Archive for Bonds – Page 2

21 Sep

COT Bonds Charts: Speculator Bets led by Fed Funds & 5-Year Bonds

By InvestMacro

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

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

Weekly Speculator Bets led by Fed Funds & 5-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (235,228 contracts) with the 5-Year Bonds (126,136 contracts) and the Ultra 10-Year Bonds (10,506 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-77,632 contracts), the 10-Year Bonds (-71,921 contracts), the SOFR 1-Month (-44,450 contracts), the US Treasury Bonds (-45,481 contracts), the 2-Year Bonds (-20,204 contracts) and with the Ultra Treasury Bonds (-15,145 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Fed Funds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (100 percent) and the SOFR 3-Months (95 percent) lead the bond markets this week. The Ultra Treasury Bonds (84 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 10-Year Bond (0 percent), the 5-Year Bonds (9 percent) and the SOFR 1-Month (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (29 percent) and the US Treasury Bonds (45 percent).

Strength Statistics:
Fed Funds (100.0 percent) vs Fed Funds previous week (50.4 percent)
2-Year Bond (28.7 percent) vs 2-Year Bond previous week (30.0 percent)
5-Year Bond (8.8 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (5.6 percent)
Ultra 10-Year Bond (48.4 percent) vs Ultra 10-Year Bond previous week (46.2 percent)
US Treasury Bond (45.3 percent) vs US Treasury Bond previous week (61.1 percent)
Ultra US Treasury Bond (84.2 percent) vs Ultra US Treasury Bond previous week (91.2 percent)
SOFR 1-Month (18.7 percent) vs SOFR 1-Month previous week (30.4 percent)
SOFR 3-Months (94.7 percent) vs SOFR 3-Months previous week (98.7 percent)

Fed Funds & Ultra Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (55 percent) and the Ultra Treasury Bonds (47 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (25 percent) was the next highest positive movers in the latest trends data.

The SOFR 1-Month (-45.7 percent), the 10-Year Bonds (-25 percent) and the US Treasury Bonds (-18 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (54.7 percent) vs Fed Funds previous week (32.6 percent)
2-Year Bond (5.0 percent) vs 2-Year Bond previous week (6.2 percent)
5-Year Bond (5.8 percent) vs 5-Year Bond previous week (-3.9 percent)
10-Year Bond (-24.9 percent) vs 10-Year Bond previous week (-23.0 percent)
Ultra 10-Year Bond (24.7 percent) vs Ultra 10-Year Bond previous week (11.4 percent)
US Treasury Bond (-18.1 percent) vs US Treasury Bond previous week (-6.4 percent)
Ultra US Treasury Bond (47.3 percent) vs Ultra US Treasury Bond previous week (73.0 percent)
SOFR 1-Month (-45.7 percent) vs SOFR 1-Month previous week (-41.4 percent)
SOFR 3-Months (15.5 percent) vs SOFR 3-Months previous week (29.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 178,807 contracts in the data reported through Tuesday. This was a weekly boost of 235,228 contracts from the previous week which had a total of -56,421 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bearish with a score of 43.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.953.61.8
– Percent of Open Interest Shorts:17.060.52.8
– Net Position:178,807-155,837-22,970
– Gross Longs:564,7011,215,89940,036
– Gross Shorts:385,8941,371,73663,006
– Long to Short Ratio:1.5 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.043.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.7-52.3-20.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 666,595 contracts in the data reported through Tuesday. This was a weekly reduction of -77,632 contracts from the previous week which had a total of 744,227 net contracts.

This 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 94.7 percent. The commercials are Bearish-Extreme with a score of 4.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.954.50.4
– Percent of Open Interest Shorts:11.360.20.4
– Net Position:666,595-675,5628,967
– Gross Longs:2,000,5506,449,29950,395
– Gross Shorts:1,333,9557,124,86141,428
– Long to Short Ratio:1.5 to 10.9 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):94.74.692.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.5-16.27.0

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of -180,527 contracts in the data reported through Tuesday. This was a weekly decrease of -44,450 contracts from the previous week which had a total of -136,077 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.7 percent. The commercials are Bullish-Extreme with a score of 82.4 percent and the small traders (not shown in chart) are Bearish with a score of 23.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.564.50.0
– Percent of Open Interest Shorts:30.150.60.3
– Net Position:-180,527184,536-4,009
– Gross Longs:219,572856,650379
– Gross Shorts:400,099672,1144,388
– Long to Short Ratio:0.5 to 11.3 to 10.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.782.423.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-45.746.4-24.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -1,026,420 contracts in the data reported through Tuesday. This was a weekly reduction of -20,204 contracts from the previous week which had a total of -1,006,216 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.7 percent. The commercials are Bullish with a score of 65.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.877.06.5
– Percent of Open Interest Shorts:38.656.92.8
– Net Position:-1,026,420867,872158,548
– Gross Longs:637,1643,321,163279,299
– Gross Shorts:1,663,5842,453,291120,751
– Long to Short Ratio:0.4 to 11.4 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.765.786.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.0-4.9-3.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,593,860 contracts in the data reported through Tuesday. This was a weekly lift of 126,136 contracts from the previous week which had a total of -1,719,996 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.8 percent. The commercials are Bullish-Extreme with a score of 91.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.582.27.1
– Percent of Open Interest Shorts:34.460.54.0
– Net Position:-1,593,8601,391,327202,533
– Gross Longs:607,5405,260,229455,505
– Gross Shorts:2,201,4003,868,902252,972
– Long to Short Ratio:0.3 to 11.4 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.891.791.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.8-3.8-8.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -1,094,026 contracts in the data reported through Tuesday. This was a weekly lowering of -71,921 contracts from the previous week which had a total of -1,022,105 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 Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.879.89.8
– Percent of Open Interest Shorts:31.160.66.7
– Net Position:-1,094,026943,854150,172
– Gross Longs:431,0393,910,709479,362
– Gross Shorts:1,525,0652,966,855329,190
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.098.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.936.52.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -45,640 contracts in the data reported through Tuesday. This was a weekly advance of 10,506 contracts from the previous week which had a total of -56,146 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.4 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.473.810.1
– Percent of Open Interest Shorts:17.668.812.9
– Net Position:-45,640105,997-60,357
– Gross Longs:325,9631,559,701212,603
– Gross Shorts:371,6031,453,704272,960
– Long to Short Ratio:0.9 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.433.977.0
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.7-21.5-23.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -109,711 contracts in the data reported through Tuesday. This was a weekly lowering of -45,481 contracts from the previous week which had a total of -64,230 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.3 percent. The commercials are Bearish with a score of 27.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.465.014.1
– Percent of Open Interest Shorts:26.665.27.7
– Net Position:-109,711-2,942112,653
– Gross Longs:358,3171,142,280247,909
– Gross Shorts:468,0281,145,222135,256
– Long to Short Ratio:0.8 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.327.996.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.111.212.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -274,303 contracts in the data reported through Tuesday. This was a weekly reduction of -15,145 contracts from the previous week which had a total of -259,158 net contracts.

This 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 84.2 percent. The commercials are Bearish-Extreme with a score of 8.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.8 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.277.411.6
– Percent of Open Interest Shorts:26.164.29.0
– Net Position:-274,303228,72845,575
– Gross Longs:176,4561,335,723200,411
– Gross Shorts:450,7591,106,995154,836
– Long to Short Ratio:0.4 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):84.28.072.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:47.3-64.634.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
14 Sep

COT Bonds Charts: Speculator Bets led by SOFR 3-Months & Fed Funds

By InvestMacro

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

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

Weekly Speculator Changes led by SOFR 3-Months & Fed Funds

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

Leading the gains for the bond markets was the SOFR 3-Months (112,656 contracts) with the Fed Funds (34,313 contracts) and the Ultra 10-Year Bonds (27,613 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 1-Month (-31,894 contracts), the US Treasury Bonds (-31,186 contracts), the 2-Year Bonds (-23,754 contracts), the 10-Year Bonds (-19,278 contracts), the Ultra Treasury Bonds (-18,956 contracts) and with the 5-Year Bonds (-1,300 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by SOFR 3-Months & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (99 percent) and the Ultra Treasury Bonds (91 percent) lead the bond markets this week. The US Treasury Bonds (61 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (1 percent) and the 10-Year Bonds (1 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (30 percent) and the SOFR 1-Month (30 percent).

Strength Statistics:
Fed Funds (54.0 percent) vs Fed Funds previous week (46.3 percent)
2-Year Bond (30.0 percent) vs 2-Year Bond previous week (31.6 percent)
5-Year Bond (1.0 percent) vs 5-Year Bond previous week (1.1 percent)
10-Year Bond (1.3 percent) vs 10-Year Bond previous week (2.9 percent)
Ultra 10-Year Bond (46.2 percent) vs Ultra 10-Year Bond previous week (40.5 percent)
US Treasury Bond (61.1 percent) vs US Treasury Bond previous week (72.0 percent)
Ultra US Treasury Bond (91.2 percent) vs Ultra US Treasury Bond previous week (100.0 percent)
SOFR 1-Month (30.4 percent) vs SOFR 1-Month previous week (38.8 percent)
SOFR 3-Months (98.7 percent) vs SOFR 3-Months previous week (92.9 percent)

Ultra Treasury Bonds & Fed Funds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (73 percent) and the Fed Funds (35 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (29 percent) and the Ultra 10-Year Bond (11 percent) are the next highest positive movers in the latest trends data.

The SOFR 1-Month (-41.4 percent) and the 10-Year Bonds (-24 percent) lead the downside trend scores currently with the US Treasury Bonds (-6 percent) and the 5-Year Bonds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (35.0 percent) vs Fed Funds previous week (10.5 percent)
2-Year Bond (6.2 percent) vs 2-Year Bond previous week (10.2 percent)
5-Year Bond (-3.9 percent) vs 5-Year Bond previous week (-12.0 percent)
10-Year Bond (-24.1 percent) vs 10-Year Bond previous week (-29.6 percent)
Ultra 10-Year Bond (11.4 percent) vs Ultra 10-Year Bond previous week (6.6 percent)
US Treasury Bond (-6.4 percent) vs US Treasury Bond previous week (10.8 percent)
Ultra US Treasury Bond (73.0 percent) vs Ultra US Treasury Bond previous week (79.1 percent)
SOFR 1-Month (-41.4 percent) vs SOFR 1-Month previous week (-40.3 percent)
SOFR 3-Months (29.2 percent) vs SOFR 3-Months previous week (25.9 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -56,421 contracts in the data reported through Tuesday. This was a weekly rise of 34,313 contracts from the previous week which had a total of -90,734 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.0 percent. The commercials are Bearish with a score of 48.3 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.866.71.6
– Percent of Open Interest Shorts:17.962.13.0
– Net Position:-56,42181,935-25,514
– Gross Longs:264,5951,193,17228,812
– Gross Shorts:321,0161,111,23754,326
– Long to Short Ratio:0.8 to 11.1 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.048.338.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:35.0-26.7-59.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 744,227 contracts in the data reported through Tuesday. This was a weekly rise of 112,656 contracts from the previous week which had a total of 631,571 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-Extreme with a score of 98.7 percent. The commercials are Bearish-Extreme with a score of 0.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.452.60.5
– Percent of Open Interest Shorts:11.959.20.4
– Net Position:744,227-752,4978,270
– Gross Longs:2,097,1585,997,59351,852
– Gross Shorts:1,352,9316,750,09043,582
– Long to Short Ratio:1.6 to 10.9 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.70.792.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.2-29.74.9

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -136,077 contracts in the data reported through Tuesday. This was a weekly reduction of -31,894 contracts from the previous week which had a total of -104,183 net contracts.

This 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 30.4 percent. The commercials are Bullish with a score of 69.9 percent and the small traders (not shown in chart) are Bearish with a score of 48.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.466.80.0
– Percent of Open Interest Shorts:27.454.70.1
– Net Position:-136,077137,023-946
– Gross Longs:175,113757,537312
– Gross Shorts:311,190620,5141,258
– Long to Short Ratio:0.6 to 11.2 to 10.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.469.948.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-41.441.013.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,006,216 contracts in the data reported through Tuesday. This was a weekly decline of -23,754 contracts from the previous week which had a total of -982,462 net contracts.

This 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 30.0 percent. The commercials are Bullish with a score of 64.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.476.76.2
– Percent of Open Interest Shorts:38.657.12.6
– Net Position:-1,006,216852,132154,084
– Gross Longs:666,8173,328,782269,001
– Gross Shorts:1,673,0332,476,650114,917
– Long to Short Ratio:0.4 to 11.3 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.064.584.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-4.3-12.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,719,996 contracts in the data reported through Tuesday. This was a weekly fall of -1,300 contracts from the previous week which had a total of -1,718,696 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.283.47.4
– Percent of Open Interest Shorts:35.359.93.8
– Net Position:-1,719,9961,491,140228,856
– Gross Longs:522,0205,302,218472,348
– Gross Shorts:2,242,0163,811,078243,492
– Long to Short Ratio:0.2 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.0100.096.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.96.9-3.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -1,022,105 contracts in the data reported through Tuesday. This was a weekly decline of -19,278 contracts from the previous week which had a total of -1,002,827 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.2 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.679.59.9
– Percent of Open Interest Shorts:29.960.67.4
– Net Position:-1,022,105901,605120,500
– Gross Longs:409,1213,799,096474,433
– Gross Shorts:1,431,2262,897,491353,933
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.3100.092.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.133.85.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -56,146 contracts in the data reported through Tuesday. This was a weekly boost of 27,613 contracts from the previous week which had a total of -83,759 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.2 percent. The commercials are Bearish with a score of 32.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.874.010.3
– Percent of Open Interest Shorts:17.569.212.4
– Net Position:-56,146101,353-45,207
– Gross Longs:311,4811,557,384216,428
– Gross Shorts:367,6271,456,031261,635
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.232.685.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.4-12.3-5.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -64,230 contracts in the data reported through Tuesday. This was a weekly fall of -31,186 contracts from the previous week which had a total of -33,044 net contracts.

This 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 61.1 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.465.113.7
– Percent of Open Interest Shorts:24.267.57.6
– Net Position:-64,230-41,310105,540
– Gross Longs:353,3801,124,907236,559
– Gross Shorts:417,6101,166,217131,019
– Long to Short Ratio:0.8 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):61.114.991.1
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.41.39.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -259,158 contracts in the data reported through Tuesday. This was a weekly reduction of -18,956 contracts from the previous week which had a total of -240,202 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 91.2 percent. The commercials are Bearish-Extreme with a score of 8.2 percent and the small traders (not shown in chart) are Bullish with a score of 52.6 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.978.011.3
– Percent of Open Interest Shorts:25.164.59.5
– Net Position:-259,158229,15430,004
– Gross Longs:168,7671,329,192192,521
– Gross Shorts:427,9251,100,038162,517
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):91.28.252.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:73.0-82.59.1

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
07 Sep

COT Bonds Charts: Speculators raised their Fed Funds and SOFR 3-Months bets this week

By InvestMacro

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

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

Weekly Speculator Changes led by Fed Funds & SOFR 3-Months

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

Leading the gains for the bond markets was the Fed Funds (95,931 contracts) with the SOFR 3-Months (80,807 contracts), the 2-Year Bonds (46,648 contracts), the Ultra Treasury Bonds (29,496 contracts) and the Ultra 10-Year Bonds (24,032 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-88,390 contracts), the SOFR 1-Month (-62,403 contracts), the 5-Year Bonds (-62,439 contracts) and with the US Treasury Bonds (-18,810 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (100 percent) and the SOFR 3-Months (93 percent) lead the bond markets this week. The US Treasury Bonds (72 percent) comes in as the next highest in the weekly strength scores.

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

Strength Statistics:
Fed Funds (46.3 percent) vs Fed Funds previous week (24.6 percent)
2-Year Bond (31.6 percent) vs 2-Year Bond previous week (28.6 percent)
5-Year Bond (1.1 percent) vs 5-Year Bond previous week (4.7 percent)
10-Year Bond (2.9 percent) vs 10-Year Bond previous week (10.1 percent)
Ultra 10-Year Bond (40.5 percent) vs Ultra 10-Year Bond previous week (35.5 percent)
US Treasury Bond (72.0 percent) vs US Treasury Bond previous week (78.5 percent)
Ultra US Treasury Bond (100.0 percent) vs Ultra US Treasury Bond previous week (86.4 percent)
SOFR 1-Month (38.8 percent) vs SOFR 1-Month previous week (55.3 percent)
SOFR 3-Months (92.9 percent) vs SOFR 3-Months previous week (88.7 percent)

Ultra Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (79 percent) leads the past six weeks trends for bonds. The SOFR 3-Months (26 percent) and the US Treasury Bonds (11 percent) are the next highest positive movers in the latest trends data.

The SOFR 1-Month (-40 percent), the 10-Year Bonds (-30 percent) and the 5-Year Bonds (-11 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (10.5 percent) vs Fed Funds previous week (-22.9 percent)
2-Year Bond (10.2 percent) vs 2-Year Bond previous week (10.0 percent)
5-Year Bond (-11.4 percent) vs 5-Year Bond previous week (-4.7 percent)
10-Year Bond (-29.6 percent) vs 10-Year Bond previous week (-22.7 percent)
Ultra 10-Year Bond (6.6 percent) vs Ultra 10-Year Bond previous week (3.9 percent)
US Treasury Bond (10.8 percent) vs US Treasury Bond previous week (11.5 percent)
Ultra US Treasury Bond (79.1 percent) vs Ultra US Treasury Bond previous week (69.2 percent)
SOFR 1-Month (-40.3 percent) vs SOFR 1-Month previous week (-15.0 percent)
SOFR 3-Months (25.9 percent) vs SOFR 3-Months previous week (34.8 percent)

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 -90,734 contracts in the data reported through Tuesday. This was a weekly lift of 95,931 contracts from the previous week which had a total of -186,665 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.3 percent. The commercials are Bullish with a score of 53.6 percent and the small traders (not shown in chart) are Bullish with a score of 56.8 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.770.31.6
– Percent of Open Interest Shorts:19.263.92.5
– Net Position:-90,734106,172-15,438
– Gross Longs:226,7621,163,91125,969
– Gross Shorts:317,4961,057,73941,407
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.353.656.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.5-5.5-39.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 631,571 contracts in the data reported through Tuesday. This was a weekly boost of 80,807 contracts from the previous week which had a total of 550,764 net contracts.

This 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 92.9 percent. The commercials are Bearish-Extreme with a score of 6.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.453.80.4
– Percent of Open Interest Shorts:11.859.40.5
– Net Position:631,571-630,902-669
– Gross Longs:1,960,0486,047,34750,527
– Gross Shorts:1,328,4776,678,24951,196
– Long to Short Ratio:1.5 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):92.96.987.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.9-25.8-1.0

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -104,183 contracts in the data reported through Tuesday. This was a weekly decrease of -62,403 contracts from the previous week which had a total of -41,780 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.8 percent. The commercials are Bullish with a score of 61.4 percent and the small traders (not shown in chart) are Bullish with a score of 50.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.963.20.0
– Percent of Open Interest Shorts:27.553.50.1
– Net Position:-104,183104,828-645
– Gross Longs:193,472683,928332
– Gross Shorts:297,655579,100977
– Long to Short Ratio:0.6 to 11.2 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.861.450.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.340.12.8

 

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 -982,462 contracts in the data reported through Tuesday. This was a weekly increase of 46,648 contracts from the previous week which had a total of -1,029,110 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.6 percent. The commercials are Bullish with a score of 61.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.577.26.4
– Percent of Open Interest Shorts:37.857.92.5
– Net Position:-982,462814,688167,774
– Gross Longs:614,3923,261,747272,379
– Gross Shorts:1,596,8542,447,059104,605
– Long to Short Ratio:0.4 to 11.3 to 12.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.661.889.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.2-11.91.0

 

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 -1,718,696 contracts in the data reported through Tuesday. This was a weekly fall of -62,439 contracts from the previous week which had a total of -1,656,257 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.1 percent. The commercials are Bullish-Extreme with a score of 99.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.583.07.4
– Percent of Open Interest Shorts:35.260.13.7
– Net Position:-1,718,6961,475,139243,557
– Gross Longs:548,6345,348,029478,777
– Gross Shorts:2,267,3303,872,890235,220
– Long to Short Ratio:0.2 to 11.4 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.199.198.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.411.18.7

 

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 -1,002,827 contracts in the data reported through Tuesday. This was a weekly lowering of -88,390 contracts from the previous week which had a total of -914,437 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.9 percent. The commercials are Bullish-Extreme with a score of 93.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.078.710.3
– Percent of Open Interest Shorts:29.861.17.0
– Net Position:-1,002,827846,839155,988
– Gross Longs:430,2063,782,720494,696
– Gross Shorts:1,433,0332,935,881338,708
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.993.699.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-29.639.68.4

 

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 -83,759 contracts in the data reported through Tuesday. This was a weekly gain of 24,032 contracts from the previous week which had a total of -107,791 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 40.5 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.675.210.2
– Percent of Open Interest Shorts:17.669.112.3
– Net Position:-83,759127,871-44,112
– Gross Longs:287,5621,588,757216,022
– Gross Shorts:371,3211,460,886260,134
– Long to Short Ratio:0.8 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.539.886.5
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.6-13.09.4

 

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 -33,044 contracts in the data reported through Tuesday. This was a weekly reduction of -18,810 contracts from the previous week which had a total of -14,234 net contracts.

This 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 72.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.263.014.1
– Percent of Open Interest Shorts:22.168.07.3
– Net Position:-33,044-85,532118,576
– Gross Longs:350,5271,092,273244,254
– Gross Shorts:383,5711,177,805125,678
– Long to Short Ratio:0.9 to 10.9 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.00.0100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.8-22.323.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -240,202 contracts in the data reported through Tuesday. This was a weekly rise of 29,496 contracts from the previous week which had a total of -269,698 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.2 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.578.411.1
– Percent of Open Interest Shorts:23.765.79.5
– Net Position:-240,202212,83027,372
– Gross Longs:159,5431,320,086187,073
– Gross Shorts:399,7451,107,256159,701
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.049.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:79.1-88.78.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
31 Aug

COT Bonds Charts:Speculator bets led by SOFR 3-Months, 2-Year & 10-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday August 27th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-Months, 2-Year & 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (168,911 contracts) with the 2-Year Bonds (123,470 contracts), the 10-Year Bonds (123,675 contracts), the 5-Year Bonds (80,553 contracts), the Ultra Treasury Bonds (55,916 contracts), the Ultra 10-Year Bonds (27,769 contracts) and the US Treasury Bonds (19,261 contracts) also showing positive weeks.

The only bond market with declines in speculator bets for the week was the Fed Funds with a decline by -50,153 contracts on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (98 percent) and the SOFR 3-Months (89 percent) lead the bond markets this week. The US Treasury Bonds (79 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (5 percent) and the 10-Year Bonds (10 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Fed Funds (25 percent) and the 2-Year Bonds (29 percent).

Strength Statistics:
Fed Funds (24.6 percent) vs Fed Funds previous week (35.9 percent)
2-Year Bond (28.6 percent) vs 2-Year Bond previous week (20.7 percent)
5-Year Bond (4.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (10.1 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (35.5 percent) vs Ultra 10-Year Bond previous week (29.7 percent)
US Treasury Bond (78.5 percent) vs US Treasury Bond previous week (71.8 percent)
Ultra US Treasury Bond (98.2 percent) vs Ultra US Treasury Bond previous week (68.8 percent)
SOFR 3-Months (88.7 percent) vs SOFR 3-Months previous week (80.0 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (79 percent) and the SOFR 3-Months (35 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (11 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-23 percent) and the 10-Year Bonds (-23 percent) lead the downside trend scores currently with the 5-Year Bonds (-5 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-22.9 percent) vs Fed Funds previous week (-0.7 percent)
2-Year Bond (10.0 percent) vs 2-Year Bond previous week (5.1 percent)
5-Year Bond (-4.7 percent) vs 5-Year Bond previous week (-9.9 percent)
10-Year Bond (-22.7 percent) vs 10-Year Bond previous week (-50.9 percent)
Ultra 10-Year Bond (3.9 percent) vs Ultra 10-Year Bond previous week (-0.5 percent)
US Treasury Bond (11.5 percent) vs US Treasury Bond previous week (0.3 percent)
Ultra US Treasury Bond (78.7 percent) vs Ultra US Treasury Bond previous week (42.2 percent)
SOFR 3-Months (34.8 percent) vs SOFR 3-Months previous week (27.5 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of 550,764 contracts in the data reported through Tuesday. This was a weekly boost of 168,911 contracts from the previous week which had a total of 381,853 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 88.7 percent. The commercials are Bearish-Extreme with a score of 11.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.153.70.4
– Percent of Open Interest Shorts:11.358.50.4
– Net Position:550,764-549,341-1,423
– Gross Longs:1,831,3076,096,95341,694
– Gross Shorts:1,280,5436,646,29443,117
– Long to Short Ratio:1.4 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):88.711.287.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:34.8-35.02.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -186,665 contracts in the data reported through Tuesday. This was a weekly fall of -50,153 contracts from the previous week which had a total of -136,512 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.6 percent. The commercials are Bullish with a score of 73.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.372.01.7
– Percent of Open Interest Shorts:19.362.52.2
– Net Position:-186,665196,735-10,070
– Gross Longs:211,0451,481,80234,377
– Gross Shorts:397,7101,285,06744,447
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.673.466.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.926.1-33.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,029,110 contracts in the data reported through Tuesday. This was a weekly rise of 123,470 contracts from the previous week which had a total of -1,152,580 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.6 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.076.27.2
– Percent of Open Interest Shorts:37.856.63.0
– Net Position:-1,029,110847,010182,100
– Gross Longs:604,2893,296,807309,945
– Gross Shorts:1,633,3992,449,797127,845
– Long to Short Ratio:0.4 to 11.3 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.664.293.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.0-12.12.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,656,257 contracts in the data reported through Tuesday. This was a weekly rise of 80,553 contracts from the previous week which had a total of -1,736,810 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.7 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.8 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.980.97.6
– Percent of Open Interest Shorts:31.959.84.7
– Net Position:-1,656,2571,455,628200,629
– Gross Longs:545,3155,581,154524,097
– Gross Shorts:2,201,5724,125,526323,468
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.797.790.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.72.78.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -914,437 contracts in the data reported through Tuesday. This was a weekly lift of 123,675 contracts from the previous week which had a total of -1,038,112 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.1 percent. The commercials are Bullish-Extreme with a score of 82.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.772.711.6
– Percent of Open Interest Shorts:24.558.88.6
– Net Position:-914,437755,196159,241
– Gross Longs:421,8073,961,978630,292
– Gross Shorts:1,336,2443,206,782471,051
– Long to Short Ratio:0.3 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.182.3100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.727.011.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -107,791 contracts in the data reported through Tuesday. This was a weekly advance of 27,769 contracts from the previous week which had a total of -135,560 net contracts.

This 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 35.5 percent. The commercials are Bearish with a score of 44.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.572.710.5
– Percent of Open Interest Shorts:18.466.112.1
– Net Position:-107,791144,379-36,588
– Gross Longs:297,3951,597,169229,945
– Gross Shorts:405,1861,452,790266,533
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.544.390.9
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.9-12.916.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -14,234 contracts in the data reported through Tuesday. This was a weekly increase of 19,261 contracts from the previous week which had a total of -33,495 net contracts.

This 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 78.5 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.7 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.563.514.3
– Percent of Open Interest Shorts:20.368.28.9
– Net Position:-14,234-82,87197,105
– Gross Longs:347,1701,132,220255,324
– Gross Shorts:361,4041,215,091158,219
– Long to Short Ratio:1.0 to 10.9 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.50.097.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.5-19.619.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -269,698 contracts in the data reported through Tuesday. This was a weekly increase of 55,916 contracts from the previous week which had a total of -325,614 net contracts.

This 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 98.2 percent. The commercials are Bearish-Extreme with a score of 13.6 percent and the small traders (not shown in chart) are Bearish with a score of 34.5 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.778.811.1
– Percent of Open Interest Shorts:23.564.810.2
– Net Position:-269,698253,66916,029
– Gross Longs:157,9271,431,263202,059
– Gross Shorts:427,6251,177,594186,030
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.213.634.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:78.7-82.72.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
24 Aug

COT Bonds Charts: Speculator Bets led by Ultra Treasury Bonds & Ultra 10-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday August 20th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the Ultra Treasury Bonds (23,519 contracts) with the Ultra 10-Year Bonds (15,073 contracts) also showing a positive week.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-177,869 contracts), the SOFR 3-Months (-63,211 contracts), the 2-Year Bonds (-47,974 contracts), the Fed Funds (-45,221 contracts), the 5-Year Bonds (-41,738 contracts) and with the US Treasury Bonds (-7,165 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by SOFR 3-Months & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (80 percent) and the US Treasury Bonds (72 percent) lead the bond markets this week. The Ultra Treasury Bonds (69 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the 10-Year Bonds (0 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (21 percent) and the Ultra 10-Year Bonds (30 percent).

Strength Statistics:
Fed Funds (35.9 percent) vs Fed Funds previous week (46.2 percent)
2-Year Bond (20.7 percent) vs 2-Year Bond previous week (23.8 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (2.4 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (14.6 percent)
Ultra 10-Year Bond (29.7 percent) vs Ultra 10-Year Bond previous week (26.5 percent)
US Treasury Bond (71.8 percent) vs US Treasury Bond previous week (74.3 percent)
Ultra US Treasury Bond (68.8 percent) vs Ultra US Treasury Bond previous week (56.4 percent)
SOFR 3-Months (80.0 percent) vs SOFR 3-Months previous week (83.3 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (42 percent) and the SOFR 3-Months (27 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (5 percent) and the  are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-51 percent) leads the downside trend scores currently with the 5-Year Bonds (-10 percent) and the Fed Funds (-1 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.7 percent) vs Fed Funds previous week (15.5 percent)
2-Year Bond (5.1 percent) vs 2-Year Bond previous week (7.4 percent)
5-Year Bond (-9.9 percent) vs 5-Year Bond previous week (-9.2 percent)
10-Year Bond (-50.9 percent) vs 10-Year Bond previous week (-42.2 percent)
Ultra 10-Year Bond (-0.5 percent) vs Ultra 10-Year Bond previous week (0.3 percent)
US Treasury Bond (0.3 percent) vs US Treasury Bond previous week (-1.6 percent)
Ultra US Treasury Bond (42.2 percent) vs Ultra US Treasury Bond previous week (23.2 percent)
SOFR 3-Months (27.5 percent) vs SOFR 3-Months previous week (36.5 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 381,853 contracts in the data reported through Tuesday. This was a weekly reduction of -63,211 contracts from the previous week which had a total of 445,064 net contracts.

This 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 80.0 percent. The commercials are Bearish-Extreme with a score of 19.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.455.20.4
– Percent of Open Interest Shorts:11.958.70.4
– Net Position:381,853-380,583-1,270
– Gross Longs:1,686,9806,061,55138,761
– Gross Shorts:1,305,1276,442,13440,031
– Long to Short Ratio:1.3 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.019.987.2
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:27.5-27.5-0.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -136,512 contracts in the data reported through Tuesday. This was a weekly decline of -45,221 contracts from the previous week which had a total of -91,291 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.9 percent. The commercials are Bullish with a score of 62.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.575.31.7
– Percent of Open Interest Shorts:16.466.92.2
– Net Position:-136,512145,612-9,100
– Gross Longs:147,0091,304,23528,950
– Gross Shorts:283,5211,158,62338,050
– Long to Short Ratio:0.5 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.962.268.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.73.7-25.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,152,580 contracts in the data reported through Tuesday. This was a weekly fall of -47,974 contracts from the previous week which had a total of -1,104,606 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.7 percent. The commercials are Bullish with a score of 72.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.576.86.9
– Percent of Open Interest Shorts:40.355.42.6
– Net Position:-1,152,580960,037192,543
– Gross Longs:648,7673,436,139307,340
– Gross Shorts:1,801,3472,476,102114,797
– Long to Short Ratio:0.4 to 11.4 to 12.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.772.596.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.1-8.310.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,736,810 contracts in the data reported through Tuesday. This was a weekly fall of -41,738 contracts from the previous week which had a total of -1,695,072 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.582.17.1
– Percent of Open Interest Shorts:33.960.43.5
– Net Position:-1,736,8101,486,515250,295
– Gross Longs:586,0305,625,205488,422
– Gross Shorts:2,322,8404,138,690238,127
– Long to Short Ratio:0.3 to 11.4 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.099.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.95.916.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -1,038,112 contracts in the data reported through Tuesday. This was a weekly decrease of -177,869 contracts from the previous week which had a total of -860,243 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.878.39.3
– Percent of Open Interest Shorts:27.461.36.7
– Net Position:-1,038,112898,127139,985
– Gross Longs:411,6294,134,790493,072
– Gross Shorts:1,449,7413,236,663353,087
– Long to Short Ratio:0.3 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.099.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-50.967.915.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -135,560 contracts in the data reported through Tuesday. This was a weekly gain of 15,073 contracts from the previous week which had a total of -150,633 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 Bearish with a score of 29.7 percent. The commercials are Bullish with a score of 53.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.374.410.3
– Percent of Open Interest Shorts:19.466.312.2
– Net Position:-135,560177,795-42,235
– Gross Longs:291,1561,634,861225,405
– Gross Shorts:426,7161,457,066267,640
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.753.487.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.5-5.312.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -33,495 contracts in the data reported through Tuesday. This was a weekly decrease of -7,165 contracts from the previous week which had a total of -26,330 net contracts.

This 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 71.8 percent. The commercials are Bearish-Extreme with a score of 5.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.663.112.9
– Percent of Open Interest Shorts:21.566.67.6
– Net Position:-33,495-62,34595,840
– Gross Longs:349,7581,123,590230,592
– Gross Shorts:383,2531,185,935134,752
– Long to Short Ratio:0.9 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.85.796.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.3-10.422.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -325,614 contracts in the data reported through Tuesday. This was a weekly rise of 23,519 contracts from the previous week which had a total of -349,133 net contracts.

This 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 68.8 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bearish with a score of 44.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.977.310.9
– Percent of Open Interest Shorts:28.259.49.5
– Net Position:-325,614301,90923,705
– Gross Longs:150,2861,305,478184,173
– Gross Shorts:475,9001,003,569160,468
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.839.844.4
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:42.2-52.621.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
17 Aug

COT Bonds Charts: Speculator Bets led by SOFR 3-Months & US Treasury Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday August 13th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-Months & US Treasury Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (77,916 contracts) with the US Treasury Bonds (31,525 contracts), the Ultra Treasury Bonds (27,529 contracts), the Ultra 10-Year Bonds (13,624 contracts) and the the 2-Year Bonds (605 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-84,035 contracts), the 5-Year Bonds (-6,996 contracts) and with the Fed Funds (-10,447 contracts) also seeing lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by SOFR 3-Months & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (83 percent) and the US Treasury Bonds (74 percent) lead the bond markets this week. The Ultra Treasury Bonds (53 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the 10-Year Bonds (3 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (24 percent) and the Ultra 10-Year Bonds (27 percent).

Strength Statistics:
Fed Funds (46.2 percent) vs Fed Funds previous week (48.5 percent)
2-Year Bond (23.8 percent) vs 2-Year Bond previous week (23.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.4 percent)
10-Year Bond (2.7 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (26.5 percent) vs Ultra 10-Year Bond previous week (23.7 percent)
US Treasury Bond (74.3 percent) vs US Treasury Bond previous week (63.3 percent)
Ultra US Treasury Bond (53.0 percent) vs Ultra US Treasury Bond previous week (39.4 percent)
SOFR 3-Months (83.3 percent) vs SOFR 3-Months previous week (79.2 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (36 percent) and the Ultra Treasury Bonds (22 percent) lead the past six weeks trends for bonds. The Fed Funds (16 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-48 percent) and the 5-Year Bonds (-9 percent) lead the downside trend scores currently with the US Treasury Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (15.5 percent) vs Fed Funds previous week (13.4 percent)
2-Year Bond (7.4 percent) vs 2-Year Bond previous week (10.0 percent)
5-Year Bond (-8.8 percent) vs 5-Year Bond previous week (-11.3 percent)
10-Year Bond (-48.1 percent) vs 10-Year Bond previous week (-42.6 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (-2.2 percent)
US Treasury Bond (-1.6 percent) vs US Treasury Bond previous week (-2.4 percent)
Ultra US Treasury Bond (21.8 percent) vs Ultra US Treasury Bond previous week (-4.1 percent)
SOFR 3-Months (36.5 percent) vs SOFR 3-Months previous week (29.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of 445,064 contracts in the data reported through Tuesday. This was a weekly advance of 77,916 contracts from the previous week which had a total of 367,148 net contracts.

This 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-Extreme with a score of 16.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.555.10.4
– Percent of Open Interest Shorts:13.359.20.4
– Net Position:445,064-446,6201,556
– Gross Longs:1,861,2525,869,85440,261
– Gross Shorts:1,416,1886,316,47438,705
– Long to Short Ratio:1.3 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):83.316.588.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:36.5-36.93.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -91,291 contracts in the data reported through Tuesday. This was a weekly fall of -10,447 contracts from the previous week which had a total of -80,844 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.2 percent. The commercials are Bullish with a score of 52.6 percent and the small traders (not shown in chart) are Bullish with a score of 66.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.272.11.7
– Percent of Open Interest Shorts:16.766.02.3
– Net Position:-91,291101,606-10,315
– Gross Longs:188,0691,208,29128,895
– Gross Shorts:279,3601,106,68539,210
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.252.666.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.5-12.4-21.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,104,606 contracts in the data reported through Tuesday. This was a weekly gain of 605 contracts from the previous week which had a total of -1,105,211 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 23.8 percent. The commercials are Bullish with a score of 68.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.975.96.9
– Percent of Open Interest Shorts:40.755.62.4
– Net Position:-1,104,606901,536203,070
– Gross Longs:708,8923,382,762309,592
– Gross Shorts:1,813,4982,481,226106,522
– Long to Short Ratio:0.4 to 11.4 to 12.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.868.2100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.4-12.918.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,695,072 contracts in the data reported through Tuesday. This was a weekly decrease of -6,996 contracts from the previous week which had a total of -1,688,076 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.882.67.1
– Percent of Open Interest Shorts:33.761.33.5
– Net Position:-1,695,0721,447,942247,130
– Gross Longs:599,5075,622,352485,484
– Gross Shorts:2,294,5794,174,410238,354
– Long to Short Ratio:0.3 to 11.3 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.099.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.83.719.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -860,243 contracts in the data reported through Tuesday. This was a weekly reduction of -84,035 contracts from the previous week which had a total of -776,208 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.7 percent. The commercials are Bullish-Extreme with a score of 85.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.178.89.6
– Percent of Open Interest Shorts:26.264.56.7
– Net Position:-860,243715,466144,777
– Gross Longs:458,1213,960,745481,134
– Gross Shorts:1,318,3643,245,279336,357
– Long to Short Ratio:0.3 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.785.3100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-48.155.722.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -150,633 contracts in the data reported through Tuesday. This was a weekly advance of 13,624 contracts from the previous week which had a total of -164,257 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.5 percent. The commercials are Bullish with a score of 55.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.376.310.2
– Percent of Open Interest Shorts:19.267.711.8
– Net Position:-150,633184,945-34,312
– Gross Longs:266,9381,656,652221,951
– Gross Shorts:417,5711,471,707256,263
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.555.392.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.3-2.85.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -26,330 contracts in the data reported through Tuesday. This was a weekly rise of 31,525 contracts from the previous week which had a total of -57,855 net contracts.

This 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 74.3 percent. The commercials are Bearish-Extreme with a score of 1.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.164.013.5
– Percent of Open Interest Shorts:21.668.37.7
– Net Position:-26,330-73,703100,033
– Gross Longs:347,9971,110,611234,318
– Gross Shorts:374,3271,184,314134,285
– Long to Short Ratio:0.9 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.31.8100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.6-14.235.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -349,133 contracts in the data reported through Tuesday. This was a weekly gain of 27,529 contracts from the previous week which had a total of -376,662 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.0 percent. The commercials are Bearish with a score of 49.0 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.277.410.7
– Percent of Open Interest Shorts:29.858.68.9
– Net Position:-349,133318,83830,295
– Gross Longs:156,8131,314,725182,390
– Gross Shorts:505,946995,887152,095
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.049.053.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.8-36.329.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
10 Aug

COT Bonds Charts: Speculator Bets led by SOFR 3-Months & Fed Funds

By InvestMacro

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

The latest COT data is updated through Tuesday August 6th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-Months & Fed Funds

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

Leading the gains for the bond markets was the SOFR 3-Months (188,386 contracts) with the Fed Funds (130,472 contracts) and the Ultra Treasury Bonds (40,384 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-53,266 contracts), the 10-Year Bonds (-47,738 contracts), the 5-Year Bonds (-32,038 contracts), the US Treasury Bonds (-11,936 contracts) and with the 2-Year Bonds (-1,539 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by SOFR 3-Months & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (79 percent) and the US Treasury Bonds (63 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent) and the 10-Year Bonds (11 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (24 percent) and the 2-Year Bonds (24 percent).

Strength Statistics:
Fed Funds (48.5 percent) vs Fed Funds previous week (19.0 percent)
2-Year Bond (23.7 percent) vs 2-Year Bond previous week (23.8 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.8 percent)
10-Year Bond (10.6 percent) vs 10-Year Bond previous week (15.0 percent)
Ultra 10-Year Bond (23.7 percent) vs Ultra 10-Year Bond previous week (34.8 percent)
US Treasury Bond (63.3 percent) vs US Treasury Bond previous week (67.5 percent)
Ultra US Treasury Bond (38.2 percent) vs Ultra US Treasury Bond previous week (18.8 percent)
SOFR 3-Months (79.2 percent) vs SOFR 3-Months previous week (69.5 percent)

SOFR 3-Months & Fed Funds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (29 percent) and the Fed Funds (13 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (10 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-43 percent) leads the downside trend scores currently with the 5-Year Bonds (-11 percent), the Ultra Treasury Bonds (-4 percent) and the Ultra 10-Year Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (13.4 percent) vs Fed Funds previous week (-13.7 percent)
2-Year Bond (10.0 percent) vs 2-Year Bond previous week (10.2 percent)
5-Year Bond (-11.3 percent) vs 5-Year Bond previous week (-11.4 percent)
10-Year Bond (-42.6 percent) vs 10-Year Bond previous week (-33.7 percent)
Ultra 10-Year Bond (-2.2 percent) vs Ultra 10-Year Bond previous week (10.0 percent)
US Treasury Bond (-2.4 percent) vs US Treasury Bond previous week (-4.4 percent)
Ultra US Treasury Bond (-4.0 percent) vs Ultra US Treasury Bond previous week (-30.0 percent)
SOFR 3-Months (29.1 percent) vs SOFR 3-Months previous week (19.2 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 367,148 contracts in the data reported through Tuesday. This was a weekly increase of 188,386 contracts from the previous week which had a total of 178,762 net contracts.

This 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 79.2 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.555.30.3
– Percent of Open Interest Shorts:13.958.80.4
– Net Position:367,148-363,366-3,782
– Gross Longs:1,802,1255,707,45132,720
– Gross Shorts:1,434,9776,070,81736,502
– Long to Short Ratio:1.3 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.220.885.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.1-29.1-0.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -80,844 contracts in the data reported through Tuesday. This was a weekly gain of 130,472 contracts from the previous week which had a total of -211,316 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.5 percent. The commercials are Bullish with a score of 50.6 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.571.91.6
– Percent of Open Interest Shorts:16.366.32.3
– Net Position:-80,84492,469-11,625
– Gross Longs:192,0471,202,58926,862
– Gross Shorts:272,8911,110,12038,487
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.550.663.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.4-9.3-30.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,105,211 contracts in the data reported through Tuesday. This was a weekly decrease of -1,539 contracts from the previous week which had a total of -1,103,672 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.7 percent. The commercials are Bullish with a score of 70.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.275.76.7
– Percent of Open Interest Shorts:41.254.62.8
– Net Position:-1,105,211934,125171,086
– Gross Longs:716,3113,346,171293,877
– Gross Shorts:1,821,5222,412,046122,791
– Long to Short Ratio:0.4 to 11.4 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.770.993.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.0-12.76.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,688,076 contracts in the data reported through Tuesday. This was a weekly reduction of -32,038 contracts from the previous week which had a total of -1,656,038 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.782.77.3
– Percent of Open Interest Shorts:34.361.03.5
– Net Position:-1,688,0761,437,325250,751
– Gross Longs:578,5215,469,735485,210
– Gross Shorts:2,266,5974,032,410234,459
– Long to Short Ratio:0.3 to 11.4 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.8100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.38.914.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -776,208 contracts in the data reported through Tuesday. This was a weekly decline of -47,738 contracts from the previous week which had a total of -728,470 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.6 percent. The commercials are Bullish with a score of 75.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.078.79.5
– Percent of Open Interest Shorts:24.965.76.7
– Net Position:-776,208638,673137,535
– Gross Longs:441,7213,848,733464,829
– Gross Shorts:1,217,9293,210,060327,294
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.675.7100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-42.647.520.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -164,257 contracts in the data reported through Tuesday. This was a weekly decline of -53,266 contracts from the previous week which had a total of -110,991 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.7 percent. The commercials are Bullish with a score of 55.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.275.610.7
– Percent of Open Interest Shorts:19.966.911.7
– Net Position:-164,257185,201-20,944
– Gross Longs:258,6001,603,637226,243
– Gross Shorts:422,8571,418,436247,187
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.755.4100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.2-8.424.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -57,855 contracts in the data reported through Tuesday. This was a weekly reduction of -11,936 contracts from the previous week which had a total of -45,919 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.3 percent. The commercials are Bearish-Extreme with a score of 14.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.266.313.3
– Percent of Open Interest Shorts:22.568.37.9
– Net Position:-57,855-36,17294,027
– Gross Longs:339,2711,169,182233,863
– Gross Shorts:397,1261,205,354139,836
– Long to Short Ratio:0.9 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.314.7100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.4-4.716.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -376,662 contracts in the data reported through Tuesday. This was a weekly rise of 40,384 contracts from the previous week which had a total of -417,046 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.2 percent. The commercials are Bullish with a score of 70.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.3 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.579.610.5
– Percent of Open Interest Shorts:32.158.29.3
– Net Position:-376,662357,68518,977
– Gross Longs:159,6831,330,555174,995
– Gross Shorts:536,345972,870156,018
– Long to Short Ratio:0.3 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.270.138.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.05.4-2.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
20 Jul

COT Bonds Charts: Speculator Bets led by Fed Funds & 2-Year Bonds 

By InvestMacro

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

The latest COT data is updated through Tuesday July 16th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the Fed Funds (48,140 contracts) with the 2-Year Bonds (47,328 contracts), the SOFR 3-Months (28,119 contracts) and the Ultra 10-Year Bonds (6,777 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-219,582 contracts), the Ultra Treasury Bonds (-13,438 contracts), the US Treasury Bonds (-12,729 contracts) and with the 5-Year Bonds (-9,573 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (67 percent) and the SOFR 3-Months (54 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent), the Ultra Treasury Bonds (17 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (47.5 percent) vs Fed Funds previous week (36.6 percent)
2-Year Bond (18.6 percent) vs 2-Year Bond previous week (15.6 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.6 percent)
10-Year Bond (23.5 percent) vs 10-Year Bond previous week (44.0 percent)
Ultra 10-Year Bond (31.5 percent) vs Ultra 10-Year Bond previous week (30.1 percent)
US Treasury Bond (67.1 percent) vs US Treasury Bond previous week (71.5 percent)
Ultra US Treasury Bond (16.7 percent) vs Ultra US Treasury Bond previous week (22.8 percent)
SOFR 3-Months (54.0 percent) vs SOFR 3-Months previous week (52.5 percent)

SOFR 3-Months & Ultra 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (23 percent) and the Ultra 10-Year Bonds (15 percent) lead the past six weeks trends for bonds.

The Ultra Treasury Bonds (-40 percent) leads the downside trend scores currently with the 10-Year Bonds (-17 percent) and the Fed Funds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-16.4 percent) vs Fed Funds previous week (-44.7 percent)
2-Year Bond (-9.6 percent) vs 2-Year Bond previous week (-16.1 percent)
5-Year Bond (-0.2 percent) vs 5-Year Bond previous week (-11.3 percent)
10-Year Bond (-17.1 percent) vs 10-Year Bond previous week (-2.8 percent)
Ultra 10-Year Bond (14.7 percent) vs Ultra 10-Year Bond previous week (20.3 percent)
US Treasury Bond (-11.0 percent) vs US Treasury Bond previous week (-27.3 percent)
Ultra US Treasury Bond (-40.1 percent) vs Ultra US Treasury Bond previous week (-39.7 percent)
SOFR 3-Months (22.9 percent) vs SOFR 3-Months previous week (17.4 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -122,278 contracts in the data reported through Tuesday. This was a weekly lift of 28,119 contracts from the previous week which had a total of -150,397 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.0 percent. The commercials are Bearish with a score of 46.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.157.50.3
– Percent of Open Interest Shorts:17.356.20.4
– Net Position:-122,278128,027-5,749
– Gross Longs:1,592,6765,689,60131,635
– Gross Shorts:1,714,9545,561,57437,384
– Long to Short Ratio:0.9 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.046.284.7
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.9-22.7-1.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -85,414 contracts in the data reported through Tuesday. This was a weekly lift of 48,140 contracts from the previous week which had a total of -133,554 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.5 percent. The commercials are Bearish with a score of 47.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.966.62.2
– Percent of Open Interest Shorts:19.562.51.8
– Net Position:-85,41477,3058,109
– Gross Longs:277,4101,240,80541,240
– Gross Shorts:362,8241,163,50033,131
– Long to Short Ratio:0.8 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.547.3100.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.414.213.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,184,987 contracts in the data reported through Tuesday. This was a weekly advance of 47,328 contracts from the previous week which had a total of -1,232,315 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.6 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.675.76.6
– Percent of Open Interest Shorts:42.452.92.7
– Net Position:-1,184,9871,011,202173,785
– Gross Longs:693,0993,355,786294,011
– Gross Shorts:1,878,0862,344,584120,226
– Long to Short Ratio:0.4 to 11.4 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.676.6100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.68.311.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,576,174 contracts in the data reported through Tuesday. This was a weekly decline of -9,573 contracts from the previous week which had a total of -1,566,601 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 98.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.684.06.8
– Percent of Open Interest Shorts:31.862.24.4
– Net Position:-1,576,1741,420,117156,057
– Gross Longs:494,8735,464,162444,751
– Gross Shorts:2,071,0474,044,045288,694
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.695.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-1.44.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -637,486 contracts in the data reported through Tuesday. This was a weekly decrease of -219,582 contracts from the previous week which had a total of -417,904 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.5 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.2 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.379.310.1
– Percent of Open Interest Shorts:22.367.58.0
– Net Position:-637,486537,64799,839
– Gross Longs:378,5313,614,914462,170
– Gross Shorts:1,016,0173,077,267362,331
– Long to Short Ratio:0.4 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.563.795.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.112.019.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -126,580 contracts in the data reported through Tuesday. This was a weekly gain of 6,777 contracts from the previous week which had a total of -133,357 net contracts.

This 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 31.5 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.476.49.8
– Percent of Open Interest Shorts:18.567.212.9
– Net Position:-126,580191,888-65,308
– Gross Longs:258,1261,592,656203,687
– Gross Shorts:384,7061,400,768268,995
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.557.275.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.7-20.83.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -47,150 contracts in the data reported through Tuesday. This was a weekly reduction of -12,729 contracts from the previous week which had a total of -34,421 net contracts.

This 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 67.1 percent. The commercials are Bearish-Extreme with a score of 18.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.2 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.167.913.1
– Percent of Open Interest Shorts:20.969.48.9
– Net Position:-47,150-25,46672,616
– Gross Longs:307,5741,153,768223,318
– Gross Shorts:354,7241,179,234150,702
– Long to Short Ratio:0.9 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.118.499.2
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.03.720.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -419,398 contracts in the data reported through Tuesday. This was a weekly decline of -13,438 contracts from the previous week which had a total of -405,960 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.7 percent. The commercials are Bullish-Extreme with a score of 96.3 percent and the small traders (not shown in chart) are Bearish with a score of 31.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.780.510.5
– Percent of Open Interest Shorts:33.656.49.7
– Net Position:-419,398405,63513,763
– Gross Longs:146,6031,357,495176,513
– Gross Shorts:566,001951,860162,750
– Long to Short Ratio:0.3 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.796.331.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.142.610.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
13 Jul

COT Bonds Charts: Speculator bets led by SOFR 3-Months & Fed Funds

By InvestMacro

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

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

Weekly Speculator Changes led by SOFR 3-Months & Fed Funds

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

Leading the gains for the bond markets was the SOFR 3-Months (111,115 contracts) with the Fed Funds (26,509 contracts) and the Ultra 10-Year Bonds (18,777 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-72,528 contracts), the 5-Year Bonds (-28,629 contracts), the Ultra Treasury Bonds (-12,743 contracts), the US Treasury Bonds (-12,815 contracts) and with the 2-Year Bonds (-11,932 contracts) also seeing lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & SOFR 3-Months

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (72 percent) and the SOFR 3-Months (52 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent) and the 2-Year Bonds (16 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra Treasury Bonds (22 percent) and the Ultra 10-Year Bonds (30 percent).

Strength Statistics:
Fed Funds (36.6 percent) vs Fed Funds previous week (30.6 percent)
2-Year Bond (15.6 percent) vs 2-Year Bond previous week (16.3 percent)
5-Year Bond (0.4 percent) vs 5-Year Bond previous week (2.1 percent)
10-Year Bond (44.0 percent) vs 10-Year Bond previous week (50.8 percent)
Ultra 10-Year Bond (30.1 percent) vs Ultra 10-Year Bond previous week (26.2 percent)
US Treasury Bond (71.5 percent) vs US Treasury Bond previous week (76.0 percent)
Ultra US Treasury Bond (22.0 percent) vs Ultra US Treasury Bond previous week (27.5 percent)
SOFR 3-Months (52.5 percent) vs SOFR 3-Months previous week (46.8 percent)

Ultra 10-Year Bonds & SOFR 3-Months top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (20 percent) and the SOFR 3-Months (17 percent) lead the past six weeks trends for bonds.

The Fed Funds (-45 percent) and the Ultra Treasury Bonds (-38 percent) lead the downside trend scores currently with the US Treasury Bonds (-27 percent) and the 2-Year Bonds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-44.7 percent) vs Fed Funds previous week (-48.6 percent)
2-Year Bond (-16.1 percent) vs 2-Year Bond previous week (-14.5 percent)
5-Year Bond (-11.4 percent) vs 5-Year Bond previous week (-6.9 percent)
10-Year Bond (-2.8 percent) vs 10-Year Bond previous week (5.2 percent)
Ultra 10-Year Bond (20.3 percent) vs Ultra 10-Year Bond previous week (17.9 percent)
US Treasury Bond (-27.3 percent) vs US Treasury Bond previous week (-12.5 percent)
Ultra US Treasury Bond (-38.2 percent) vs Ultra US Treasury Bond previous week (-28.0 percent)
SOFR 3-Months (17.4 percent) vs SOFR 3-Months previous week (9.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -150,397 contracts in the data reported through Tuesday. This was a weekly advance of 111,115 contracts from the previous week which had a total of -261,512 net contracts.

This 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 52.5 percent. The commercials are Bearish with a score of 47.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.359.30.2
– Percent of Open Interest Shorts:16.957.70.2
– Net Position:-150,397150,504-107
– Gross Longs:1,499,8915,796,40021,481
– Gross Shorts:1,650,2885,645,89621,588
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.547.487.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.4-17.61.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -133,554 contracts in the data reported through Tuesday. This was a weekly increase of 26,509 contracts from the previous week which had a total of -160,063 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.6 percent. The commercials are Bullish with a score of 58.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.466.02.4
– Percent of Open Interest Shorts:22.158.62.2
– Net Position:-133,554128,6914,863
– Gross Longs:250,9941,150,94442,510
– Gross Shorts:384,5481,022,25337,647
– Long to Short Ratio:0.7 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.658.599.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.741.911.5

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,232,315 contracts in the data reported through Tuesday. This was a weekly lowering of -11,932 contracts from the previous week which had a total of -1,220,383 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.6 percent. The commercials are Bullish-Extreme with a score of 81.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.676.26.5
– Percent of Open Interest Shorts:43.251.32.8
– Net Position:-1,232,3151,073,528158,787
– Gross Longs:629,9623,283,900278,977
– Gross Shorts:1,862,2772,210,372120,190
– Long to Short Ratio:0.3 to 11.5 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.681.1100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.117.92.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,566,601 contracts in the data reported through Tuesday. This was a weekly fall of -28,629 contracts from the previous week which had a total of -1,537,972 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.4 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: New Buy – Long Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.184.56.9
– Percent of Open Interest Shorts:31.862.34.4
– Net Position:-1,566,6011,408,198158,403
– Gross Longs:454,1035,370,659437,566
– Gross Shorts:2,020,7043,962,461279,163
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.497.796.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.47.418.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -417,904 contracts in the data reported through Tuesday. This was a weekly reduction of -72,528 contracts from the previous week which had a total of -345,376 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.0 percent. The commercials are Bearish with a score of 39.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.2 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.376.79.6
– Percent of Open Interest Shorts:20.668.98.1
– Net Position:-417,904350,46667,438
– Gross Longs:510,9333,451,637431,249
– Gross Shorts:928,8373,101,171363,811
– Long to Short Ratio:0.6 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.039.988.2
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.8-0.37.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -133,357 contracts in the data reported through Tuesday. This was a weekly lift of 18,777 contracts from the previous week which had a total of -152,134 net contracts.

This 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 30.1 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.177.09.6
– Percent of Open Interest Shorts:18.567.412.7
– Net Position:-133,357197,256-63,899
– Gross Longs:250,7971,595,197199,983
– Gross Shorts:384,1541,397,941263,882
– Long to Short Ratio:0.7 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.158.776.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.3-30.89.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -34,421 contracts in the data reported through Tuesday. This was a weekly decrease of -12,815 contracts from the previous week which had a total of -21,606 net contracts.

This 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 71.5 percent. The commercials are Bearish-Extreme with a score of 16.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.268.012.6
– Percent of Open Interest Shorts:20.370.08.6
– Net Position:-34,421-32,38966,810
– Gross Longs:304,9751,138,051211,512
– Gross Shorts:339,3961,170,440144,702
– Long to Short Ratio:0.9 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.516.193.5
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.316.131.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -405,960 contracts in the data reported through Tuesday. This was a weekly reduction of -12,743 contracts from the previous week which had a total of -393,217 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.0 percent. The commercials are Bullish-Extreme with a score of 92.9 percent and the small traders (not shown in chart) are Bearish with a score of 23.2 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.880.710.4
– Percent of Open Interest Shorts:33.256.79.9
– Net Position:-405,960398,6087,352
– Gross Longs:145,5791,342,054172,216
– Gross Shorts:551,539943,446164,864
– Long to Short Ratio:0.3 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.092.923.2
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-38.248.3-10.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
29 Jun

COT Bonds Charts: Speculator bets led by 10-Year Bonds & Fed Funds

By InvestMacro

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

The latest COT data is updated through Tuesday June 25th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 10-Year Bonds & Fed Funds

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

Leading the gains for the bond markets was the 10-Year Bonds (47,762 contracts) with the Fed Funds (10,305 contracts), the Ultra 10-Year Bonds (5,441 contracts) and the 2-Year Bonds (2,132 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-32,797 contracts), the US Treasury Bonds (-17,661 contracts), the Ultra Treasury Bonds (-14,105 contracts) and with the SOFR 3-Months (-2,447 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & 10-Year Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (66 percent) and the 10-Year Bonds (53 percent) lead the bond markets this week. The SOFR 3-Months (50 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (5 percent) and the 2-Year Bonds (14 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (26 percent) and the Fed Funds (35 percent).

Strength Statistics:
Fed Funds (35.1 percent) vs Fed Funds previous week (32.8 percent)
2-Year Bond (13.7 percent) vs 2-Year Bond previous week (13.6 percent)
5-Year Bond (5.2 percent) vs 5-Year Bond previous week (7.2 percent)
10-Year Bond (53.2 percent) vs 10-Year Bond previous week (48.7 percent)
Ultra 10-Year Bond (25.9 percent) vs Ultra 10-Year Bond previous week (24.8 percent)
US Treasury Bond (65.7 percent) vs US Treasury Bond previous week (71.9 percent)
Ultra US Treasury Bond (38.3 percent) vs Ultra US Treasury Bond previous week (44.5 percent)
SOFR 3-Months (50.2 percent) vs SOFR 3-Months previous week (50.3 percent)

Ultra 10-Year Bonds & SOFR 3-Months top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (26 percent) and the SOFR 3-Months (11 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (3 percent) is the next highest positive mover in the latest trends data.

The Fed Funds (-53 percent) leads the downside trend scores currently with the US Treasury Bonds (-19 percent), the 2-Year Bonds (-19 percent) and the Ultra Treasury Bonds (-16 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-53.3 percent) vs Fed Funds previous week (-64.9 percent)
2-Year Bond (-19.0 percent) vs 2-Year Bond previous week (-15.4 percent)
5-Year Bond (-9.6 percent) vs 5-Year Bond previous week (-17.4 percent)
10-Year Bond (2.6 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (25.6 percent) vs Ultra 10-Year Bond previous week (11.5 percent)
US Treasury Bond (-19.3 percent) vs US Treasury Bond previous week (-3.0 percent)
Ultra US Treasury Bond (-16.2 percent) vs Ultra US Treasury Bond previous week (-16.6 percent)
SOFR 3-Months (10.8 percent) vs SOFR 3-Months previous week (7.6 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -195,837 contracts in the data reported through Tuesday. This was a weekly fall of -2,447 contracts from the previous week which had a total of -193,390 net contracts.

This 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 50.2 percent. The commercials are Bearish with a score of 49.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.059.10.2
– Percent of Open Interest Shorts:17.157.00.3
– Net Position:-195,837198,662-2,825
– Gross Longs:1,417,1675,579,16522,337
– Gross Shorts:1,613,0045,380,50325,162
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.249.986.3
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.8-10.80.5

 

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 -140,133 contracts in the data reported through Tuesday. This was a weekly gain of 10,305 contracts from the previous week which had a total of -150,438 net contracts.

This 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 35.1 percent. The commercials are Bullish with a score of 59.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.070.12.6
– Percent of Open Interest Shorts:17.362.02.3
– Net Position:-140,133134,9275,206
– Gross Longs:150,6561,177,83943,053
– Gross Shorts:290,7891,042,91237,847
– Long to Short Ratio:0.5 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.159.9100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-53.348.030.9

 

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 -1,261,457 contracts in the data reported through Tuesday. This was a weekly advance of 2,132 contracts from the previous week which had a total of -1,263,589 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.7 percent. The commercials are Bullish-Extreme with a score of 83.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.577.96.6
– Percent of Open Interest Shorts:44.951.22.9
– Net Position:-1,261,4571,109,570151,887
– Gross Longs:603,4693,236,642272,091
– Gross Shorts:1,864,9262,127,072120,204
– Long to Short Ratio:0.3 to 11.5 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.783.799.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.020.17.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,486,197 contracts in the data reported through Tuesday. This was a weekly lowering of -32,797 contracts from the previous week which had a total of -1,453,400 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 5.2 percent. The commercials are Bullish-Extreme with a score of 90.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.6 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.67.4
– Percent of Open Interest Shorts:30.963.44.6
– Net Position:-1,486,1971,312,975173,222
– Gross Longs:428,3615,246,055458,883
– Gross Shorts:1,914,5583,933,080285,661
– Long to Short Ratio:0.2 to 11.3 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.290.999.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.65.019.0

 

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 -319,844 contracts in the data reported through Tuesday. This was a weekly rise of 47,762 contracts from the previous week which had a total of -367,606 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.2 percent. The commercials are Bearish with a score of 30.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.078.29.6
– Percent of Open Interest Shorts:17.471.78.7
– Net Position:-319,844279,16240,682
– Gross Longs:432,6273,385,365416,843
– Gross Shorts:752,4713,106,203376,161
– Long to Short Ratio:0.6 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.230.882.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.6-9.29.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -153,702 contracts in the data reported through Tuesday. This was a weekly boost of 5,441 contracts from the previous week which had a total of -159,143 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.9 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bullish with a score of 76.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.276.89.7
– Percent of Open Interest Shorts:19.766.312.8
– Net Position:-153,702216,236-62,534
– Gross Longs:251,2701,577,581200,003
– Gross Shorts:404,9721,361,345262,537
– Long to Short Ratio:0.6 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.963.876.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.6-36.05.8

 

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 -50,998 contracts in the data reported through Tuesday. This was a weekly reduction of -17,661 contracts from the previous week which had a total of -33,337 net contracts.

This 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 65.7 percent. The commercials are Bearish-Extreme with a score of 19.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.269.113.0
– Percent of Open Interest Shorts:20.370.48.5
– Net Position:-50,998-22,46673,464
– Gross Longs:282,8981,136,639213,802
– Gross Shorts:333,8961,159,105140,338
– Long to Short Ratio:0.8 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.719.5100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.38.230.8

 

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 -368,340 contracts in the data reported through Tuesday. This was a weekly lowering of -14,105 contracts from the previous week which had a total of -354,235 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.3 percent. The commercials are Bullish with a score of 67.3 percent and the small traders (not shown in chart) are Bearish with a score of 40.3 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.479.810.8
– Percent of Open Interest Shorts:30.259.29.6
– Net Position:-368,340347,83020,510
– Gross Longs:141,8291,347,454181,733
– Gross Shorts:510,169999,624161,223
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.367.340.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.214.311.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

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