond market symbols while other symbols fell sharply. This week has seen the 2-Year bond speculators boost their net positions by +49,210 contracts while the Ultra Long US Treasury bond bets increased by 38,602 contracts and the Long US Treasury bond positions gained by 34,447 contracts this week. These were the second, third and fourth highest weekly changes for speculator positions this week. On the other side of the leaders were the Fed Funds, 5-Year, 10-Year and the Eurodollar markets which registered as the symbols with the largest speculator net decreases on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-02-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,358,98662-993,373311,355,37164-361,99856
FedFunds1,160,97114-62,4683274,23469-11,76640
2-Year2,052,53311-63,10878116,26340-53,1550
Long T-Bond1,158,74942-32,5478248,44336-15,89640
10-Year3,973,98863-268,66931606,611100-337,9420
5-Year3,568,73224-376,35329606,64794-230,2948

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -993,373 contracts in the data reported through Tuesday. This was a weekly reduction of -268,380 contracts from the previous week which had a total of -724,993 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.2 percent. The commercials are Bullish with a score of 64.3 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.666.14.3
– Percent of Open Interest Shorts:20.755.27.2
– Net Position:-993,3731,355,371-361,998
– Gross Longs:1,561,0618,174,708530,581
– Gross Shorts:2,554,4346,819,337892,579
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.264.355.9
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.17.8-30.5

 

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 -62,468 contracts in the data reported through Tuesday. This was a weekly lowering of -17,877 contracts from the previous week which had a total of -44,591 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.9 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 39.9 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.480.72.0
– Percent of Open Interest Shorts:9.774.33.0
– Net Position:-62,46874,234-11,766
– Gross Longs:50,587937,37923,576
– Gross Shorts:113,055863,14535,342
– Long to Short Ratio:0.4 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.968.939.9
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.9-2.6-4.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -63,108 contracts in the data reported through Tuesday. This was a weekly lift of 49,210 contracts from the previous week which had a total of -112,318 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.4 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.074.16.2
– Percent of Open Interest Shorts:19.168.58.8
– Net Position:-63,108116,263-53,155
– Gross Longs:329,1431,521,704127,629
– Gross Shorts:392,2511,405,441180,784
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):78.439.80.0
– COT Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.219.9-40.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -376,353 contracts in the data reported through Tuesday. This was a weekly lowering of -34,878 contracts from the previous week which had a total of -341,475 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.2 percent. The commercials are Bullish-Extreme with a score of 94.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.980.77.4
– Percent of Open Interest Shorts:19.463.713.8
– Net Position:-376,353606,647-230,294
– Gross Longs:317,6892,880,804263,908
– Gross Shorts:694,0422,274,157494,202
– Long to Short Ratio:0.5 to 11.3 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):29.294.27.7
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-34.442.2-28.3

 

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 -268,669 contracts in the data reported through Tuesday. This was a weekly decrease of -153,824 contracts from the previous week which had a total of -114,845 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.7 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 0.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.576.87.4
– Percent of Open Interest Shorts:19.261.615.9
– Net Position:-268,669606,611-337,942
– Gross Longs:496,1373,052,628294,092
– Gross Shorts:764,8062,446,017632,034
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):30.7100.00.0
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-50.855.4-25.2

 

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 153,483 contracts in the data reported through Tuesday. This was a weekly fall of -3,271 contracts from the previous week which had a total of 156,754 net contracts.

This 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 68.3 percent. The commercials are Bullish with a score of 50.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.671.96.8
– Percent of Open Interest Shorts:10.970.518.0
– Net Position:153,48323,194-176,677
– Gross Longs:325,1041,136,251107,890
– Gross Shorts:171,6211,113,057284,567
– Long to Short Ratio:1.9 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):68.350.82.4
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.8-11.8-16.2

 

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 -32,547 contracts in the data reported through Tuesday. This was a weekly increase of 34,447 contracts from the previous week which had a total of -66,994 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.7 percent. The commercials are Bearish with a score of 35.6 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.573.614.5
– Percent of Open Interest Shorts:13.369.415.9
– Net Position:-32,54748,443-15,896
– Gross Longs:121,529852,718168,279
– Gross Shorts:154,076804,275184,175
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):81.735.640.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.0-8.9-22.0

 

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 -292,611 contracts in the data reported through Tuesday. This was a weekly boost of 38,602 contracts from the previous week which had a total of -331,213 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.8 percent. The commercials are Bullish with a score of 53.6 percent and the small traders (not shown in chart) are Bearish with a score of 35.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.982.512.7
– Percent of Open Interest Shorts:28.059.212.0
– Net Position:-292,611283,2509,361
– Gross Longs:47,1321,001,156154,604
– Gross Shorts:339,743717,906145,243
– Long to Short Ratio:0.1 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):65.853.635.0
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.93.1-6.1

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Bonds CountingPips Forex Blog Opinions
30 Oct

COT Bonds Futures Charts: 5-Year Treasury Bond Speculator bets fall to 46-Week Low

By InvestMacro.com COT Home | Data Tables | Data Downloads | 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 October 26th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT Bonds data is the 5-Year Treasury Bond’s speculator positions that fell to a forty-six week low-point. The 5-year bond speculative position declined by over -86,000 contracts this week and fell for the fifth time in the past six weeks. The spec position has now fallen by a total -317,109 contracts over the past six weeks. The current net bearish standing sits at a total of -341,475 contracts for the 5-year bond speculators which registers as the most bearish level since December 8th of 2020 when net positions totaled -342,024 contracts.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-26-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,675,71468-724,993361,046,05659-321,06361
FedFunds1,293,09323-44,5913454,41066-9,81944
2-Year2,029,07910-112,31867154,78847-42,4701
Long T-Bond1,173,18044-66,9946987,01348-20,01937
10-Year4,000,22764-114,84559441,51575-326,6702
5-Year3,586,54425-341,47534579,88191-238,4065

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -724,993 contracts in the data reported through Tuesday. This was a weekly rise of 56,207 contracts from the previous week which had a total of -781,200 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.4 percent. The commercials are Bullish with a score of 58.9 percent and the small traders (not shown in chart) are Bullish with a score of 61.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.563.74.3
– Percent of Open Interest Shorts:19.255.56.9
– Net Position:-724,9931,046,056-321,063
– Gross Longs:1,711,6948,076,945551,131
– Gross Shorts:2,436,6877,030,889872,194
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):36.458.961.2
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.45.3-23.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -44,591 contracts in the data reported through Tuesday. This was a weekly rise of 9,893 contracts from the previous week which had a total of -54,484 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.1 percent. The commercials are Bullish with a score of 66.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.678.61.4
– Percent of Open Interest Shorts:9.174.42.1
– Net Position:-44,59154,410-9,819
– Gross Longs:72,5751,016,20617,945
– Gross Shorts:117,166961,79627,764
– Long to Short Ratio:0.6 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):34.166.544.1
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.2-3.6-8.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -112,318 contracts in the data reported through Tuesday. This was a weekly rise of 20,634 contracts from the previous week which had a total of -132,952 net contracts.

This 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 67.5 percent. The commercials are Bearish with a score of 47.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.5 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.373.86.8
– Percent of Open Interest Shorts:21.866.28.9
– Net Position:-112,318154,788-42,470
– Gross Longs:330,1301,497,320138,359
– Gross Shorts:442,4481,342,532180,829
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):67.547.20.5
– COT Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.428.2-35.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -341,475 contracts in the data reported through Tuesday. This was a weekly decrease of -86,264 contracts from the previous week which had a total of -255,211 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.4 percent. The commercials are Bullish-Extreme with a score of 90.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.079.37.1
– Percent of Open Interest Shorts:19.563.113.8
– Net Position:-341,475579,881-238,406
– Gross Longs:359,1802,844,217255,899
– Gross Shorts:700,6552,264,336494,305
– Long to Short Ratio:0.5 to 11.3 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):34.490.75.2
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-47.655.7-32.7

 

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 -114,845 contracts in the data reported through Tuesday. This was a weekly decrease of -114,301 contracts from the previous week which had a total of -544 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.9 percent. The commercials are Bullish with a score of 74.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.573.47.2
– Percent of Open Interest Shorts:19.462.415.4
– Net Position:-114,845441,515-326,670
– Gross Longs:660,0042,937,167287,429
– Gross Shorts:774,8492,495,652614,099
– Long to Short Ratio:0.9 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):58.974.91.7
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-33.941.9-24.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of 156,754 contracts in the data reported through Tuesday. This was a weekly boost of 17,195 contracts from the previous week which had a total of 139,559 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.1 percent. The commercials are Bearish with a score of 49.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.072.67.0
– Percent of Open Interest Shorts:9.871.418.4
– Net Position:156,75419,632-176,386
– Gross Longs:306,6621,116,413106,942
– Gross Shorts:149,9081,096,781283,328
– Long to Short Ratio:2.0 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):69.149.82.6
– COT Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.8-15.1-6.4

 

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 -66,994 contracts in the data reported through Tuesday. This was a weekly decrease of -9,423 contracts from the previous week which had a total of -57,571 net contracts.

This 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 69.3 percent. The commercials are Bearish with a score of 47.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.875.713.9
– Percent of Open Interest Shorts:14.568.215.6
– Net Position:-66,99487,013-20,019
– Gross Longs:103,650887,603163,344
– Gross Shorts:170,644800,590183,363
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):69.347.936.7
– COT Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.312.9-27.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -331,213 contracts in the data reported through Tuesday. This was a weekly reduction of -19,436 contracts from the previous week which had a total of -311,777 net contracts.

This 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 74.2 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.682.712.6
– Percent of Open Interest Shorts:30.856.012.1
– Net Position:-331,213325,3245,889
– Gross Longs:44,0621,007,205153,271
– Gross Shorts:375,275681,881147,382
– Long to Short Ratio:0.1 to 11.5 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):50.174.232.5
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.023.8-13.7

 

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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

Bonds CountingPips Forex Blog Opinions
25 Oct

What Junk Bonds Convey About Investors’ Mindset

“Governments feel rich and are spending like drunken sailors” 

By Elliott Wave International

Extremely elevated financial optimism is being expressed in multiple ways.
In some ways, the behavior of investors is unprecedented — which is saying a lot given the financial extremes of past bull markets.

Consider the junk bond market here in 2021. The September Elliott Wave Theorist showed this chart and said:

NegativeRealYield

As we continue to demonstrate, stocks, property, cryptocurrencies and digital art are not the only overvalued markets. Bonds are no less crazily priced. The chart reveals that fully 85% of all junk bonds yield less than the annualized percentage change in the Consumer Price Index. How is that for blind optimism?

Yes, stocks remain near record-high territory after a more than 12-year uptrend, bitcoin is near record-high territory and the rate of price increases in the housing market has been unprecedented (again, saying a lot given the extremes of the prior housing boom).

Even so, an Oct. 18 Fortune article says:

In the next 15 months — through the end of 2022 — Goldman Sachs is forecasting U.S. home prices will soar another 16%.

And, who would have ever imagined a few short years ago that digital images would sell for millions?

Yet, here’s the latest headline (Oct. 19):

How a 12-year-old coder says he made $600,000 by selling Weird Whales NFTs

Of course, “NFT” stands for non-fungible token — a unique digital asset. The current craze in that space is around digital artwork.

The October Elliott Wave Theorist mentions several more expressions of a positive social mood. Here are just a portion of them:

Governments feel rich and are spending like drunken sailors; central bankers are confident and unworried, and they have been characterized as heroes; the world economy is producing more tax revenue than ever, despite government efforts to kill productivity; and there are no wars anywhere on the entire planet.

The October Theorist concludes with a hint of what to expect over the next three years.

The Elliott Wave Theorist is part of the Financial Forecast Service — Elliott Wave International’s flagship investor package — which offers Elliott wave analysis of major U.S. financial markets.

Now through November 3, you can see that analysis FREE in EWI’s most popular event of the year, “U.S. Markets FreePass

Here’s what’s included:

  1. Financial Forecast gives you the ins and outs of 8 different major markets, with a U.S. focus, on a several-months’ timeframe.
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This article was syndicated by Elliott Wave International and was originally published under the headline What Junk Bonds Convey About Investors’ Mindset. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

Bonds Economics & Fundamentals Opinions
22 Oct

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

By InvestMacro.com COT Home | Data Tables | Data Downloads | 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 October 19th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-19-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,424,74763-781,200351,080,70660-299,50664
FedFunds1,217,77518-54,4843365,50368-11,01942
2-Year1,991,6898-132,95263172,59851-39,6462
Long T-Bond1,186,55348-57,5717383,73747-26,16632
10-Year4,095,30071-54475319,38860-318,8444
5-Year3,637,74128-255,21147510,37382-255,1620

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -781,200 contracts in the data reported through Tuesday. This was a weekly advance of 82,400 contracts from the previous week which had a total of -863,600 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.3 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bullish with a score of 64.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.663.44.5
– Percent of Open Interest Shorts:18.954.76.9
– Net Position:-781,2001,080,706-299,506
– Gross Longs:1,565,3127,876,268563,787
– Gross Shorts:2,346,5126,795,562863,293
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):35.359.564.0
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.85.6-16.3

 

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 -54,484 contracts in the data reported through Tuesday. This was a weekly increase of 14,601 contracts from the previous week which had a total of -69,085 net contracts.

This 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 32.9 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bearish with a score of 41.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.177.61.6
– Percent of Open Interest Shorts:10.572.22.5
– Net Position:-54,48465,503-11,019
– Gross Longs:73,882945,17719,058
– Gross Shorts:128,366879,67430,077
– Long to Short Ratio:0.6 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):32.967.841.5
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.1-3.6-8.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -132,952 contracts in the data reported through Tuesday. This was a weekly decline of -92,006 contracts from the previous week which had a total of -40,946 net contracts.

This 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 62.9 percent. The commercials are Bullish with a score of 50.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.673.66.5
– Percent of Open Interest Shorts:24.364.98.5
– Net Position:-132,952172,598-39,646
– Gross Longs:350,2931,465,365129,379
– Gross Shorts:483,2451,292,767169,025
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):62.950.62.2
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.022.1-28.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -255,211 contracts in the data reported through Tuesday. This was a weekly lift of 66,208 contracts from the previous week which had a total of -321,419 net contracts.

This 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 47.4 percent. The commercials are Bullish-Extreme with a score of 81.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.477.77.0
– Percent of Open Interest Shorts:18.463.714.0
– Net Position:-255,211510,373-255,162
– Gross Longs:414,7112,827,556253,812
– Gross Shorts:669,9222,317,183508,974
– Long to Short Ratio:0.6 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):47.481.50.0
– COT Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.840.6-36.1

 

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 -544 contracts in the data reported through Tuesday. This was a weekly fall of -156,586 contracts from the previous week which had a total of 156,042 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 74.8 percent. The commercials are Bullish with a score of 60.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.6 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.271.47.2
– Percent of Open Interest Shorts:18.263.615.0
– Net Position:-544319,388-318,844
– Gross Longs:743,7192,922,085295,191
– Gross Shorts:744,2632,602,697614,035
– Long to Short Ratio:1.0 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):74.860.33.6
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.211.2-21.7

 

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 139,559 contracts in the data reported through Tuesday. This was a weekly increase of 45,454 contracts from the previous week which had a total of 94,105 net contracts.

This 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 64.6 percent. The commercials are Bullish with a score of 53.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.772.87.1
– Percent of Open Interest Shorts:10.670.718.4
– Net Position:139,55932,149-171,708
– Gross Longs:301,2861,110,821108,529
– Gross Shorts:161,7271,078,672280,237
– Long to Short Ratio:1.9 to 11.0 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):64.653.35.6
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.7-14.31.9

 

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 -57,571 contracts in the data reported through Tuesday. This was a weekly boost of 8,980 contracts from the previous week which had a total of -66,551 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.7 percent. The commercials are Bearish with a score of 46.8 percent and the small traders (not shown in chart) are Bearish with a score of 31.8 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.974.813.6
– Percent of Open Interest Shorts:14.867.715.8
– Net Position:-57,57183,737-26,166
– Gross Longs:117,543887,561161,202
– Gross Shorts:175,114803,824187,368
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):72.746.831.8
– COT Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.3-0.9-18.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -311,777 contracts in the data reported through Tuesday. This was a weekly boost of 1,637 contracts from the previous week which had a total of -313,414 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.0 percent. The commercials are Bullish with a score of 68.5 percent and the small traders (not shown in chart) are Bearish with a score of 26.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.081.412.6
– Percent of Open Interest Shorts:30.655.612.7
– Net Position:-311,777313,784-2,007
– Gross Longs:60,848989,707152,699
– Gross Shorts:372,625675,923154,706
– Long to Short Ratio:0.2 to 11.5 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):58.068.526.8
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.516.2-7.1

 

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

Bonds CountingPips Forex Blog Opinions
15 Oct

COT Bonds Charts: Speculator’s 10-Year Treasury Notes bullish bets rise for 4th time in 6 weeks

By InvestMacro | COT Home | Data Tables | Data Downloads | 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 October 12th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting this week’s COT Bonds data is the 10-Year Treasury Note which has seen its weekly speculator position rise for four out of the past six weeks. The 10-Year had a negative net contract position as recently as August 31st before speculators boosted their positions by almost 200,000 net contracts from September 7th to October 12th. Interestingly, at the current moment, both the speculators and the commercial traders (163,158 net contracts) are bullish on the 10-Year, according to their net contracts. On the other side of the bet are the small traders which are net bearish with a total of -319,200 contracts as well as an extremely bearish strength index score.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-12-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,837,29971-863,600341,133,79160-270,19168
FedFunds1,190,21216-69,0853179,99970-10,91442
2-Year1,845,2703-40,9468360,85529-19,90914
Long T-Bond1,222,49354-66,5517086,24848-19,69737
10-Year4,102,71472156,04297163,15842-319,2003
5-Year3,604,86426-321,41952549,71366-228,2942

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -863,600 contracts in the data reported through Tuesday. This was a weekly decrease of -102,757 contracts from the previous week which had a total of -760,843 net contracts.

This 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 33.7 percent. The commercials are Bullish with a score of 60.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.261.84.4
– Percent of Open Interest Shorts:19.953.06.5
– Net Position:-863,6001,133,791-270,191
– Gross Longs:1,691,8977,936,364566,490
– Gross Shorts:2,555,4976,802,573836,681
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):33.760.567.7
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.54.4-16.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -69,085 contracts in the data reported through Tuesday. This was a weekly gain of 9,263 contracts from the previous week which had a total of -78,348 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.1 percent. The commercials are Bullish with a score of 69.6 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.777.21.8
– Percent of Open Interest Shorts:11.570.52.7
– Net Position:-69,08579,999-10,914
– Gross Longs:68,061918,64020,954
– Gross Shorts:137,146838,64131,868
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):31.169.641.7
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.9-4.15.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -40,946 contracts in the data reported through Tuesday. This was a weekly boost of 1,581 contracts from the previous week which had a total of -42,527 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.3 percent. The commercials are Bearish with a score of 29.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.871.77.0
– Percent of Open Interest Shorts:20.068.48.1
– Net Position:-40,94660,855-19,909
– Gross Longs:328,3291,322,378128,740
– Gross Shorts:369,2751,261,523148,649
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):83.329.114.1
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.59.3-16.7

 

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 -321,419 contracts in the data reported through Tuesday. This was a weekly decline of -6,595 contracts from the previous week which had a total of -314,824 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.0 percent. The commercials are Bullish with a score of 66.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.079.27.2
– Percent of Open Interest Shorts:18.964.013.5
– Net Position:-321,419549,713-228,294
– Gross Longs:360,9162,855,878258,857
– Gross Shorts:682,3352,306,165487,151
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):52.066.11.6
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-33.738.9-31.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of 156,042 contracts in the data reported through Tuesday. This was a weekly rise of 14,709 contracts from the previous week which had a total of 141,333 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 96.5 percent. The commercials are Bearish with a score of 41.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.568.17.3
– Percent of Open Interest Shorts:17.764.215.1
– Net Position:156,042163,158-319,200
– Gross Longs:883,6212,795,156300,686
– Gross Shorts:727,5792,631,998619,886
– Long to Short Ratio:1.2 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):96.541.63.5
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.6-10.1-23.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of 94,105 contracts in the data reported through Tuesday. This was a weekly advance of 13,226 contracts from the previous week which had a total of 80,879 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.6 percent. The commercials are Bullish with a score of 68.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.774.47.2
– Percent of Open Interest Shorts:11.468.519.4
– Net Position:94,10586,315-180,420
– Gross Longs:262,1561,099,485106,966
– Gross Shorts:168,0511,013,170287,386
– Long to Short Ratio:1.6 to 11.1 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):52.668.50.0
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.14.7-5.9

 

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 -66,551 contracts in the data reported through Tuesday. This was a weekly advance of 32,098 contracts from the previous week which had a total of -98,649 net contracts.

This 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 Bearish with a score of 47.6 percent and the small traders (not shown in chart) are Bearish with a score of 37.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.974.313.7
– Percent of Open Interest Shorts:15.367.215.3
– Net Position:-66,55186,248-19,697
– Gross Longs:120,942908,174167,921
– Gross Shorts:187,493821,926187,618
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):69.547.637.0
– COT Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-6.5-13.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -313,414 contracts in the data reported through Tuesday. This was a weekly rise of 220 contracts from the previous week which had a total of -313,634 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.4 percent. The commercials are Bullish with a score of 70.3 percent and the small traders (not shown in chart) are Bearish with a score of 25.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.582.112.4
– Percent of Open Interest Shorts:30.356.012.8
– Net Position:-313,414317,409-3,995
– Gross Longs:54,907998,802151,411
– Gross Shorts:368,321681,393155,406
– Long to Short Ratio:0.1 to 11.5 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):57.470.325.4
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.717.5-3.4

 

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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

Bonds CountingPips Forex Blog Opinions
08 Oct

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

By InvestMacro COT Home | COT Tables | Data Downloads | 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 October 5th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-05-2021OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar12,461,19764-760,84336996,97258-236,12972
FedFunds1,112,64411-78,3483089,97871-11,63040
2-Year1,773,4740-42,5278353,74028-11,21319
Long T-Bond1,232,19856-98,64958109,98755-11,33844
10-Year4,063,95269141,33395192,71043-334,0430
5-Year3,571,11924-314,82455547,98562-233,1610

 

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -760,843 contracts in the data reported through Tuesday. This was a weekly lift of 134,187 contracts from the previous week which had a total of -895,030 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.7 percent. The commercials are Bullish with a score of 58.1 percent and the small traders (not shown in chart) are Bullish with a score of 72.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.060.74.8
– Percent of Open Interest Shorts:20.152.76.7
– Net Position:-760,843996,972-236,129
– Gross Longs:1,746,5557,566,476594,467
– Gross Shorts:2,507,3986,569,504830,596
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):35.758.172.1
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.11.5-3.7

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -78,348 contracts in the data reported through Tuesday. This was a weekly rise of 8,633 contracts from the previous week which had a total of -86,981 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bearish with a score of 40.2 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.477.02.2
– Percent of Open Interest Shorts:12.468.93.2
– Net Position:-78,34889,978-11,630
– Gross Longs:59,841856,93724,136
– Gross Shorts:138,189766,95935,766
– Long to Short Ratio:0.4 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):29.970.840.2
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.00.75.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -42,527 contracts in the data reported through Tuesday. This was a weekly boost of 20,302 contracts from the previous week which had a total of -62,829 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.9 percent. The commercials are Bearish with a score of 27.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.572.07.7
– Percent of Open Interest Shorts:19.969.08.3
– Net Position:-42,52753,740-11,213
– Gross Longs:310,7311,277,218136,061
– Gross Shorts:353,2581,223,478147,274
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):82.927.819.3
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.310.5-12.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -314,824 contracts in the data reported through Tuesday. This was a weekly lowering of -15,628 contracts from the previous week which had a total of -299,196 net contracts.

This 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 55.2 percent. The commercials are Bullish with a score of 61.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.779.67.0
– Percent of Open Interest Shorts:18.564.313.5
– Net Position:-314,824547,985-233,161
– Gross Longs:345,0602,842,467248,462
– Gross Shorts:659,8842,294,482481,623
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):55.261.80.0
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.848.0-33.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of 141,333 contracts in the data reported through Tuesday. This was a weekly lowering of -39,874 contracts from the previous week which had a total of 181,207 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 95.0 percent. The commercials are Bearish with a score of 42.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.969.17.1
– Percent of Open Interest Shorts:17.464.415.3
– Net Position:141,333192,710-334,043
– Gross Longs:848,2562,808,775289,697
– Gross Shorts:706,9232,616,065623,740
– Long to Short Ratio:1.2 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):95.042.60.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.511.1-29.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of 80,879 contracts in the data reported through Tuesday. This was a weekly increase of 5,032 contracts from the previous week which had a total of 75,847 net contracts.

This 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 49.1 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.174.97.6
– Percent of Open Interest Shorts:11.568.419.7
– Net Position:80,87994,700-175,579
– Gross Longs:248,2581,087,022110,087
– Gross Shorts:167,379992,322285,666
– Long to Short Ratio:1.5 to 11.1 to 10.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):49.170.80.0
– COT Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.36.6-15.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -98,649 contracts in the data reported through Tuesday. This was a weekly lift of 8,291 contracts from the previous week which had a total of -106,940 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.0 percent. The commercials are Bullish with a score of 55.2 percent and the small traders (not shown in chart) are Bearish with a score of 43.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.775.213.9
– Percent of Open Interest Shorts:16.766.314.8
– Net Position:-98,649109,987-11,338
– Gross Longs:107,189927,032171,374
– Gross Shorts:205,838817,045182,712
– Long to Short Ratio:0.5 to 11.1 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):58.055.243.6
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.210.0-25.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -313,634 contracts in the data reported through Tuesday. This was a weekly decline of -13,841 contracts from the previous week which had a total of -299,793 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.3 percent. The commercials are Bullish with a score of 73.6 percent and the small traders (not shown in chart) are Bearish with a score of 20.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.682.512.0
– Percent of Open Interest Shorts:30.256.012.9
– Net Position:-313,634324,157-10,523
– Gross Longs:55,6951,008,685146,619
– Gross Shorts:369,329684,528157,142
– Long to Short Ratio:0.2 to 11.5 to 10.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):57.373.620.7
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.341.0-17.1

 

Article By InvestMacro.com – 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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

Bonds CountingPips Forex Blog Opinions
06 Oct
fedreserve

Here’s What Really Sets Interest Rates (Not Central Banks)

See “powerful evidence that the Fed is not in control of interest rates”

By Elliott Wave International

Most everyone is familiar with the phrase: “Keep your eye on the ball,” which of course means — focus on what really matters.

Those who seek clues about the direction of interest rates believe the “ball” is their nation’s central bank.

For example, in the U.S., Federal Reserve announcements are the subject of countless financial headlines, like this one from Sept. 22 (Reuters):

Fed signals bond-buying taper coming ‘soon,’ rate hike next year

The assumption in most of these headlines is that the central bank determines the direction of rates.

However, if interest-rate observers kept their eye on what really matters, they’d be watching the bond market instead of the central bank. In other words, markets lead and central banks follow.

Sticking with the U.S., this chart and commentary from Robert Prechter’s 2017 book, The Socionomic Theory of Finance, provide elaboration:

[The chart] plots T-bill rates and the effective federal funds rate (a weighted average of the federal funds rate across all banking transactions) from 1978 to 1984. T-bill rates peaked four times in 1980-1982. Each of those peaks occurred a month or more before subsequent and reactive peaks in the federal funds rate. The Fed’s rate also lags at bottoms, as depicted on the chart at the lows of 1980, 1981 and 1982-3.

The book adds:

That interest rates were in a relentless upward trend during the entire decade of the 1970s and that they have been stuck at zero since 2008 — in both cases despite the Federal Reserve’s contrary desires — is powerful evidence reinforcing the point that the Fed is not in control of interest rates.

The same principle holds in other nations, like Australia or the United Kingdom.

Here’s another chart and additional commentary from The Socionomic Theory of Finance:

[The chart] plots interest rates on the U.K.’s freely-traded, 3-month government bond against the Bank of England’s (BOE’s) official daily bank-lending rate. These lines show that the BOE’s rate-setting actions have lagged the freely traded debt market at all twelve major turning points in rates since 1993. The lags vary from two to nine months, and the average lag is 4.8 months.

The major takeaway is that central banks’ interest-rate decisions are not proactive but reactive.

Another widely held misconception is that news drives financial markets, like stocks.

Here’s insight on that pervasive assumption from Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior:

Sometimes the market appears to reflect outside conditions and events, but at other times it is entirely detached from what most people assume are causal conditions. The reason is that the market has a law of its own. It is not propelled by the external causality to which one becomes accustomed in the everyday experiences of life. The path of prices is not a product of news. Nor is the market the cyclically rhythmic machine that some declare it to be. Its movement reflects a repetition of forms that is independent both of presumed causal events and of periodicity.

The market’s progression unfolds in waves. Waves are patterns of directional movement.

If you’d like to read the online version of this “definitive textbook on the Wave Principle,” you may do so for free once you become a Club EWI member.

Club EWI is free to join and allows members free access to a wealth of Elliott wave resources on financial markets, investing and trading — without any obligations.

Here’s the link to follow for free and unlimited access to the book: Elliott Wave Principle: Key to Market Behavior.

 

This article was syndicated by Elliott Wave International and was originally published under the headline Here’s What Really Sets Interest Rates (Not Central Banks). EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

 

Bonds Opinions
01 Oct

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

By CountingPips.com COT Home | Data Tables | Data Downloads | 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 September 28th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures 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 -895,030 contracts in the data reported through Tuesday. This was a weekly decrease of -112,756 contracts from the previous week which had a total of -782,274 net contracts.

This 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 33.1 percent. The commercials are Bullish with a score of 60.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.661.54.9
– Percent of Open Interest Shorts:19.852.46.7
– Net Position:-895,0301,115,947-220,917
– Gross Longs:1,548,1547,569,799603,270
– Gross Shorts:2,443,1846,453,852824,187
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):33.160.174.1
– COT Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.35.5-5.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -86,981 contracts in the data reported through Tuesday. This was a weekly reduction of -927 contracts from the previous week which had a total of -86,054 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.9 percent. The commercials are Bullish with a score of 71.9 percent and the small traders (not shown in chart) are Bearish with a score of 39.2 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.978.11.6
– Percent of Open Interest Shorts:12.369.62.6
– Net Position:-86,98199,062-12,081
– Gross Longs:57,226917,36618,773
– Gross Shorts:144,207818,30430,854
– Long to Short Ratio:0.4 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):28.971.939.2
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.50.40.9

 

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 -62,829 contracts in the data reported through Tuesday. This was a weekly reduction of -32,428 contracts from the previous week which had a total of -30,401 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.4 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.971.27.7
– Percent of Open Interest Shorts:21.367.87.7
– Net Position:-62,82963,290-461
– Gross Longs:331,0331,315,342141,690
– Gross Shorts:393,8621,252,052142,151
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):78.429.627.5
– COT Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.620.5-7.9

 

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 -299,196 contracts in the data reported through Tuesday. This was a weekly lowering of -151,773 contracts from the previous week which had a total of -147,423 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.7 percent. The commercials are Bullish with a score of 50.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.677.37.8
– Percent of Open Interest Shorts:19.764.712.2
– Net Position:-299,196461,653-162,457
– Gross Longs:423,4012,831,871285,115
– Gross Shorts:722,5972,370,218447,572
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):58.750.72.7
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.129.7-15.7

 

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 181,207 contracts in the data reported through Tuesday. This was a weekly rise of 119,986 contracts from the previous week which had a total of 61,221 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 Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish with a score of 32.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.467.97.8
– Percent of Open Interest Shorts:17.065.214.9
– Net Position:181,207108,708-289,915
– Gross Longs:869,1152,753,975315,903
– Gross Shorts:687,9082,645,267605,818
– Long to Short Ratio:1.3 to 11.0 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):100.032.10.0
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.54.8-20.8

 

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 75,847 contracts in the data reported through Tuesday. This was a weekly decline of -10,384 contracts from the previous week which had a total of 86,231 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.8 percent. The commercials are Bullish with a score of 66.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.174.59.1
– Percent of Open Interest Shorts:10.869.119.7
– Net Position:75,84778,053-153,900
– Gross Longs:232,6581,080,055131,272
– Gross Shorts:156,8111,002,002285,172
– Long to Short Ratio:1.5 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):47.866.113.9
– COT Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.74.2-0.6

 

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 -106,940 contracts in the data reported through Tuesday. This was a weekly decrease of -18,669 contracts from the previous week which had a total of -88,271 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.0 percent. The commercials are Bullish with a score of 51.1 percent and the small traders (not shown in chart) are Bullish with a score of 60.2 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.373.515.2
– Percent of Open Interest Shorts:18.065.614.5
– Net Position:-106,94097,3329,608
– Gross Longs:115,052907,957188,318
– Gross Shorts:221,992810,625178,710
– Long to Short Ratio:0.5 to 11.1 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):55.051.160.2
– COT Index Reading (3 Year Range):BullishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.67.62.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -299,793 contracts in the data reported through Tuesday. This was a weekly decrease of -5,028 contracts from the previous week which had a total of -294,765 net contracts.

This 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 62.9 percent. The commercials are Bullish with a score of 59.2 percent and the small traders (not shown in chart) are Bearish with a score of 31.9 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.581.112.5
– Percent of Open Interest Shorts:29.657.412.1
– Net Position:-299,793294,6785,115
– Gross Longs:68,5631,009,158155,998
– Gross Shorts:368,356714,480150,883
– Long to Short Ratio:0.2 to 11.4 to 11.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):62.959.231.9
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.423.04.0

 

Article By InvestMacro.com – 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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

Bonds CountingPips Forex Blog Opinions
24 Sep

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

By CountingPips.com COT Home | Data Tables | Data Downloads | 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 September 21st 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures 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 -782,274 contracts in the data reported through Tuesday. This was a weekly fall of -178,118 contracts from the previous week which had a total of -604,156 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.9 percent. The commercials are Bullish with a score of 56.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.060.75.0
– Percent of Open Interest Shorts:20.453.26.0
– Net Position:-782,274907,783-125,509
– Gross Longs:1,694,8127,368,621603,851
– Gross Shorts:2,477,0866,460,838729,360
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):36.956.586.4
– COT Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.61.38.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -86,054 contracts in the data reported through Tuesday. This was a weekly reduction of -7,726 contracts from the previous week which had a total of -78,328 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.0 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.376.22.2
– Percent of Open Interest Shorts:13.067.63.0
– Net Position:-86,05495,805-9,751
– Gross Longs:59,411852,76124,091
– Gross Shorts:145,465756,95633,842
– Long to Short Ratio:0.4 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):29.071.544.3
– COT Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.50.41.5

 

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 -30,401 contracts in the data reported through Tuesday. This was a weekly decrease of -5,768 contracts from the previous week which had a total of -24,633 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 85.6 percent. The commercials are Bearish-Extreme with a score of 19.9 percent and the small traders (not shown in chart) are Bearish with a score of 38.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.870.67.8
– Percent of Open Interest Shorts:21.469.96.9
– Net Position:-30,40112,63117,770
– Gross Longs:381,7701,359,060151,059
– Gross Shorts:412,1711,346,429133,289
– Long to Short Ratio:0.9 to 11.0 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):85.619.938.2
– COT Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.411.33.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -147,423 contracts in the data reported through Tuesday. This was a weekly lowering of -123,057 contracts from the previous week which had a total of -24,366 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.6 percent. The commercials are Bearish with a score of 35.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 12.7 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.476.18.1
– Percent of Open Interest Shorts:16.568.112.0
– Net Position:-147,423285,859-138,436
– Gross Longs:442,1322,713,555289,472
– Gross Shorts:589,5552,427,696427,908
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):74.635.112.7
– COT Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.69.4-1.9

 

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 61,221 contracts in the data reported through Tuesday. This was a weekly decrease of -68,202 contracts from the previous week which had a total of 129,423 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.7 percent. The commercials are Bearish with a score of 35.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.869.58.6
– Percent of Open Interest Shorts:18.365.214.4
– Net Position:61,221168,160-229,381
– Gross Longs:780,8222,732,956337,429
– Gross Shorts:719,6012,564,796566,810
– Long to Short Ratio:1.1 to 11.1 to 10.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):87.735.413.5
– COT Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.26.5-4.5

 

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 86,231 contracts in the data reported through Tuesday. This was a weekly fall of -6,727 contracts from the previous week which had a total of 92,958 net contracts.

This 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 50.5 percent. The commercials are Bullish with a score of 62.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.475.78.6
– Percent of Open Interest Shorts:9.471.119.1
– Net Position:86,23165,343-151,574
– Gross Longs:222,1421,090,610124,044
– Gross Shorts:135,9111,025,267275,618
– Long to Short Ratio:1.6 to 11.1 to 10.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):50.562.615.5
– COT Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.85.4-0.6

 

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 -88,271 contracts in the data reported through Tuesday. This was a weekly lowering of -27,671 contracts from the previous week which had a total of -60,600 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 Bullish with a score of 61.7 percent. The commercials are Bearish with a score of 44.5 percent and the small traders (not shown in chart) are Bullish with a score of 62.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.472.715.7
– Percent of Open Interest Shorts:17.766.314.8
– Net Position:-88,27176,45311,818
– Gross Longs:125,136878,006190,281
– Gross Shorts:213,407801,553178,463
– Long to Short Ratio:0.6 to 11.1 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):61.744.562.0
– COT Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.6-3.11.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -294,765 contracts in the data reported through Tuesday. This was a weekly advance of 7,023 contracts from the previous week which had a total of -301,788 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.0 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 41.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.180.212.9
– Percent of Open Interest Shorts:29.857.911.4
– Net Position:-294,765276,89717,868
– Gross Longs:75,957997,118160,043
– Gross Shorts:370,722720,221142,175
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):65.050.441.1
– COT Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.116.59.5

 

Article By InvestMacro.com – 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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

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