Bonds

Archive for Bonds – Page 20

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

Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC) on Monday due to the Thanksgiving holiday last week.

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

Data Snapshot of Bond Market Traders | Columns Legend

Nov-23-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,349,444	62	-1,300,481	25	1,673,242	72	-372,761	53
FedFunds	1,298,421	24	-82,005	29	95,280	71	-13,275	37
2-Year	2,132,720	14	-46,620	82	98,539	36	-51,919	3
Long T-Bond	1,252,959	58	-11,025	89	2,535	21	8,490	59
10-Year	4,124,886	73	-323,415	22	626,237	100	-302,822	8
5-Year	4,093,700	52	-284,883	31	580,200	92	-295,317	0

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.4	66.5	4.2
– Percent of Open Interest Shorts:	21.9	53.0	7.2
– Net Position:	-1,300,481	1,673,242	-372,761
– Gross Longs:	1,402,059	8,214,489	521,653
– Gross Shorts:	2,702,540	6,541,247	894,414
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	24.8	71.7	52.7
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.6	9.7	-13.8

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.8	81.2	1.4
– Percent of Open Interest Shorts:	11.1	73.9	2.5
– Net Position:	-82,005	95,280	-13,275
– Gross Longs:	62,546	1,054,351	18,787
– Gross Shorts:	144,551	959,071	32,062
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	29.5	71.4	36.6
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.6	1.9	-5.1

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.2	73.1	6.5
– Percent of Open Interest Shorts:	16.4	68.5	8.9
– Net Position:	-46,620	98,539	-51,919
– Gross Longs:	302,567	1,558,485	138,934
– Gross Shorts:	349,187	1,459,946	190,853
– Long to Short Ratio:	0.9 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	82.0	36.4	3.4
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.3	7.2	-17.6

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.6 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.2	77.3	7.6
– Percent of Open Interest Shorts:	15.1	63.1	14.8
– Net Position:	-284,883	580,200	-295,317
– Gross Longs:	335,148	3,165,060	310,719
– Gross Shorts:	620,031	2,584,860	606,036
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	30.6	92.3	0.0
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.7	4.1	-18.4

10-Year Treasury Note Futures:

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

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.6	77.0	8.5
– Percent of Open Interest Shorts:	18.5	61.8	15.8
– Net Position:	-323,415	626,237	-302,822
– Gross Longs:	437,867	3,176,597	350,623
– Gross Shorts:	761,282	2,550,360	653,445
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	22.2	100.0	8.2
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-73.9	57.1	3.8

Ultra 10-Year Notes Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.1 percent. The commercials are Bullish with a score of 54.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	18.9	71.7	7.4
– Percent of Open Interest Shorts:	9.0	69.4	19.6
– Net Position:	156,586	35,408	-191,994
– Gross Longs:	297,229	1,125,042	115,416
– Gross Shorts:	140,643	1,089,634	307,410
– Long to Short Ratio:	2.1 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	69.1	54.2	0.0
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	16.5	-14.3	-6.9

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 89.5 percent. The commercials are Bearish with a score of 20.9 percent and the small traders (not shown in chart) are Bullish with a score of 59.3 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.3	69.9	14.8
– Percent of Open Interest Shorts:	13.1	69.7	14.1
– Net Position:	-11,025	2,535	8,490
– Gross Longs:	153,738	876,170	185,217
– Gross Shorts:	164,763	873,635	176,727
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	89.5	20.9	59.3
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.0	-26.7	22.4

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.8	80.0	13.0
– Percent of Open Interest Shorts:	28.5	58.2	12.1
– Net Position:	-291,720	280,496	11,224
– Gross Longs:	75,005	1,029,708	167,388
– Gross Shorts:	366,725	749,212	156,164
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	66.2	52.2	36.3
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.9	-18.1	10.9

Article By InvestMacro – Receive our weekly COT Reports by Email

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

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

20 Nov

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

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

The latest COT data is updated through Tuesday November 16th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

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

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

Data Snapshot of Bond Market Traders | Columns Legend

Nov-16-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,283,299	61	-1,119,283	28	1,477,223	68	-357,940	55
FedFunds	1,207,677	17	-65,206	32	74,839	69	-9,633	45
2-Year	2,016,362	9	-5,445	91	63,501	30	-58,056	0
Long T-Bond	1,232,186	54	-16,368	88	8,293	23	8,075	59
10-Year	3,972,392	62	-294,141	27	598,591	99	-304,450	8
5-Year	3,630,431	28	-344,595	20	581,981	93	-237,386	5

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.0	66.3	4.4
– Percent of Open Interest Shorts:	21.1	54.2	7.3
– Net Position:	-1,119,283	1,477,223	-357,940
– Gross Longs:	1,477,552	8,137,706	540,741
– Gross Shorts:	2,596,835	6,660,483	898,681
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	28.3	67.7	55.5
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.0	8.6	-16.1

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.9	81.4	1.7
– Percent of Open Interest Shorts:	10.3	75.2	2.5
– Net Position:	-65,206	74,839	-9,633
– Gross Longs:	58,782	982,458	20,741
– Gross Shorts:	123,988	907,619	30,374
– Long to Short Ratio:	0.5 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.6	69.0	44.5
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	1.6	-1.8	4.3

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 91.1 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.1	73.3	6.0
– Percent of Open Interest Shorts:	17.4	70.1	8.9
– Net Position:	-5,445	63,501	-58,056
– Gross Longs:	345,245	1,477,100	121,652
– Gross Shorts:	350,690	1,413,599	179,708
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	91.1	29.6	0.0
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	8.2	1.9	-25.8

5-Year Treasury Note Futures:

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

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.3	81.1	7.2
– Percent of Open Interest Shorts:	17.8	65.1	13.7
– Net Position:	-344,595	581,981	-237,386
– Gross Longs:	300,750	2,944,901	261,002
– Gross Shorts:	645,345	2,362,920	498,388
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	19.7	92.6	5.5
– COT Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.4	4.5	-1.3

10-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.7 percent. The commercials are Bullish-Extreme with a score of 99.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.8 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.3	76.9	7.4
– Percent of Open Interest Shorts:	19.7	61.8	15.1
– Net Position:	-294,141	598,591	-304,450
– Gross Longs:	486,980	3,053,354	293,521
– Gross Shorts:	781,121	2,454,763	597,971
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	26.7	99.0	7.8
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-67.1	51.3	6.9

Ultra 10-Year Notes Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.6 percent. The commercials are Bearish with a score of 45.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.0 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.1	71.6	7.0
– Percent of Open Interest Shorts:	10.1	71.4	17.3
– Net Position:	162,410	3,376	-165,786
– Gross Longs:	324,961	1,154,942	113,100
– Gross Shorts:	162,551	1,151,566	278,886
– Long to Short Ratio:	2.0 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	70.6	45.2	11.0
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	21.5	-25.6	6.2

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.5 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.8	69.6	16.0
– Percent of Open Interest Shorts:	13.1	68.9	15.4
– Net Position:	-16,368	8,293	8,075
– Gross Longs:	144,973	857,612	197,253
– Gross Shorts:	161,341	849,319	189,178
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	87.5	22.8	59.0
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	29.6	-32.4	15.4

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.9	80.4	12.4
– Percent of Open Interest Shorts:	29.6	57.5	11.6
– Net Position:	-298,879	287,988	10,891
– Gross Longs:	74,179	1,012,845	156,624
– Gross Shorts:	373,058	724,857	145,733
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	63.3	55.9	36.1
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.0	-17.7	15.4

Article By InvestMacro – Receive our weekly COT Reports by Email

Bonds CountingPips Forex Blog Opinions

15 Nov

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend

Nov-09-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,396,094	63	-971,910	31	1,331,314	65	-359,404	56
FedFunds	1,157,278	14	-67,949	31	77,176	69	-9,227	45
2-Year	2,013,763	9	-16,737	89	68,313	31	-51,576	1
Long T-Bond	1,206,593	50	-28,072	83	10,259	23	17,813	67
10-Year	3,883,483	56	-267,332	31	572,247	96	-304,915	8
5-Year	3,600,589	26	-407,485	8	637,634	100	-230,149	8

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.8	66.8	4.0
– Percent of Open Interest Shorts:	20.6	56.0	6.9
– Net Position:	-971,910	1,331,314	-359,404
– Gross Longs:	1,581,479	8,275,703	492,587
– Gross Shorts:	2,553,389	6,944,389	851,991
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.2	65.1	55.9
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.5	3.8	-18.0

30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week recorded a net position of -67,949 contracts in the data reported through Tuesday. This was a weekly decline of -5,481 contracts from the previous week which had a total of -62,468 net contracts.

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.2	81.5	2.0
– Percent of Open Interest Shorts:	10.1	74.8	2.8
– Net Position:	-67,949	77,176	-9,227
– Gross Longs:	48,886	943,134	22,753
– Gross Shorts:	116,835	865,958	31,980
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.2	69.3	45.4
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.3	-2.7	6.2

2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week recorded a net position of -16,737 contracts in the data reported through Tuesday. This was a weekly gain of 46,371 contracts from the previous week which had a total of -63,108 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 88.6 percent. The commercials are Bearish with a score of 30.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.9 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.1	73.1	6.2
– Percent of Open Interest Shorts:	18.0	69.7	8.7
– Net Position:	-16,737	68,313	-51,576
– Gross Longs:	345,187	1,471,287	124,473
– Gross Shorts:	361,924	1,402,974	176,049
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	88.6	30.6	0.9
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.2	1.0	-29.0

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week recorded a net position of -407,485 contracts in the data reported through Tuesday. This was a weekly decrease of -31,132 contracts from the previous week which had a total of -376,353 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.3 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.2	82.3	7.1
– Percent of Open Interest Shorts:	18.5	64.6	13.5
– Net Position:	-407,485	637,634	-230,149
– Gross Longs:	258,018	2,964,073	256,898
– Gross Shorts:	665,503	2,326,439	487,047
– Long to Short Ratio:	0.4 to 1	1.3 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	8.3	100.0	7.7
– COT Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.8	23.5	-20.8

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week recorded a net position of -267,332 contracts in the data reported through Tuesday. This was a weekly increase of 1,337 contracts from the previous week which had a total of -268,669 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.9 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.7 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.7	76.6	7.8
– Percent of Open Interest Shorts:	19.5	61.9	15.7
– Net Position:	-267,332	572,247	-304,915
– Gross Longs:	491,821	2,976,174	303,939
– Gross Shorts:	759,153	2,403,927	608,854
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	30.9	95.7	7.7
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-69.1	58.6	-3.5

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week recorded a net position of 202,050 contracts in the data reported through Tuesday. This was a weekly increase of 48,567 contracts from the previous week which had a total of 153,483 net contracts.

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

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	22.0	71.0	6.6
– Percent of Open Interest Shorts:	9.5	72.2	17.9
– Net Position:	202,050	-18,901	-183,149
– Gross Longs:	355,010	1,147,620	105,943
– Gross Shorts:	152,960	1,166,521	289,092
– Long to Short Ratio:	2.3 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	81.1	39.0	0.0
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	33.3	-27.2	-18.5

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week recorded a net position of -28,072 contracts in the data reported through Tuesday. This was a weekly lift of 4,475 contracts from the previous week which had a total of -32,547 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 83.3 percent. The commercials are Bearish with a score of 23.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.0	71.6	15.5
– Percent of Open Interest Shorts:	13.3	70.7	14.0
– Net Position:	-28,072	10,259	17,813
– Gross Longs:	132,694	863,487	186,632
– Gross Shorts:	160,766	853,228	168,819
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	83.3	23.4	66.7
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	28.3	-27.7	6.5

Ultra US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.5 percent. The commercials are Bullish with a score of 57.7 percent and the small traders (not shown in chart) are Bearish with a score of 34.8 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.7	81.4	12.7
– Percent of Open Interest Shorts:	28.8	58.0	12.0
– Net Position:	-300,782	291,663	9,119
– Gross Longs:	58,213	1,013,082	157,838
– Gross Shorts:	358,995	721,419	148,719
– Long to Short Ratio:	0.2 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	62.5	57.7	34.8
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.4	-1.5	2.9

Article By InvestMacro – Receive our weekly COT Reports by Email

Bonds CountingPips Forex Blog Opinions

09 Nov

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

By John Whittaker, Lancaster University

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

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

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

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

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

The inflation dilemma

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

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

Annual inflation 2019-21

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

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

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

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

Yields on 10-year UK government bonds

Chart showing 10-year government bond yields — Trading Economics

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

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

John Whittaker, Senior Teaching Fellow in Economics, Lancaster University

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

Bonds Economics & Fundamentals Opinions

06 Nov

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

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

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

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

Data Snapshot of Bond Market Traders | Columns Legend

Nov-02-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,358,986	62	-993,373	31	1,355,371	64	-361,998	56
FedFunds	1,160,971	14	-62,468	32	74,234	69	-11,766	40
2-Year	2,052,533	11	-63,108	78	116,263	40	-53,155	0
Long T-Bond	1,158,749	42	-32,547	82	48,443	36	-15,896	40
10-Year	3,973,988	63	-268,669	31	606,611	100	-337,942	0
5-Year	3,568,732	24	-376,353	29	606,647	94	-230,294	8

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.6	66.1	4.3
– Percent of Open Interest Shorts:	20.7	55.2	7.2
– Net Position:	-993,373	1,355,371	-361,998
– Gross Longs:	1,561,061	8,174,708	530,581
– Gross Shorts:	2,554,434	6,819,337	892,579
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.2	64.3	55.9
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.1	7.8	-30.5

30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week resulted in a net position of -62,468 contracts in the data reported through Tuesday. This was a weekly lowering of -17,877 contracts from the previous week which had a total of -44,591 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.9 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bearish with a score of 39.9 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.4	80.7	2.0
– Percent of Open Interest Shorts:	9.7	74.3	3.0
– Net Position:	-62,468	74,234	-11,766
– Gross Longs:	50,587	937,379	23,576
– Gross Shorts:	113,055	863,145	35,342
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.9	68.9	39.9
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.9	-2.6	-4.4

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.0	74.1	6.2
– Percent of Open Interest Shorts:	19.1	68.5	8.8
– Net Position:	-63,108	116,263	-53,155
– Gross Longs:	329,143	1,521,704	127,629
– Gross Shorts:	392,251	1,405,441	180,784
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	78.4	39.8	0.0
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.2	19.9	-40.2

5-Year Treasury Note Futures:

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

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.9	80.7	7.4
– Percent of Open Interest Shorts:	19.4	63.7	13.8
– Net Position:	-376,353	606,647	-230,294
– Gross Longs:	317,689	2,880,804	263,908
– Gross Shorts:	694,042	2,274,157	494,202
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	29.2	94.2	7.7
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-34.4	42.2	-28.3

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week resulted in a net position of -268,669 contracts in the data reported through Tuesday. This was a weekly decrease of -153,824 contracts from the previous week which had a total of -114,845 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.7 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.5	76.8	7.4
– Percent of Open Interest Shorts:	19.2	61.6	15.9
– Net Position:	-268,669	606,611	-337,942
– Gross Longs:	496,137	3,052,628	294,092
– Gross Shorts:	764,806	2,446,017	632,034
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	30.7	100.0	0.0
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-50.8	55.4	-25.2

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week resulted in a net position of 153,483 contracts in the data reported through Tuesday. This was a weekly fall of -3,271 contracts from the previous week which had a total of 156,754 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 68.3 percent. The commercials are Bullish with a score of 50.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.4 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.6	71.9	6.8
– Percent of Open Interest Shorts:	10.9	70.5	18.0
– Net Position:	153,483	23,194	-176,677
– Gross Longs:	325,104	1,136,251	107,890
– Gross Shorts:	171,621	1,113,057	284,567
– Long to Short Ratio:	1.9 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	68.3	50.8	2.4
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.8	-11.8	-16.2

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week resulted in a net position of -32,547 contracts in the data reported through Tuesday. This was a weekly increase of 34,447 contracts from the previous week which had a total of -66,994 net contracts.

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.5	73.6	14.5
– Percent of Open Interest Shorts:	13.3	69.4	15.9
– Net Position:	-32,547	48,443	-15,896
– Gross Longs:	121,529	852,718	168,279
– Gross Shorts:	154,076	804,275	184,175
– Long to Short Ratio:	0.8 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	81.7	35.6	40.0
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.0	-8.9	-22.0

Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -292,611 contracts in the data reported through Tuesday. This was a weekly boost of 38,602 contracts from the previous week which had a total of -331,213 net contracts.

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	3.9	82.5	12.7
– Percent of Open Interest Shorts:	28.0	59.2	12.0
– Net Position:	-292,611	283,250	9,361
– Gross Longs:	47,132	1,001,156	154,604
– Gross Shorts:	339,743	717,906	145,243
– Long to Short Ratio:	0.1 to 1	1.4 to 1	1.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	65.8	53.6	35.0
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.9	3.1	-6.1

Article By InvestMacro – Receive our weekly COT Reports by Email

Bonds CountingPips Forex Blog Opinions

30 Oct

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

By InvestMacro.com COT Home | Data Tables | Data Downloads | Newsletter

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

The latest COT data is updated through Tuesday October 26th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

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

Data Snapshot of Bond Market Traders | Columns Legend

Oct-26-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,675,714	68	-724,993	36	1,046,056	59	-321,063	61
FedFunds	1,293,093	23	-44,591	34	54,410	66	-9,819	44
2-Year	2,029,079	10	-112,318	67	154,788	47	-42,470	1
Long T-Bond	1,173,180	44	-66,994	69	87,013	48	-20,019	37
10-Year	4,000,227	64	-114,845	59	441,515	75	-326,670	2
5-Year	3,586,544	25	-341,475	34	579,881	91	-238,406	5

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.5	63.7	4.3
– Percent of Open Interest Shorts:	19.2	55.5	6.9
– Net Position:	-724,993	1,046,056	-321,063
– Gross Longs:	1,711,694	8,076,945	551,131
– Gross Shorts:	2,436,687	7,030,889	872,194
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	36.4	58.9	61.2
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.4	5.3	-23.8

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.6	78.6	1.4
– Percent of Open Interest Shorts:	9.1	74.4	2.1
– Net Position:	-44,591	54,410	-9,819
– Gross Longs:	72,575	1,016,206	17,945
– Gross Shorts:	117,166	961,796	27,764
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	34.1	66.5	44.1
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.2	-3.6	-8.1

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.5 percent. The commercials are Bearish with a score of 47.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.5 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.3	73.8	6.8
– Percent of Open Interest Shorts:	21.8	66.2	8.9
– Net Position:	-112,318	154,788	-42,470
– Gross Longs:	330,130	1,497,320	138,359
– Gross Shorts:	442,448	1,342,532	180,829
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	67.5	47.2	0.5
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-19.4	28.2	-35.2

5-Year Treasury Note Futures:

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

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.0	79.3	7.1
– Percent of Open Interest Shorts:	19.5	63.1	13.8
– Net Position:	-341,475	579,881	-238,406
– Gross Longs:	359,180	2,844,217	255,899
– Gross Shorts:	700,655	2,264,336	494,305
– Long to Short Ratio:	0.5 to 1	1.3 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	34.4	90.7	5.2
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-47.6	55.7	-32.7

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week recorded a net position of -114,845 contracts in the data reported through Tuesday. This was a weekly decrease of -114,301 contracts from the previous week which had a total of -544 net contracts.

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.5	73.4	7.2
– Percent of Open Interest Shorts:	19.4	62.4	15.4
– Net Position:	-114,845	441,515	-326,670
– Gross Longs:	660,004	2,937,167	287,429
– Gross Shorts:	774,849	2,495,652	614,099
– Long to Short Ratio:	0.9 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	58.9	74.9	1.7
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-33.9	41.9	-24.8

Ultra 10-Year Notes Futures:

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

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

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.0	72.6	7.0
– Percent of Open Interest Shorts:	9.8	71.4	18.4
– Net Position:	156,754	19,632	-176,386
– Gross Longs:	306,662	1,116,413	106,942
– Gross Shorts:	149,908	1,096,781	283,328
– Long to Short Ratio:	2.0 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	69.1	49.8	2.6
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	16.8	-15.1	-6.4

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week recorded a net position of -66,994 contracts in the data reported through Tuesday. This was a weekly decrease of -9,423 contracts from the previous week which had a total of -57,571 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.3 percent. The commercials are Bearish with a score of 47.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.7 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.8	75.7	13.9
– Percent of Open Interest Shorts:	14.5	68.2	15.6
– Net Position:	-66,994	87,013	-20,019
– Gross Longs:	103,650	887,603	163,344
– Gross Shorts:	170,644	800,590	183,363
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	69.3	47.9	36.7
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.3	12.9	-27.1

Ultra US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.1 percent. The commercials are Bullish with a score of 74.2 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	3.6	82.7	12.6
– Percent of Open Interest Shorts:	30.8	56.0	12.1
– Net Position:	-331,213	325,324	5,889
– Gross Longs:	44,062	1,007,205	153,271
– Gross Shorts:	375,275	681,881	147,382
– Long to Short Ratio:	0.1 to 1	1.5 to 1	1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	50.1	74.2	32.5
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.0	23.8	-13.7

Article By InvestMacro – Receive our weekly COT Reports by Email

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

Bonds CountingPips Forex Blog Opinions

25 Oct

What Junk Bonds Convey About Investors’ Mindset

“Governments feel rich and are spending like drunken sailors”

By Elliott Wave International

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

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

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

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

Even so, an Oct. 18 Fortune article says:

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

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

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

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

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

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

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

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

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

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

Here’s what’s included:

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

Bonds Economics & Fundamentals Opinions

22 Oct

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

By InvestMacro.com COT Home | Data Tables | Data Downloads | Newsletter

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

The latest COT data is updated through Tuesday October 19th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Data Snapshot of Bond Market Traders | Columns Legend

Oct-19-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,424,747	63	-781,200	35	1,080,706	60	-299,506	64
FedFunds	1,217,775	18	-54,484	33	65,503	68	-11,019	42
2-Year	1,991,689	8	-132,952	63	172,598	51	-39,646	2
Long T-Bond	1,186,553	48	-57,571	73	83,737	47	-26,166	32
10-Year	4,095,300	71	-544	75	319,388	60	-318,844	4
5-Year	3,637,741	28	-255,211	47	510,373	82	-255,162	0

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.6	63.4	4.5
– Percent of Open Interest Shorts:	18.9	54.7	6.9
– Net Position:	-781,200	1,080,706	-299,506
– Gross Longs:	1,565,312	7,876,268	563,787
– Gross Shorts:	2,346,512	6,795,562	863,293
– Long to Short Ratio:	0.7 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	35.3	59.5	64.0
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.8	5.6	-16.3

30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week resulted in a net position of -54,484 contracts in the data reported through Tuesday. This was a weekly increase of 14,601 contracts from the previous week which had a total of -69,085 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.9 percent. The commercials are Bullish with a score of 67.8 percent and the small traders (not shown in chart) are Bearish with a score of 41.5 percent.

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	6.1	77.6	1.6
– Percent of Open Interest Shorts:	10.5	72.2	2.5
– Net Position:	-54,484	65,503	-11,019
– Gross Longs:	73,882	945,177	19,058
– Gross Shorts:	128,366	879,674	30,077
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	32.9	67.8	41.5
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.1	-3.6	-8.2

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.9 percent. The commercials are Bullish with a score of 50.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.2 percent.

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.6	73.6	6.5
– Percent of Open Interest Shorts:	24.3	64.9	8.5
– Net Position:	-132,952	172,598	-39,646
– Gross Longs:	350,293	1,465,365	129,379
– Gross Shorts:	483,245	1,292,767	169,025
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	62.9	50.6	2.2
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-15.0	22.1	-28.3

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.4 percent. The commercials are Bullish-Extreme with a score of 81.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.4	77.7	7.0
– Percent of Open Interest Shorts:	18.4	63.7	14.0
– Net Position:	-255,211	510,373	-255,162
– Gross Longs:	414,711	2,827,556	253,812
– Gross Shorts:	669,922	2,317,183	508,974
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	47.4	81.5	0.0
– COT Index Reading (3 Year Range):	Bearish	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.8	40.6	-36.1

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week resulted in a net position of -544 contracts in the data reported through Tuesday. This was a weekly fall of -156,586 contracts from the previous week which had a total of 156,042 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.8 percent. The commercials are Bullish with a score of 60.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.6 percent.

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	18.2	71.4	7.2
– Percent of Open Interest Shorts:	18.2	63.6	15.0
– Net Position:	-544	319,388	-318,844
– Gross Longs:	743,719	2,922,085	295,191
– Gross Shorts:	744,263	2,602,697	614,035
– Long to Short Ratio:	1.0 to 1	1.1 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	74.8	60.3	3.6
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.2	11.2	-21.7

Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week resulted in a net position of 139,559 contracts in the data reported through Tuesday. This was a weekly increase of 45,454 contracts from the previous week which had a total of 94,105 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.6 percent. The commercials are Bullish with a score of 53.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.6 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.7	72.8	7.1
– Percent of Open Interest Shorts:	10.6	70.7	18.4
– Net Position:	139,559	32,149	-171,708
– Gross Longs:	301,286	1,110,821	108,529
– Gross Shorts:	161,727	1,078,672	280,237
– Long to Short Ratio:	1.9 to 1	1.0 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	64.6	53.3	5.6
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	12.7	-14.3	1.9

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week resulted in a net position of -57,571 contracts in the data reported through Tuesday. This was a weekly boost of 8,980 contracts from the previous week which had a total of -66,551 net contracts.

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.9	74.8	13.6
– Percent of Open Interest Shorts:	14.8	67.7	15.8
– Net Position:	-57,571	83,737	-26,166
– Gross Longs:	117,543	887,561	161,202
– Gross Shorts:	175,114	803,824	187,368
– Long to Short Ratio:	0.7 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	72.7	46.8	31.8
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.3	-0.9	-18.4

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.0	81.4	12.6
– Percent of Open Interest Shorts:	30.6	55.6	12.7
– Net Position:	-311,777	313,784	-2,007
– Gross Longs:	60,848	989,707	152,699
– Gross Shorts:	372,625	675,923	154,706
– Long to Short Ratio:	0.2 to 1	1.5 to 1	1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	58.0	68.5	26.8
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.5	16.2	-7.1

Article By InvestMacro – Receive our weekly COT Reports by Email

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

Bonds CountingPips Forex Blog Opinions

15 Oct

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

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

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

The latest COT data is updated through Tuesday October 12th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

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

Data Snapshot of Bond Market Traders | Columns Legend

Oct-12-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,837,299	71	-863,600	34	1,133,791	60	-270,191	68
FedFunds	1,190,212	16	-69,085	31	79,999	70	-10,914	42
2-Year	1,845,270	3	-40,946	83	60,855	29	-19,909	14
Long T-Bond	1,222,493	54	-66,551	70	86,248	48	-19,697	37
10-Year	4,102,714	72	156,042	97	163,158	42	-319,200	3
5-Year	3,604,864	26	-321,419	52	549,713	66	-228,294	2

3-Month Eurodollars Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.7 percent. The commercials are Bullish with a score of 60.5 percent and the small traders (not shown in chart) are Bullish with a score of 67.7 percent.

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.2	61.8	4.4
– Percent of Open Interest Shorts:	19.9	53.0	6.5
– Net Position:	-863,600	1,133,791	-270,191
– Gross Longs:	1,691,897	7,936,364	566,490
– Gross Shorts:	2,555,497	6,802,573	836,681
– Long to Short Ratio:	0.7 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	33.7	60.5	67.7
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.5	4.4	-16.1

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.7	77.2	1.8
– Percent of Open Interest Shorts:	11.5	70.5	2.7
– Net Position:	-69,085	79,999	-10,914
– Gross Longs:	68,061	918,640	20,954
– Gross Shorts:	137,146	838,641	31,868
– Long to Short Ratio:	0.5 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	31.1	69.6	41.7
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.9	-4.1	5.0

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.8	71.7	7.0
– Percent of Open Interest Shorts:	20.0	68.4	8.1
– Net Position:	-40,946	60,855	-19,909
– Gross Longs:	328,329	1,322,378	128,740
– Gross Shorts:	369,275	1,261,523	148,649
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	83.3	29.1	14.1
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.5	9.3	-16.7

5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week recorded a net position of -321,419 contracts in the data reported through Tuesday. This was a weekly decline of -6,595 contracts from the previous week which had a total of -314,824 net contracts.

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

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.0	79.2	7.2
– Percent of Open Interest Shorts:	18.9	64.0	13.5
– Net Position:	-321,419	549,713	-228,294
– Gross Longs:	360,916	2,855,878	258,857
– Gross Shorts:	682,335	2,306,165	487,151
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	52.0	66.1	1.6
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-33.7	38.9	-31.3

10-Year Treasury Note Futures:

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

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	21.5	68.1	7.3
– Percent of Open Interest Shorts:	17.7	64.2	15.1
– Net Position:	156,042	163,158	-319,200
– Gross Longs:	883,621	2,795,156	300,686
– Gross Shorts:	727,579	2,631,998	619,886
– Long to Short Ratio:	1.2 to 1	1.1 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	96.5	41.6	3.5
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	25.6	-10.1	-23.8

Ultra 10-Year Notes Futures:

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

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

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.7	74.4	7.2
– Percent of Open Interest Shorts:	11.4	68.5	19.4
– Net Position:	94,105	86,315	-180,420
– Gross Longs:	262,156	1,099,485	106,966
– Gross Shorts:	168,051	1,013,170	287,386
– Long to Short Ratio:	1.6 to 1	1.1 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	52.6	68.5	0.0
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.1	4.7	-5.9

US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week recorded a net position of -66,551 contracts in the data reported through Tuesday. This was a weekly advance of 32,098 contracts from the previous week which had a total of -98,649 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.5 percent. The commercials are Bearish with a score of 47.6 percent and the small traders (not shown in chart) are Bearish with a score of 37.0 percent.

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.9	74.3	13.7
– Percent of Open Interest Shorts:	15.3	67.2	15.3
– Net Position:	-66,551	86,248	-19,697
– Gross Longs:	120,942	908,174	167,921
– Gross Shorts:	187,493	821,926	187,618
– Long to Short Ratio:	0.6 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	69.5	47.6	37.0
– COT Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	13.5	-6.5	-13.6

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.5	82.1	12.4
– Percent of Open Interest Shorts:	30.3	56.0	12.8
– Net Position:	-313,414	317,409	-3,995
– Gross Longs:	54,907	998,802	151,411
– Gross Shorts:	368,321	681,393	155,406
– Long to Short Ratio:	0.1 to 1	1.5 to 1	1.0 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	57.4	70.3	25.4
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.7	17.5	-3.4

Article By InvestMacro – Receive our weekly COT Reports by Email

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

Bonds CountingPips Forex Blog Opinions

08 Oct

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

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

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

The latest COT data is updated through Tuesday October 5th 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Data Snapshot of Bond Market Traders | Columns Legend

Oct-05-2021	OI	OI-Index	Spec-Net	Spec-Index	Com-Net	COM-Index	Smalls-Net	Smalls-Index
Eurodollar	12,461,197	64	-760,843	36	996,972	58	-236,129	72
FedFunds	1,112,644	11	-78,348	30	89,978	71	-11,630	40
2-Year	1,773,474	0	-42,527	83	53,740	28	-11,213	19
Long T-Bond	1,232,198	56	-98,649	58	109,987	55	-11,338	44
10-Year	4,063,952	69	141,333	95	192,710	43	-334,043	0
5-Year	3,571,119	24	-314,824	55	547,985	62	-233,161	0

3-Month Eurodollars Futures:

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

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

3-Month Eurodollars Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	14.0	60.7	4.8
– Percent of Open Interest Shorts:	20.1	52.7	6.7
– Net Position:	-760,843	996,972	-236,129
– Gross Longs:	1,746,555	7,566,476	594,467
– Gross Shorts:	2,507,398	6,569,504	830,596
– Long to Short Ratio:	0.7 to 1	1.2 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	35.7	58.1	72.1
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.1	1.5	-3.7

30-Day Federal Funds Futures:

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

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

30-Day Federal Funds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.4	77.0	2.2
– Percent of Open Interest Shorts:	12.4	68.9	3.2
– Net Position:	-78,348	89,978	-11,630
– Gross Longs:	59,841	856,937	24,136
– Gross Shorts:	138,189	766,959	35,766
– Long to Short Ratio:	0.4 to 1	1.1 to 1	0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	29.9	70.8	40.2
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.0	0.7	5.3

2-Year Treasury Note Futures:

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

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

2-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.5	72.0	7.7
– Percent of Open Interest Shorts:	19.9	69.0	8.3
– Net Position:	-42,527	53,740	-11,213
– Gross Longs:	310,731	1,277,218	136,061
– Gross Shorts:	353,258	1,223,478	147,274
– Long to Short Ratio:	0.9 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	82.9	27.8	19.3
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.3	10.5	-12.8

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.2 percent. The commercials are Bullish with a score of 61.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

5-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.7	79.6	7.0
– Percent of Open Interest Shorts:	18.5	64.3	13.5
– Net Position:	-314,824	547,985	-233,161
– Gross Longs:	345,060	2,842,467	248,462
– Gross Shorts:	659,884	2,294,482	481,623
– Long to Short Ratio:	0.5 to 1	1.2 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	55.2	61.8	0.0
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-44.8	48.0	-33.1

10-Year Treasury Note Futures:

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

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

10-Year Treasury Note Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.9	69.1	7.1
– Percent of Open Interest Shorts:	17.4	64.4	15.3
– Net Position:	141,333	192,710	-334,043
– Gross Longs:	848,256	2,808,775	289,697
– Gross Shorts:	706,923	2,616,065	623,740
– Long to Short Ratio:	1.2 to 1	1.1 to 1	0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	95.0	42.6	0.0
– COT Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.5	11.1	-29.7

Ultra 10-Year Notes Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.1 percent. The commercials are Bullish with a score of 70.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Ultra 10-Year Notes Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.1	74.9	7.6
– Percent of Open Interest Shorts:	11.5	68.4	19.7
– Net Position:	80,879	94,700	-175,579
– Gross Longs:	248,258	1,087,022	110,087
– Gross Shorts:	167,379	992,322	285,666
– Long to Short Ratio:	1.5 to 1	1.1 to 1	0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	49.1	70.8	0.0
– COT Index Reading (3 Year Range):	Bearish	Bullish	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-0.3	6.6	-15.1

US Treasury Bonds Futures:

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

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

US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	8.7	75.2	13.9
– Percent of Open Interest Shorts:	16.7	66.3	14.8
– Net Position:	-98,649	109,987	-11,338
– Gross Longs:	107,189	927,032	171,374
– Gross Shorts:	205,838	817,045	182,712
– Long to Short Ratio:	0.5 to 1	1.1 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	58.0	55.2	43.6
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.2	10.0	-25.5

Ultra US Treasury Bonds Futures:

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

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

Ultra US Treasury Bonds Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.6	82.5	12.0
– Percent of Open Interest Shorts:	30.2	56.0	12.9
– Net Position:	-313,634	324,157	-10,523
– Gross Longs:	55,695	1,008,685	146,619
– Gross Shorts:	369,329	684,528	157,142
– Long to Short Ratio:	0.2 to 1	1.5 to 1	0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	57.3	73.6	20.7
– COT Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-24.3	41.0	-17.1

Article By InvestMacro.com – Receive our weekly COT Reports by Email

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

Bonds CountingPips Forex Blog Opinions

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