Archive for Bonds – Page 3

08 Jun

COT Bonds Charts: Speculator Bets led lower by 5-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday June 4th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Bets led lower by 5-Year Bonds

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

Leading the gains for the bond markets was the Ultra 10-Year Bonds with an increase by 33,731 contracts for the week.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-195,920 contracts), the SOFR 3-Months (-77,320 contracts), Fed Funds (-77,263 contracts), the 10-Year Bonds (-66,580 contracts), the US Treasury Bonds (-59,326 contracts), the 2-Year Bonds (-55,603 contracts) and the Ultra Treasury Bonds (-12,463 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (78 percent) and the Fed Funds (64 percent) lead the bond markets this week. The Ultra Treasury Bonds (52 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent) and the Ultra 10-Year Bonds (16 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (28 percent) and the SOFR 3-Months (31 percent).

Strength Statistics:
Fed Funds (63.8 percent) vs Fed Funds previous week (81.3 percent)
2-Year Bond (28.2 percent) vs 2-Year Bond previous week (31.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.7 percent)
10-Year Bond (40.6 percent) vs 10-Year Bond previous week (46.8 percent)
Ultra 10-Year Bond (16.4 percent) vs Ultra 10-Year Bond previous week (9.6 percent)
US Treasury Bond (78.1 percent) vs US Treasury Bond previous week (98.8 percent)
Ultra US Treasury Bond (52.4 percent) vs Ultra US Treasury Bond previous week (57.6 percent)
SOFR 3-Months (31.1 percent) vs SOFR 3-Months previous week (35.1 percent)

Ultra 10-Year Bonds & US Treasury Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (9 percent) and the US Treasury Bonds (2 percent) lead the past six weeks trends and are the only positive movers for bonds.

The 5-Year Bonds (-29 percent), the SOFR 3-Months (-17 percent) and the Fed Funds (-16 percent) lead the downside trend scores currently with the Ultra Treasury Bonds (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-16.3 percent) vs Fed Funds previous week (1.3 percent)
2-Year Bond (-3.5 percent) vs 2-Year Bond previous week (-2.1 percent)
5-Year Bond (-28.9 percent) vs 5-Year Bond previous week (-11.0 percent)
10-Year Bond (-9.4 percent) vs 10-Year Bond previous week (-2.4 percent)
Ultra 10-Year Bond (8.6 percent) vs Ultra 10-Year Bond previous week (-3.5 percent)
US Treasury Bond (2.0 percent) vs US Treasury Bond previous week (20.8 percent)
Ultra US Treasury Bond (-13.3 percent) vs Ultra US Treasury Bond previous week (-9.7 percent)
SOFR 3-Months (-17.2 percent) vs SOFR 3-Months previous week (-18.6 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -564,728 contracts in the data reported through Tuesday. This was a weekly fall of -77,320 contracts from the previous week which had a total of -487,408 net contracts.

This 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 69.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.960.90.3
– Percent of Open Interest Shorts:18.255.60.4
– Net Position:-564,728567,744-3,016
– Gross Longs:1,375,6806,478,97834,529
– Gross Shorts:1,940,4085,911,23437,545
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.169.086.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.217.10.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -12,980 contracts in the data reported through Tuesday. This was a weekly reduction of -77,263 contracts from the previous week which had a total of 64,283 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 Bullish with a score of 63.8 percent. The commercials are Bearish with a score of 33.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.1 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.263.52.5
– Percent of Open Interest Shorts:15.162.62.5
– Net Position:-12,98012,406574
– Gross Longs:196,856880,75134,967
– Gross Shorts:209,836868,34534,393
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.833.292.1
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.315.24.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,035,422 contracts in the data reported through Tuesday. This was a weekly decline of -55,603 contracts from the previous week which had a total of -979,819 net contracts.

This 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 28.2 percent. The commercials are Bullish with a score of 68.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.478.07.0
– Percent of Open Interest Shorts:40.454.73.4
– Net Position:-1,035,422895,943139,479
– Gross Longs:516,3642,997,360268,526
– Gross Shorts:1,551,7862,101,417129,047
– Long to Short Ratio:0.3 to 11.4 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.268.294.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.52.95.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,573,037 contracts in the data reported through Tuesday. This was a weekly decrease of -195,920 contracts from the previous week which had a total of -1,377,117 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.1 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.285.06.8
– Percent of Open Interest Shorts:31.461.94.7
– Net Position:-1,573,0371,439,949133,088
– Gross Longs:389,1175,308,600427,677
– Gross Shorts:1,962,1543,868,651294,589
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.091.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.933.42.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -454,755 contracts in the data reported through Tuesday. This was a weekly fall of -66,580 contracts from the previous week which had a total of -388,175 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 40.6 percent. The commercials are Bullish with a score of 51.8 percent and the small traders (not shown in chart) are Bullish with a score of 75.9 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.49.2
– Percent of Open Interest Shorts:20.467.39.0
– Net Position:-454,755443,65511,100
– Gross Longs:447,2133,415,649406,545
– Gross Shorts:901,9682,971,994395,445
– Long to Short Ratio:0.5 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.651.875.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.411.03.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -197,034 contracts in the data reported through Tuesday. This was a weekly boost of 33,731 contracts from the previous week which had a total of -230,765 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.4 percent. The commercials are Bullish-Extreme with a score of 80.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.5 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.577.09.7
– Percent of Open Interest Shorts:21.263.813.2
– Net Position:-197,034268,521-71,487
– Gross Longs:233,5401,560,564196,579
– Gross Shorts:430,5741,292,043268,066
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.480.271.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.6-12.14.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -15,490 contracts in the data reported through Tuesday. This was a weekly decline of -59,326 contracts from the previous week which had a total of 43,836 net contracts.

This 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 78.1 percent. The commercials are Bearish-Extreme with a score of 14.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.568.512.7
– Percent of Open Interest Shorts:18.570.79.6
– Net Position:-15,490-36,25951,749
– Gross Longs:288,0781,126,050209,030
– Gross Shorts:303,5681,162,309157,281
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.114.782.4
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.0-7.615.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -330,531 contracts in the data reported through Tuesday. This was a weekly decrease of -12,463 contracts from the previous week which had a total of -318,068 net contracts.

This 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 52.4 percent. The commercials are Bullish with a score of 55.8 percent and the small traders (not shown in chart) are Bearish with a score of 22.2 percent.

Price Trend-Following Model: Weak Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.678.710.5
– Percent of Open Interest Shorts:27.959.810.1
– Net Position:-330,531325,0135,518
– Gross Longs:147,7821,351,715179,644
– Gross Shorts:478,3131,026,702174,126
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.455.822.2
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.311.412.1

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
02 Jun

COT Bonds Charts: Speculator bets led by 5-Year Bonds & US Treasury Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 5-Year Bonds & US Treasury Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (45,688 contracts) with the US Treasury Bonds (29,660 contracts), the 2-Year Bonds (13,850 contracts), the 10-Year Bonds (12,797 contracts),the Ultra Treasury Bonds (10,849 contracts), the Fed Funds (9,032 contracts) and with the Ultra 10-Year Bonds (7,379 contracts) also showing a positive week.

The only bond market with a decline in speculator bets was the SOFR 3-Months with a decrease of -49,251 contracts on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (99 percent) and the Fed Funds (82 percent) lead the bond markets this week. The Ultra Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (6 percent) and the Ultra 10-Year Bonds (10 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (32 percent) and the SOFR 3-Months (35 percent).

Strength Statistics:
Fed Funds (82.3 percent) vs Fed Funds previous week (80.4 percent)
2-Year Bond (31.7 percent) vs 2-Year Bond previous week (30.8 percent)
5-Year Bond (5.9 percent) vs 5-Year Bond previous week (2.9 percent)
10-Year Bond (46.8 percent) vs 10-Year Bond previous week (45.6 percent)
Ultra 10-Year Bond (9.6 percent) vs Ultra 10-Year Bond previous week (8.1 percent)
US Treasury Bond (98.8 percent) vs US Treasury Bond previous week (88.4 percent)
Ultra US Treasury Bond (57.6 percent) vs Ultra US Treasury Bond previous week (53.1 percent)
SOFR 3-Months (35.1 percent) vs SOFR 3-Months previous week (37.6 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (21 percent) leads the past six weeks trends for bonds. The Fed Funds (1 percent) are the next highest positive mover in the latest trends data.

The SOFR 3-Months (-19 percent), the 5-Year Bonds (-12 percent) and the Ultra Treasury Bonds (-10 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (1.2 percent) vs Fed Funds previous week (18.4 percent)
2-Year Bond (-2.1 percent) vs 2-Year Bond previous week (-3.0 percent)
5-Year Bond (-11.7 percent) vs 5-Year Bond previous week (-11.7 percent)
10-Year Bond (-2.4 percent) vs 10-Year Bond previous week (9.9 percent)
Ultra 10-Year Bond (-3.5 percent) vs Ultra 10-Year Bond previous week (-16.0 percent)
US Treasury Bond (20.8 percent) vs US Treasury Bond previous week (31.1 percent)
Ultra US Treasury Bond (-9.7 percent) vs Ultra US Treasury Bond previous week (-13.8 percent)
SOFR 3-Months (-18.6 percent) vs SOFR 3-Months previous week (-33.4 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -487,408 contracts in the data reported through Tuesday. This was a weekly reduction of -49,251 contracts from the previous week which had a total of -438,157 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.1 percent. The commercials are Bullish with a score of 64.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.160.20.3
– Percent of Open Interest Shorts:17.655.60.4
– Net Position:-487,408489,903-2,495
– Gross Longs:1,397,2516,434,23435,655
– Gross Shorts:1,884,6595,944,33138,150
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.164.986.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.618.60.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of 64,283 contracts in the data reported through Tuesday. This was a weekly rise of 9,032 contracts from the previous week which had a total of 55,251 net contracts.

This 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 82.3 percent. The commercials are Bearish-Extreme with a score of 16.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.9 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.156.92.0
– Percent of Open Interest Shorts:16.460.52.0
– Net Position:64,283-63,229-1,054
– Gross Longs:350,244992,02534,238
– Gross Shorts:285,9611,055,25435,292
– Long to Short Ratio:1.2 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.316.288.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-0.2-8.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -979,819 contracts in the data reported through Tuesday. This was a weekly lift of 13,850 contracts from the previous week which had a total of -993,669 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 31.7 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.97.7
– Percent of Open Interest Shorts:35.556.94.0
– Net Position:-979,819826,543153,276
– Gross Longs:488,4753,175,073317,155
– Gross Shorts:1,468,2942,348,530163,879
– Long to Short Ratio:0.3 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.763.2100.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.10.88.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,377,117 contracts in the data reported through Tuesday. This was a weekly boost of 45,688 contracts from the previous week which had a total of -1,422,805 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 5.9 percent. The commercials are Bullish-Extreme with a score of 97.7 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.981.77.3
– Percent of Open Interest Shorts:26.662.16.2
– Net Position:-1,377,1171,304,94172,176
– Gross Longs:390,6365,430,187485,314
– Gross Shorts:1,767,7534,125,246413,138
– Long to Short Ratio:0.2 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.997.778.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.717.9-10.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -388,175 contracts in the data reported through Tuesday. This was a weekly advance of 12,797 contracts from the previous week which had a total of -400,972 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.8 percent. The commercials are Bearish with a score of 40.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.1 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.271.89.9
– Percent of Open Interest Shorts:18.164.69.2
– Net Position:-388,175353,16935,006
– Gross Longs:498,3203,520,410485,757
– Gross Shorts:886,4953,167,241450,751
– Long to Short Ratio:0.6 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.840.281.1
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.40.45.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -230,765 contracts in the data reported through Tuesday. This was a weekly advance of 7,379 contracts from the previous week which had a total of -238,144 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.6 percent. The commercials are Bullish-Extreme with a score of 90.5 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.373.69.6
– Percent of Open Interest Shorts:21.460.013.1
– Net Position:-230,765310,709-79,944
– Gross Longs:257,5691,680,482220,053
– Gross Shorts:488,3341,369,773299,997
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.690.566.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.55.2-2.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of 43,836 contracts in the data reported through Tuesday. This was a weekly gain of 29,660 contracts from the previous week which had a total of 14,176 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 98.8 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.466.812.1
– Percent of Open Interest Shorts:13.871.410.1
– Net Position:43,836-78,79834,962
– Gross Longs:278,5021,131,701205,371
– Gross Shorts:234,6661,210,499170,409
– Long to Short Ratio:1.2 to 10.9 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.80.070.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.8-18.7-4.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -318,068 contracts in the data reported through Tuesday. This was a weekly increase of 10,849 contracts from the previous week which had a total of -328,917 net contracts.

This 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 57.6 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 50.6 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.274.812.6
– Percent of Open Interest Shorts:25.458.411.7
– Net Position:-318,068302,72115,347
– Gross Longs:152,4661,383,342232,468
– Gross Shorts:470,5341,080,621217,121
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.644.650.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.74.913.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
18 May

COT Bonds Charts: Speculator bets led by the 10-Year & 2-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday May 14th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by the 10-Year & 2-Year Bonds

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

Leading the gains for the bond markets was the 10-Year Bonds (133,809 contracts) with the 2-Year Bonds (57,247 contracts) and the US Treasury Bonds (28,956 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-162,256 contracts), the SOFR 3-Months (-65,115 contracts), the Ultra 10-Year Bonds (-62,155 contracts), the Fed Funds (-41,041 contracts) and with the Ultra Treasury Bonds (-15,038 contracts) also recording lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by Fed Funds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (89 percent) and the US Treasury Bonds (85 percent) lead the bond markets this week. The Ultra Treasury Bonds (52 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent) and the 5-Year Bonds (9 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (33 percent) and the SOFR 3-Months (39 percent).

Strength Statistics:
Fed Funds (89.1 percent) vs Fed Funds previous week (97.8 percent)
2-Year Bond (32.7 percent) vs 2-Year Bond previous week (29.0 percent)
5-Year Bond (9.1 percent) vs 5-Year Bond previous week (19.5 percent)
10-Year Bond (50.6 percent) vs 10-Year Bond previous week (38.1 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (12.9 percent)
US Treasury Bond (85.0 percent) vs US Treasury Bond previous week (74.9 percent)
Ultra US Treasury Bond (52.2 percent) vs Ultra US Treasury Bond previous week (58.5 percent)
SOFR 3-Months (39.4 percent) vs SOFR 3-Months previous week (42.7 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (36 percent) and the US Treasury Bonds (21 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (21 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-39 percent) and the Ultra 10-Year Bonds (-27 percent) lead the downside trend scores currently with the Ultra Treasury Bonds (-7 percent) and the 5-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (36.1 percent) vs Fed Funds previous week (67.7 percent)
2-Year Bond (-1.9 percent) vs 2-Year Bond previous week (-6.9 percent)
5-Year Bond (-2.7 percent) vs 5-Year Bond previous week (-0.9 percent)
10-Year Bond (20.7 percent) vs 10-Year Bond previous week (9.0 percent)
Ultra 10-Year Bond (-27.1 percent) vs Ultra 10-Year Bond previous week (-15.5 percent)
US Treasury Bond (20.9 percent) vs US Treasury Bond previous week (-1.4 percent)
Ultra US Treasury Bond (-7.4 percent) vs Ultra US Treasury Bond previous week (-7.3 percent)
SOFR 3-Months (-39.1 percent) vs SOFR 3-Months previous week (-34.5 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -404,677 contracts in the data reported through Tuesday. This was a weekly decline of -65,115 contracts from the previous week which had a total of -339,562 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.4 percent. The commercials are Bullish with a score of 60.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.8 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.359.40.5
– Percent of Open Interest Shorts:17.255.50.5
– Net Position:-404,677408,357-3,680
– Gross Longs:1,389,5816,209,31849,269
– Gross Shorts:1,794,2585,800,96152,949
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.460.785.8
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-39.138.93.2

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 95,924 contracts in the data reported through Tuesday. This was a weekly lowering of -41,041 contracts from the previous week which had a total of 136,965 net contracts.

This 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 89.1 percent. The commercials are Bearish-Extreme with a score of 11.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.0 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.956.71.9
– Percent of Open Interest Shorts:14.862.12.6
– Net Position:95,924-85,206-10,718
– Gross Longs:329,136894,23229,503
– Gross Shorts:233,212979,43840,221
– Long to Short Ratio:1.4 to 10.9 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):89.111.670.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:36.1-33.8-19.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -964,986 contracts in the data reported through Tuesday. This was a weekly increase of 57,247 contracts from the previous week which had a total of -1,022,233 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 32.7 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.4 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.478.66.5
– Percent of Open Interest Shorts:37.358.03.3
– Net Position:-964,986832,486132,500
– Gross Longs:541,4113,178,396264,452
– Gross Shorts:1,506,3972,345,910131,952
– Long to Short Ratio:0.4 to 11.4 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):32.763.694.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.90.87.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,326,105 contracts in the data reported through Tuesday. This was a weekly lowering of -162,256 contracts from the previous week which had a total of -1,163,849 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.1 percent. The commercials are Bullish-Extreme with a score of 92.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.6 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.584.76.6
– Percent of Open Interest Shorts:28.864.85.3
– Net Position:-1,326,1051,242,37183,734
– Gross Longs:469,3335,284,344412,489
– Gross Shorts:1,795,4384,041,973328,755
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.192.980.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.74.5-3.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -347,811 contracts in the data reported through Tuesday. This was a weekly boost of 133,809 contracts from the previous week which had a total of -481,620 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.6 percent. The commercials are Bearish with a score of 40.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.7 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.19.2
– Percent of Open Interest Shorts:19.668.19.3
– Net Position:-347,811351,641-3,830
– Gross Longs:522,3513,378,701409,062
– Gross Shorts:870,1623,027,060412,892
– Long to Short Ratio:0.6 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.640.072.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.7-23.8-7.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -276,454 contracts in the data reported through Tuesday. This was a weekly lowering of -62,155 contracts from the previous week which had a total of -214,299 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.3 percent. The commercials are Bullish-Extreme with a score of 99.8 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.776.49.8
– Percent of Open Interest Shorts:24.460.313.2
– Net Position:-276,454348,749-72,295
– Gross Longs:253,0581,655,031212,855
– Gross Shorts:529,5121,306,282285,150
– Long to Short Ratio:0.5 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.399.871.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.133.7-2.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 4,287 contracts in the data reported through Tuesday. This was a weekly advance of 28,956 contracts from the previous week which had a total of -24,669 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 Bullish-Extreme with a score of 85.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.768.512.5
– Percent of Open Interest Shorts:16.471.310.0
– Net Position:4,287-46,30442,017
– Gross Longs:271,9191,116,694204,299
– Gross Shorts:267,6321,162,998162,282
– Long to Short Ratio:1.0 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):85.00.077.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.9-23.91.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -331,153 contracts in the data reported through Tuesday. This was a weekly fall of -15,038 contracts from the previous week which had a total of -316,115 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.2 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bearish with a score of 47.6 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.980.410.4
– Percent of Open Interest Shorts:28.961.19.7
– Net Position:-331,153319,43011,723
– Gross Longs:147,4541,332,490171,656
– Gross Shorts:478,6071,013,060159,933
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.253.047.6
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.42.412.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
11 May

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

By InvestMacro

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

The latest COT data is updated through Tuesday May 7th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the Fed Funds (126,619 contracts) with the Ultra 10-Year Bonds (49,384 contracts) also having a positive week.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-48,655 contracts), the 5-Year Bonds (-17,251 contracts), the SOFR 3-Months (-24,279 contracts), the Ultra Treasury Bonds (-5,970 contracts), the 2-Year Bonds (-5,790 contracts) and the US Treasury Bonds (-1,555 contracts) also recording lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by Fed Funds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (98 percent) and the US Treasury Bonds (75 percent) lead the bond markets this week. The Ultra Treasury Bonds (58 percent) come in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (13 percent) and the 5-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (29 percent) and the 10-Year Bonds (38 percent).

Strength Statistics:
Fed Funds (97.8 percent) vs Fed Funds previous week (70.8 percent)
2-Year Bond (29.0 percent) vs 2-Year Bond previous week (29.4 percent)
5-Year Bond (19.5 percent) vs 5-Year Bond previous week (20.6 percent)
10-Year Bond (38.1 percent) vs 10-Year Bond previous week (42.6 percent)
Ultra 10-Year Bond (12.9 percent) vs Ultra 10-Year Bond previous week (2.9 percent)
US Treasury Bond (74.9 percent) vs US Treasury Bond previous week (75.4 percent)
Ultra US Treasury Bond (58.5 percent) vs Ultra US Treasury Bond previous week (60.9 percent)
SOFR 3-Months (42.7 percent) vs SOFR 3-Months previous week (44.0 percent)

Fed Funds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (68 percent) leads the past six weeks trends for bonds. The 10-Year Bonds (9 percent) are the next highest positive mover in the latest trends data.

The SOFR 3-Months (-35 percent) and the Ultra 10-Year Bonds (-16 percent) lead the downside trend scores currently with the Ultra Treasury Bonds (-7 percent) and the 2-Year Bonds (-7 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (67.7 percent) vs Fed Funds previous week (43.8 percent)
2-Year Bond (-6.9 percent) vs 2-Year Bond previous week (-7.3 percent)
5-Year Bond (-0.9 percent) vs 5-Year Bond previous week (0.7 percent)
10-Year Bond (9.0 percent) vs 10-Year Bond previous week (13.2 percent)
Ultra 10-Year Bond (-15.5 percent) vs Ultra 10-Year Bond previous week (-22.4 percent)
US Treasury Bond (-1.4 percent) vs US Treasury Bond previous week (-0.2 percent)
Ultra US Treasury Bond (-7.3 percent) vs Ultra US Treasury Bond previous week (-2.3 percent)
SOFR 3-Months (-34.5 percent) vs SOFR 3-Months previous week (-31.9 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -339,562 contracts in the data reported through Tuesday. This was a weekly decrease of -24,279 contracts from the previous week which had a total of -315,283 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 42.7 percent. The commercials are Bullish with a score of 57.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.7 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.059.40.4
– Percent of Open Interest Shorts:17.356.10.4
– Net Position:-339,562341,716-2,154
– Gross Longs:1,446,2136,144,80936,213
– Gross Shorts:1,785,7755,803,09338,367
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.757.386.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-34.533.97.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of 136,965 contracts in the data reported through Tuesday. This was a weekly lift of 126,619 contracts from the previous week which had a total of 10,346 net contracts.

This 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 97.8 percent. The commercials are Bearish-Extreme with a score of 2.7 percent and the small traders (not shown in chart) are Bullish with a score of 71.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.554.82.0
– Percent of Open Interest Shorts:14.463.22.6
– Net Position:136,965-127,034-9,931
– Gross Longs:356,452833,17430,131
– Gross Shorts:219,487960,20840,062
– Long to Short Ratio:1.6 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):97.82.771.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:67.7-65.7-15.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,022,233 contracts in the data reported through Tuesday. This was a weekly fall of -5,790 contracts from the previous week which had a total of -1,016,443 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.0 percent. The commercials are Bullish with a score of 67.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.9 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.779.26.6
– Percent of Open Interest Shorts:37.757.63.1
– Net Position:-1,022,233880,495141,738
– Gross Longs:516,3333,230,397269,053
– Gross Shorts:1,538,5662,349,902127,315
– Long to Short Ratio:0.3 to 11.4 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.067.197.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.96.47.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,163,849 contracts in the data reported through Tuesday. This was a weekly decline of -17,251 contracts from the previous week which had a total of -1,146,598 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.5 percent. The commercials are Bullish with a score of 78.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.0 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.27.1
– Percent of Open Interest Shorts:27.265.75.4
– Net Position:-1,163,8491,059,427104,422
– Gross Longs:483,0305,038,983429,855
– Gross Shorts:1,646,8793,979,556325,433
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.578.885.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.91.3-0.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -481,620 contracts in the data reported through Tuesday. This was a weekly decline of -48,655 contracts from the previous week which had a total of -432,965 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.1 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.8 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.377.99.3
– Percent of Open Interest Shorts:21.267.68.8
– Net Position:-481,620457,22224,398
– Gross Longs:455,9243,437,718411,798
– Gross Shorts:937,5442,980,496387,400
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.153.578.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-10.6-3.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -214,299 contracts in the data reported through Tuesday. This was a weekly gain of 49,384 contracts from the previous week which had a total of -263,683 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 12.9 percent. The commercials are Bullish-Extreme with a score of 89.0 percent and the small traders (not shown in chart) are Bullish with a score of 60.5 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.576.39.6
– Percent of Open Interest Shorts:22.562.113.8
– Net Position:-214,299304,341-90,042
– Gross Longs:268,0501,635,316205,566
– Gross Shorts:482,3491,330,975295,608
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.989.060.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.526.1-18.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -24,669 contracts in the data reported through Tuesday. This was a weekly lowering of -1,555 contracts from the previous week which had a total of -23,114 net contracts.

This 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 74.9 percent. The commercials are Bearish-Extreme with a score of 8.8 percent and the small traders (not shown in chart) are Bullish with a score of 76.7 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.769.612.6
– Percent of Open Interest Shorts:18.270.510.2
– Net Position:-24,669-14,89039,559
– Gross Longs:267,9181,116,846202,830
– Gross Shorts:292,5871,131,736163,271
– Long to Short Ratio:0.9 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.98.876.7
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.48.8-13.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -316,115 contracts in the data reported through Tuesday. This was a weekly fall of -5,970 contracts from the previous week which had a total of -310,145 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.5 percent. The commercials are Bearish with a score of 45.9 percent and the small traders (not shown in chart) are Bearish with a score of 46.8 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.079.810.8
– Percent of Open Interest Shorts:28.261.310.1
– Net Position:-316,115305,24810,867
– Gross Longs:147,9861,312,271176,682
– Gross Shorts:464,1011,007,023165,815
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.545.946.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.310.8-3.8

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
04 May

COT Bonds Charts: Speculator bets led lower by SOFR 3M & 10-Year Bonds

By InvestMacro

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

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

Weekly Speculator bets led lower by SOFR 3-Months & 10-Year Bonds

The COT bond market speculator bets were lower this week as eight out of the nine bond markets we cover had lower speculator contracts.

The only market with an increase in speculator bets this week was the 1-Month Secured Overnight Financing Rate (SOFR 1-Month) with a gain of 25,936 contracts.

Leading the declines for the bond markets was the SOFR 3-Months (-82,906 contracts), the 10-Year Bonds (-79,045 contracts), 5-Year Bonds (-56,309 contracts), and the Fed Funds (-48,918 contracts),the 2-Year Bonds (-35,717 contracts), the Ultra 10-Year Bonds (-24,156 contracts), the Ultra Treasury Bonds (-11,645 contracts) and with the US Treasury Bonds (-1,943 contracts) also registering lower bets on the week.

Bonds Net Speculators Leaderboard

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

Strength Scores led by US Treasury Bonds & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (75 percent) and the Fed Funds (71 percent) lead the bond markets this week. The Ultra Treasury Bonds (61 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (3 percent) come in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 5-Year Bonds (21 percent), the 2-Year Bonds (29 percent) and the 10-Year Bonds (43 percent).

Strength Statistics:
Fed Funds (70.8 percent) vs Fed Funds previous week (81.2 percent)
2-Year Bond (29.4 percent) vs 2-Year Bond previous week (31.7 percent)
5-Year Bond (20.6 percent) vs 5-Year Bond previous week (24.2 percent)
10-Year Bond (42.6 percent) vs 10-Year Bond previous week (50.0 percent)
Ultra 10-Year Bond (2.9 percent) vs Ultra 10-Year Bond previous week (7.8 percent)
US Treasury Bond (75.4 percent) vs US Treasury Bond previous week (76.1 percent)
Ultra US Treasury Bond (60.9 percent) vs Ultra US Treasury Bond previous week (65.8 percent)
SOFR 3-Months (44.0 percent) vs SOFR 3-Months previous week (48.3 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (44 percent) and the 10-Year Bonds (13 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (1 percent) is the next highest positive mover in the latest trends data.

The SOFR 3-Months (-32 percent) and the Ultra 10-Year Bonds (-22 percent) lead the downside trend scores currently with the 2-Year Bonds (-7 percent) and the Ultra Treasury Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (43.8 percent) vs Fed Funds previous week (54.5 percent)
2-Year Bond (-7.3 percent) vs 2-Year Bond previous week (-2.7 percent)
5-Year Bond (0.7 percent) vs 5-Year Bond previous week (11.0 percent)
10-Year Bond (13.2 percent) vs 10-Year Bond previous week (23.3 percent)
Ultra 10-Year Bond (-22.4 percent) vs Ultra 10-Year Bond previous week (-21.5 percent)
US Treasury Bond (-0.2 percent) vs US Treasury Bond previous week (11.6 percent)
Ultra US Treasury Bond (-2.3 percent) vs Ultra US Treasury Bond previous week (7.7 percent)
SOFR 3-Months (-31.9 percent) vs SOFR 3-Months previous week (-34.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -315,283 contracts in the data reported through Tuesday. This was a weekly reduction of -82,906 contracts from the previous week which had a total of -232,377 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.0 percent. The commercials are Bullish with a score of 56.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.158.10.4
– Percent of Open Interest Shorts:18.255.00.4
– Net Position:-315,283320,426-5,143
– Gross Longs:1,553,3955,975,69337,317
– Gross Shorts:1,868,6785,655,26742,460
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.056.285.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.932.0-0.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of 10,346 contracts in the data reported through Tuesday. This was a weekly decline of -48,918 contracts from the previous week which had a total of 59,264 net contracts.

This 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 70.8 percent. The commercials are Bearish with a score of 27.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.463.02.1
– Percent of Open Interest Shorts:17.963.52.2
– Net Position:10,346-8,820-1,526
– Gross Longs:342,2851,170,63538,611
– Gross Shorts:331,9391,179,45540,137
– Long to Short Ratio:1.0 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.827.888.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.8-42.7-8.5

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,016,443 contracts in the data reported through Tuesday. This was a weekly decline of -35,717 contracts from the previous week which had a total of -980,726 net contracts.

This 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 29.4 percent. The commercials are Bullish with a score of 67.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.3 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.980.26.5
– Percent of Open Interest Shorts:36.658.73.1
– Net Position:-1,016,443878,770137,673
– Gross Longs:487,2673,289,154265,541
– Gross Shorts:1,503,7102,410,384127,868
– Long to Short Ratio:0.3 to 11.4 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.467.096.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.36.69.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,146,598 contracts in the data reported through Tuesday. This was a weekly lowering of -56,309 contracts from the previous week which had a total of -1,090,289 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.6 percent. The commercials are Bullish with a score of 78.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.0 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.283.77.0
– Percent of Open Interest Shorts:26.366.25.4
– Net Position:-1,146,5981,051,30995,289
– Gross Longs:434,8605,032,454422,885
– Gross Shorts:1,581,4583,981,145327,596
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.678.283.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.7-1.41.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -432,965 contracts in the data reported through Tuesday. This was a weekly fall of -79,045 contracts from the previous week which had a total of -353,920 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.6 percent. The commercials are Bullish with a score of 53.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.2 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.277.69.2
– Percent of Open Interest Shorts:20.067.39.7
– Net Position:-432,965457,279-24,314
– Gross Longs:451,6433,428,368405,462
– Gross Shorts:884,6082,971,089429,776
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.653.568.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.2-8.8-15.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -263,683 contracts in the data reported through Tuesday. This was a weekly decline of -24,156 contracts from the previous week which had a total of -239,527 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 Bearish-Extreme with a score of 2.9 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.877.79.8
– Percent of Open Interest Shorts:23.660.814.0
– Net Position:-263,683349,548-85,865
– Gross Longs:224,1171,605,733202,627
– Gross Shorts:487,8001,256,185288,492
– Long to Short Ratio:0.5 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.9100.063.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.428.4-3.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -23,114 contracts in the data reported through Tuesday. This was a weekly decline of -1,943 contracts from the previous week which had a total of -21,171 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.4 percent. The commercials are Bearish-Extreme with a score of 13.0 percent and the small traders (not shown in chart) are Bullish with a score of 68.6 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.470.212.3
– Percent of Open Interest Shorts:17.970.510.5
– Net Position:-23,114-4,60727,721
– Gross Longs:258,3801,105,551192,864
– Gross Shorts:281,4941,110,158165,143
– Long to Short Ratio:0.9 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.413.068.6
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.26.2-10.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -310,145 contracts in the data reported through Tuesday. This was a weekly decline of -11,645 contracts from the previous week which had a total of -298,500 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.9 percent. The commercials are Bearish with a score of 47.8 percent and the small traders (not shown in chart) are Bearish with a score of 38.1 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.580.410.7
– Percent of Open Interest Shorts:27.461.610.7
– Net Position:-310,145309,147998
– Gross Longs:139,0751,318,512176,104
– Gross Shorts:449,2201,009,365175,106
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.947.838.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.311.1-15.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
28 Apr

COT Bonds Charts: Speculator Weekly Changes led by 5-Year & 10-Year Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 5-Year & 10-Year Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (103,933 contracts) with the 10-Year Bonds (8,119 contracts) and the Fed Funds (536 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-104,410 contracts), the 2-Year Bonds (-34,423 contracts), the Ultra 10-Year Bonds (-25,928 contracts), the US Treasury Bonds (-5,407 contracts) and the Ultra Treasury Bonds (-3,700 contracts) also seeing lower bets on the week.

Net Speculators Leaderboard

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

Strength Scores led by Fed Funds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (81 percent) and the US Treasury Bonds (76 percent) lead the bond markets this week. The Ultra Treasury Bonds (66 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (8 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 5-Year Bonds (24 percent) and the 2-Year Bonds (32 percent).

Strength Statistics:
Fed Funds (81.2 percent) vs Fed Funds previous week (81.1 percent)
2-Year Bond (31.7 percent) vs 2-Year Bond previous week (33.9 percent)
5-Year Bond (24.2 percent) vs 5-Year Bond previous week (17.5 percent)
10-Year Bond (50.0 percent) vs 10-Year Bond previous week (49.3 percent)
Ultra 10-Year Bond (7.8 percent) vs Ultra 10-Year Bond previous week (13.1 percent)
US Treasury Bond (76.1 percent) vs US Treasury Bond previous week (78.0 percent)
Ultra US Treasury Bond (65.8 percent) vs Ultra US Treasury Bond previous week (67.3 percent)
SOFR 3-Months (48.3 percent) vs SOFR 3-Months previous week (53.7 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (54 percent) and the 10-Year Bonds (23 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (12 percent) is the next highest positive movers in the latest trends data.

The SOFR 3-Months (-34 percent) and the Ultra 10-Year Bonds (-21 percent) lead the downside trend scores currently with the 2-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (54.5 percent) vs Fed Funds previous week (52.2 percent)
2-Year Bond (-2.7 percent) vs 2-Year Bond previous week (3.4 percent)
5-Year Bond (11.0 percent) vs 5-Year Bond previous week (6.2 percent)
10-Year Bond (23.3 percent) vs 10-Year Bond previous week (32.8 percent)
Ultra 10-Year Bond (-21.5 percent) vs Ultra 10-Year Bond previous week (-5.7 percent)
US Treasury Bond (11.6 percent) vs US Treasury Bond previous week (14.7 percent)
Ultra US Treasury Bond (7.7 percent) vs Ultra US Treasury Bond previous week (11.2 percent)
SOFR 3-Months (-34.1 percent) vs SOFR 3-Months previous week (-12.5 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -232,377 contracts in the data reported through Tuesday. This was a weekly decline of -104,410 contracts from the previous week which had a total of -127,967 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.3 percent. The commercials are Bullish with a score of 51.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.558.30.3
– Percent of Open Interest Shorts:16.856.00.4
– Net Position:-232,377237,071-4,694
– Gross Longs:1,467,2405,894,33933,941
– Gross Shorts:1,699,6175,657,26838,635
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.351.885.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-34.134.00.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of 59,264 contracts in the data reported through Tuesday. This was a weekly lift of 536 contracts from the previous week which had a total of 58,728 net contracts.

This 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 81.2 percent. The commercials are Bearish-Extreme with a score of 17.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.261.82.1
– Percent of Open Interest Shorts:18.064.82.2
– Net Position:59,264-57,401-1,863
– Gross Longs:397,9361,161,61040,379
– Gross Shorts:338,6721,219,01142,242
– Long to Short Ratio:1.2 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.217.587.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.5-53.5-6.5

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -980,726 contracts in the data reported through Tuesday. This was a weekly decrease of -34,423 contracts from the previous week which had a total of -946,303 net contracts.

This 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 31.7 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.6 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.879.16.5
– Percent of Open Interest Shorts:37.058.03.4
– Net Position:-980,726855,608125,118
– Gross Longs:518,8473,206,411264,099
– Gross Shorts:1,499,5732,350,803138,981
– Long to Short Ratio:0.3 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.765.391.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.72.72.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,090,289 contracts in the data reported through Tuesday. This was a weekly boost of 103,933 contracts from the previous week which had a total of -1,194,222 net contracts.

This 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 24.2 percent. The commercials are Bullish with a score of 72.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.1 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.07.2
– Percent of Open Interest Shorts:26.066.75.2
– Net Position:-1,090,289970,956119,333
– Gross Longs:458,9884,946,205426,940
– Gross Shorts:1,549,2773,975,249307,607
– Long to Short Ratio:0.3 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.272.088.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.0-13.71.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -353,920 contracts in the data reported through Tuesday. This was a weekly increase of 8,119 contracts from the previous week which had a total of -362,039 net contracts.

This 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 50.0 percent. The commercials are Bearish with a score of 40.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.275.99.0
– Percent of Open Interest Shorts:20.167.99.1
– Net Position:-353,920356,954-3,034
– Gross Longs:546,3673,404,137405,097
– Gross Shorts:900,2873,047,183408,131
– Long to Short Ratio:0.6 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.040.772.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.3-26.0-9.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -239,527 contracts in the data reported through Tuesday. This was a weekly fall of -25,928 contracts from the previous week which had a total of -213,599 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.8 percent. The commercials are Bullish-Extreme with a score of 93.6 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.476.710.2
– Percent of Open Interest Shorts:23.061.314.0
– Net Position:-239,527318,016-78,489
– Gross Longs:234,2701,578,675209,370
– Gross Shorts:473,7971,260,659287,859
– Long to Short Ratio:0.5 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.893.667.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.527.7-3.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -21,171 contracts in the data reported through Tuesday. This was a weekly reduction of -5,407 contracts from the previous week which had a total of -15,764 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.1 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.370.112.8
– Percent of Open Interest Shorts:17.771.110.5
– Net Position:-21,171-14,33535,506
– Gross Longs:252,7371,086,997198,692
– Gross Shorts:273,9081,101,332163,186
– Long to Short Ratio:0.9 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.19.174.3
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.6-5.3-14.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -298,500 contracts in the data reported through Tuesday. This was a weekly decline of -3,700 contracts from the previous week which had a total of -294,800 net contracts.

This 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 Bearish with a score of 44.5 percent and the small traders (not shown in chart) are Bearish with a score of 33.4 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.880.110.7
– Percent of Open Interest Shorts:27.261.411.0
– Net Position:-298,500302,463-3,963
– Gross Longs:142,4731,297,057173,986
– Gross Shorts:440,973994,594177,949
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.844.533.4
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.7-0.3-16.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
20 Apr

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 10-Year Bonds with a jump by 144,846 contracts followed by the Fed Funds (89,424 contracts), the US Treasury Bonds (59,426 contracts), the 5-Year Bonds (45,198 contracts) and with the Ultra Treasury Bonds (1,055 contracts) also having a positive week.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-335,904 contracts), the Ultra 10-Year Bonds (-54,176 contracts) and the 2-Year Bonds (-13 contracts).

Bonds Net Speculators Leaderboard

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

Strength Scores led by Fed Funds & US Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (81 percent) and the US Treasury Bonds (78 percent) lead the bond markets this week. The Ultra Treasury Bonds (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (13 percent) and the 5-Year Bonds (18 percent) come in at the lowest strength level currently and are both in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the 2-Year Bonds at 34 percent.

Strength Statistics:
Fed Funds (81.1 percent) vs Fed Funds previous week (62.0 percent)
2-Year Bond (33.9 percent) vs 2-Year Bond previous week (33.9 percent)
5-Year Bond (17.5 percent) vs 5-Year Bond previous week (14.7 percent)
10-Year Bond (49.3 percent) vs 10-Year Bond previous week (35.7 percent)
Ultra 10-Year Bond (13.1 percent) vs Ultra 10-Year Bond previous week (24.1 percent)
US Treasury Bond (78.0 percent) vs US Treasury Bond previous week (57.3 percent)
Ultra US Treasury Bond (67.3 percent) vs Ultra US Treasury Bond previous week (66.9 percent)
SOFR 3-Months (53.7 percent) vs SOFR 3-Months previous week (71.0 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (52 percent) and the 10-Year Bonds (33 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (15 percent) is the next highest positive movers in the latest trends data.

The SOFR 3-Months (-12 percent) and the Ultra 10-Year Bonds (-6 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (52.2 percent) vs Fed Funds previous week (40.7 percent)
2-Year Bond (3.4 percent) vs 2-Year Bond previous week (-0.2 percent)
5-Year Bond (6.2 percent) vs 5-Year Bond previous week (-2.8 percent)
10-Year Bond (32.8 percent) vs 10-Year Bond previous week (14.8 percent)
Ultra 10-Year Bond (-5.7 percent) vs Ultra 10-Year Bond previous week (6.2 percent)
US Treasury Bond (14.7 percent) vs US Treasury Bond previous week (-21.3 percent)
Ultra US Treasury Bond (11.2 percent) vs Ultra US Treasury Bond previous week (10.0 percent)
SOFR 3-Months (-12.5 percent) vs SOFR 3-Months previous week (-8.6 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -127,967 contracts in the data reported through Tuesday. This was a weekly lowering of -335,904 contracts from the previous week which had a total of 207,937 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.7 percent. The commercials are Bearish with a score of 46.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.757.40.3
– Percent of Open Interest Shorts:15.956.10.4
– Net Position:-127,967131,343-3,376
– Gross Longs:1,485,6645,819,24432,257
– Gross Shorts:1,613,6315,687,90135,633
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.746.486.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.512.31.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of 58,728 contracts in the data reported through Tuesday. This was a weekly increase of 89,424 contracts from the previous week which had a total of -30,696 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.1 percent. The commercials are Bearish-Extreme with a score of 16.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.462.62.4
– Percent of Open Interest Shorts:18.266.02.2
– Net Position:58,728-62,1003,372
– Gross Longs:397,3561,164,53243,727
– Gross Shorts:338,6281,226,63240,355
– Long to Short Ratio:1.2 to 10.9 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.116.597.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:52.2-52.32.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -946,303 contracts in the data reported through Tuesday. This was a weekly reduction of -13 contracts from the previous week which had a total of -946,290 net contracts.

This 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 33.9 percent. The commercials are Bullish with a score of 62.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.7 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.679.36.6
– Percent of Open Interest Shorts:36.458.83.3
– Net Position:-946,303815,457130,846
– Gross Longs:503,8273,161,777263,544
– Gross Shorts:1,450,1302,346,320132,698
– Long to Short Ratio:0.3 to 11.3 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.962.493.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.4-5.16.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,194,222 contracts in the data reported through Tuesday. This was a weekly gain of 45,198 contracts from the previous week which had a total of -1,239,420 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.5 percent. The commercials are Bullish with a score of 79.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.6 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.17.2
– Percent of Open Interest Shorts:27.565.35.2
– Net Position:-1,194,2221,072,513121,709
– Gross Longs:461,6145,000,703431,620
– Gross Shorts:1,655,8363,928,190309,911
– Long to Short Ratio:0.3 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.579.888.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-8.42.3

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -362,039 contracts in the data reported through Tuesday. This was a weekly rise of 144,846 contracts from the previous week which had a total of -506,885 net contracts.

This 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 49.3 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bullish with a score of 76.1 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.075.99.2
– Percent of Open Interest Shorts:20.268.09.0
– Net Position:-362,039350,00612,033
– Gross Longs:533,6043,365,808410,016
– Gross Shorts:895,6433,015,802397,983
– Long to Short Ratio:0.6 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.339.876.1
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:32.8-40.8-6.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -213,599 contracts in the data reported through Tuesday. This was a weekly lowering of -54,176 contracts from the previous week which had a total of -159,423 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.1 percent. The commercials are Bullish-Extreme with a score of 86.5 percent and the small traders (not shown in chart) are Bullish with a score of 69.1 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.075.410.2
– Percent of Open Interest Shorts:23.361.313.8
– Net Position:-213,599289,264-75,665
– Gross Longs:267,2021,553,846209,827
– Gross Shorts:480,8011,264,582285,492
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.186.569.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.77.7-1.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -15,764 contracts in the data reported through Tuesday. This was a weekly increase of 59,426 contracts from the previous week which had a total of -75,190 net contracts.

This 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 78.0 percent. The commercials are Bearish-Extreme with a score of 4.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.769.712.7
– Percent of Open Interest Shorts:17.771.310.1
– Net Position:-15,764-24,59440,358
– Gross Longs:257,6651,077,192195,936
– Gross Shorts:273,4291,101,786155,578
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.04.977.8
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.7-9.6-13.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -294,800 contracts in the data reported through Tuesday. This was a weekly gain of 1,055 contracts from the previous week which had a total of -295,855 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.3 percent. The commercials are Bearish with a score of 39.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.8 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.310.9
– Percent of Open Interest Shorts:26.962.110.8
– Net Position:-294,800293,0801,720
– Gross Longs:138,6611,291,687175,118
– Gross Shorts:433,461998,607173,398
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.339.738.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.2-8.1-10.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
13 Apr

COT Bonds Charts: Speculator Bets led by 10-Year & 5-Year Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 10-Year Bonds & 5-Year Bonds

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

Leading the gains for the bond markets was the 10-Year Bonds (63,072 contracts) with the 5-Year Bonds (44,881 contracts), Fed Funds (42,519 contracts), and the Ultra Treasury Bonds (17,598 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-145,148 contracts), the US Treasury Bonds (-19,500 contracts), the Ultra 10-Year Bonds (-16,429 contracts) and the 2-Year Bonds (-11,716 contracts) also recording lower bets on the week.

Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (71 percent) and the Ultra Treasury Bonds (67 percent) lead the bond markets this week. The Fed Funds (62 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (15 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (24 percent), the 2-Year Bonds (34 percent) and the 10-Year Bonds (36 percent).

Strength Statistics:
Fed Funds (62.0 percent) vs Fed Funds previous week (52.9 percent)
2-Year Bond (33.9 percent) vs 2-Year Bond previous week (34.6 percent)
5-Year Bond (14.7 percent) vs 5-Year Bond previous week (11.8 percent)
10-Year Bond (35.7 percent) vs 10-Year Bond previous week (29.8 percent)
Ultra 10-Year Bond (24.1 percent) vs Ultra 10-Year Bond previous week (27.4 percent)
US Treasury Bond (57.3 percent) vs US Treasury Bond previous week (64.1 percent)
Ultra US Treasury Bond (66.9 percent) vs Ultra US Treasury Bond previous week (59.6 percent)
SOFR 3-Months (71.0 percent) vs SOFR 3-Months previous week (78.5 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (41 percent) and the 10-Year Bonds (15 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (10 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-21 percent) and the SOFR 3-Months (-9 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (40.7 percent) vs Fed Funds previous week (19.1 percent)
2-Year Bond (-0.2 percent) vs 2-Year Bond previous week (11.2 percent)
5-Year Bond (-2.8 percent) vs 5-Year Bond previous week (-3.3 percent)
10-Year Bond (14.8 percent) vs 10-Year Bond previous week (14.9 percent)
Ultra 10-Year Bond (6.2 percent) vs Ultra 10-Year Bond previous week (9.8 percent)
US Treasury Bond (-21.3 percent) vs US Treasury Bond previous week (13.6 percent)
Ultra US Treasury Bond (10.0 percent) vs Ultra US Treasury Bond previous week (3.9 percent)
SOFR 3-Months (-8.6 percent) vs SOFR 3-Months previous week (-0.8 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 207,937 contracts in the data reported through Tuesday. This was a weekly lowering of -145,148 contracts from the previous week which had a total of 353,085 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 Bullish with a score of 71.0 percent. The commercials are Bearish with a score of 29.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.955.70.3
– Percent of Open Interest Shorts:14.957.70.3
– Net Position:207,937-205,509-2,428
– Gross Longs:1,737,9955,712,43831,071
– Gross Shorts:1,530,0585,917,94733,499
– Long to Short Ratio:1.1 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.029.086.5
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.68.42.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -30,696 contracts in the data reported through Tuesday. This was a weekly lift of 42,519 contracts from the previous week which had a total of -73,215 net contracts.

This 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 62.0 percent. The commercials are Bearish with a score of 38.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.2 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.566.82.0
– Percent of Open Interest Shorts:19.164.72.4
– Net Position:-30,69639,787-9,091
– Gross Longs:330,4321,262,66737,050
– Gross Shorts:361,1281,222,88046,141
– Long to Short Ratio:0.9 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.038.273.2
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:40.7-39.0-14.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -946,290 contracts in the data reported through Tuesday. This was a weekly decline of -11,716 contracts from the previous week which had a total of -934,574 net contracts.

This 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 33.9 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.579.26.6
– Percent of Open Interest Shorts:37.057.53.7
– Net Position:-946,290835,258111,032
– Gross Longs:480,8083,054,858255,152
– Gross Shorts:1,427,0982,219,600144,120
– Long to Short Ratio:0.3 to 11.4 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.963.886.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.21.8-8.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,239,420 contracts in the data reported through Tuesday. This was a weekly boost of 44,881 contracts from the previous week which had a total of -1,284,301 net contracts.

This 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 14.7 percent. The commercials are Bullish-Extreme with a score of 84.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.583.56.8
– Percent of Open Interest Shorts:27.964.85.1
– Net Position:-1,239,4201,135,137104,283
– Gross Longs:453,7365,069,821414,045
– Gross Shorts:1,693,1563,934,684309,762
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.784.684.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.85.9-6.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -506,885 contracts in the data reported through Tuesday. This was a weekly increase of 63,072 contracts from the previous week which had a total of -569,957 net contracts.

This 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 58.8 percent and the small traders (not shown in chart) are Bullish with a score of 75.2 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.377.19.3
– Percent of Open Interest Shorts:23.065.79.2
– Net Position:-506,885499,3617,524
– Gross Longs:494,9103,362,732407,654
– Gross Shorts:1,001,7952,863,371400,130
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.758.875.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.8-14.9-9.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -159,423 contracts in the data reported through Tuesday. This was a weekly lowering of -16,429 contracts from the previous week which had a total of -142,994 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 Bearish with a score of 24.1 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bullish with a score of 70.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.173.810.5
– Percent of Open Interest Shorts:21.962.414.0
– Net Position:-159,423232,177-72,754
– Gross Longs:287,3291,507,019214,044
– Gross Shorts:446,7521,274,842286,798
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.172.370.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-7.3-0.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -75,190 contracts in the data reported through Tuesday. This was a weekly decrease of -19,500 contracts from the previous week which had a total of -55,690 net contracts.

This 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 Bearish with a score of 33.0 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.071.512.4
– Percent of Open Interest Shorts:19.968.610.4
– Net Position:-75,19044,81530,375
– Gross Longs:228,6571,092,218189,742
– Gross Shorts:303,8471,047,403159,367
– Long to Short Ratio:0.8 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.333.070.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.331.7-12.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -295,855 contracts in the data reported through Tuesday. This was a weekly lift of 17,598 contracts from the previous week which had a total of -313,453 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.9 percent. The commercials are Bearish with a score of 41.7 percent and the small traders (not shown in chart) are Bearish with a score of 36.2 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.111.0
– Percent of Open Interest Shorts:27.161.611.1
– Net Position:-295,855296,883-1,028
– Gross Longs:138,4571,283,593176,373
– Gross Shorts:434,312986,710177,401
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.941.736.2
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.04.6-31.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
06 Apr

COT Bonds Charts: Speculator Bets led by Fed Funds

By InvestMacro

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

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

Weekly Speculator Changes led by Fed Funds

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

Leading the gains for the bond markets was the Fed Funds (106,714 contracts) with the SOFR 3-Months (24,537 contracts) and the 10-Year Bonds (8,350 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-134,791 contracts), the US Treasury Bonds (-35,105 contracts), the 2-Year Bonds (-20,678 contracts), the Ultra Treasury Bonds (-14,848 contracts) and the Ultra 10-Year Bonds (-4,880 contracts).

Bonds Weekly Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (79 percent) and the US Treasury Bonds (64 percent) lead the bond markets this week. The Ultra Treasury Bonds (60 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (12 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (27 percent), the 10-Year Bonds (30 percent) and the 2-Year Bonds (35 percent).

Strength Statistics:
Fed Funds (52.9 percent) vs Fed Funds previous week (30.1 percent)
2-Year Bond (34.6 percent) vs 2-Year Bond previous week (35.9 percent)
5-Year Bond (11.8 percent) vs 5-Year Bond previous week (20.4 percent)
10-Year Bond (29.8 percent) vs 10-Year Bond previous week (29.1 percent)
Ultra 10-Year Bond (27.4 percent) vs Ultra 10-Year Bond previous week (28.4 percent)
US Treasury Bond (64.1 percent) vs US Treasury Bond previous week (76.3 percent)
Ultra US Treasury Bond (59.6 percent) vs Ultra US Treasury Bond previous week (65.7 percent)
SOFR 3-Months (78.5 percent) vs SOFR 3-Months previous week (77.2 percent)

Fed Funds & 10-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (19 percent) and the 10-Year Bonds (15 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (14 percent) is the next highest positive mover in the latest trends data.

The 5-Year Bonds (-3 percent) and the SOFR 3-Months (-1 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (19.1 percent) vs Fed Funds previous week (-8.1 percent)
2-Year Bond (11.2 percent) vs 2-Year Bond previous week (17.5 percent)
5-Year Bond (-3.3 percent) vs 5-Year Bond previous week (10.7 percent)
10-Year Bond (14.9 percent) vs 10-Year Bond previous week (17.0 percent)
Ultra 10-Year Bond (9.8 percent) vs Ultra 10-Year Bond previous week (18.8 percent)
US Treasury Bond (13.6 percent) vs US Treasury Bond previous week (32.3 percent)
Ultra US Treasury Bond (3.9 percent) vs Ultra US Treasury Bond previous week (15.1 percent)
SOFR 3-Months (-0.8 percent) vs SOFR 3-Months previous week (-13.3 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 353,085 contracts in the data reported through Tuesday. This was a weekly advance of 24,537 contracts from the previous week which had a total of 328,548 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.5 percent. The commercials are Bearish with a score of 21.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.7 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.755.00.3
– Percent of Open Interest Shorts:14.158.40.4
– Net Position:353,085-343,626-9,459
– Gross Longs:1,769,5795,505,96525,906
– Gross Shorts:1,416,4945,849,59135,365
– Long to Short Ratio:1.2 to 10.9 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.521.882.7
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.81.0-1.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -73,215 contracts in the data reported through Tuesday. This was a weekly advance of 106,714 contracts from the previous week which had a total of -179,929 net contracts.

This 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 52.9 percent. The commercials are Bearish with a score of 45.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.8 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.969.42.1
– Percent of Open Interest Shorts:17.165.22.1
– Net Position:-73,21573,836-621
– Gross Longs:227,8651,224,02836,667
– Gross Shorts:301,0801,150,19237,288
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.945.489.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.1-20.09.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -934,574 contracts in the data reported through Tuesday. This was a weekly decline of -20,678 contracts from the previous week which had a total of -913,896 net contracts.

This 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 34.6 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.0 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.679.36.6
– Percent of Open Interest Shorts:36.257.73.6
– Net Position:-934,574821,385113,189
– Gross Longs:442,3943,013,756251,456
– Gross Shorts:1,376,9682,192,371138,267
– Long to Short Ratio:0.3 to 11.4 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.662.887.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.2-11.5-6.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,284,301 contracts in the data reported through Tuesday. This was a weekly fall of -134,791 contracts from the previous week which had a total of -1,149,510 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 11.8 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.2 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.184.76.7
– Percent of Open Interest Shorts:27.265.25.1
– Net Position:-1,284,3011,183,655100,646
– Gross Longs:374,0325,155,365410,424
– Gross Shorts:1,658,3333,971,710309,778
– Long to Short Ratio:0.2 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.888.484.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.32.92.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -569,957 contracts in the data reported through Tuesday. This was a weekly gain of 8,350 contracts from the previous week which had a total of -578,307 net contracts.

This 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 29.8 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.3 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.69.8
– Percent of Open Interest Shorts:23.165.39.1
– Net Position:-569,957538,81831,139
– Gross Longs:445,0113,402,179429,927
– Gross Shorts:1,014,9682,863,361398,788
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.863.980.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.9-15.2-8.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -142,994 contracts in the data reported through Tuesday. This was a weekly fall of -4,880 contracts from the previous week which had a total of -138,114 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.4 percent. The commercials are Bullish with a score of 67.0 percent and the small traders (not shown in chart) are Bullish with a score of 73.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.473.310.5
– Percent of Open Interest Shorts:21.463.013.8
– Net Position:-142,994210,721-67,727
– Gross Longs:295,5481,499,959214,856
– Gross Shorts:438,5421,289,238282,583
– Long to Short Ratio:0.7 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.467.073.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.8-18.014.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -55,690 contracts in the data reported through Tuesday. This was a weekly lowering of -35,105 contracts from the previous week which had a total of -20,585 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.1 percent. The commercials are Bearish with a score of 20.9 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.469.813.6
– Percent of Open Interest Shorts:19.068.810.9
– Net Position:-55,69014,90740,783
– Gross Longs:235,0431,065,632207,214
– Gross Shorts:290,7331,050,725166,431
– Long to Short Ratio:0.8 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.120.978.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.6-11.7-7.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -313,453 contracts in the data reported through Tuesday. This was a weekly decline of -14,848 contracts from the previous week which had a total of -298,605 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.6 percent. The commercials are Bullish with a score of 50.7 percent and the small traders (not shown in chart) are Bearish with a score of 35.9 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.179.611.1
– Percent of Open Interest Shorts:28.859.811.2
– Net Position:-313,453314,753-1,300
– Gross Longs:144,6561,264,584176,663
– Gross Shorts:458,109949,831177,963
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.650.735.9
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.96.1-20.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
23 Mar

COT Bonds Charts: Speculator Bets led by 5-Year Bonds & 2-Year Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 5-Year Bonds & 2-Year Bonds

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

Leading the gains for the bond markets was the 5-Year Bonds (105,077 contracts), the 2-Year Bonds (36,461 contracts), the US Treasury Bonds (32,079 contracts), the 10-Year Bonds (29,536 contracts), the Ultra Treasury Bonds (12,156 contracts) and the Fed Funds (905 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-125,140 contracts) and the Ultra 10-Year Bonds (-19,601 contracts).

Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (76 percent) and the SOFR 3-Months (76 percent) lead the bond markets this week. The Ultra Treasury Bonds (63 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (20 percent) and the Ultra 10-Year Bonds (24 percent) come in at the lowest strength level currently. The next lowest strength scores were the Fed Funds (27 percent) and the 10-Year Bonds (29 percent).

Strength Statistics:
Fed Funds (26.9 percent) vs Fed Funds previous week (26.7 percent)
2-Year Bond (36.7 percent) vs 2-Year Bond previous week (34.4 percent)
5-Year Bond (19.9 percent) vs 5-Year Bond previous week (13.2 percent)
10-Year Bond (29.5 percent) vs 10-Year Bond previous week (26.7 percent)
Ultra 10-Year Bond (24.3 percent) vs Ultra 10-Year Bond previous week (28.1 percent)
US Treasury Bond (75.7 percent) vs US Treasury Bond previous week (64.5 percent)
Ultra US Treasury Bond (63.2 percent) vs Ultra US Treasury Bond previous week (58.1 percent)
SOFR 3-Months (75.9 percent) vs SOFR 3-Months previous week (82.3 percent)

US Treasury Bonds & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (42 percent) and the 2-Year Bonds (26 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (24 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-13 percent) and the Fed Funds (-13 percent) leads the downside currently with negative trend scores.

Strength Trend Statistics:
Fed Funds (-12.6 percent) vs Fed Funds previous week (-8.5 percent)
2-Year Bond (25.8 percent) vs 2-Year Bond previous week (23.6 percent)
5-Year Bond (9.0 percent) vs 5-Year Bond previous week (-4.4 percent)
10-Year Bond (23.8 percent) vs 10-Year Bond previous week (23.9 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (8.9 percent)
US Treasury Bond (41.9 percent) vs US Treasury Bond previous week (28.9 percent)
Ultra US Treasury Bond (15.2 percent) vs Ultra US Treasury Bond previous week (5.7 percent)
SOFR 3-Months (-13.1 percent) vs SOFR 3-Months previous week (-14.4 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of 302,139 contracts in the data reported through Tuesday. This was a weekly decline of -125,140 contracts from the previous week which had a total of 427,279 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.9 percent. The commercials are Bearish with a score of 24.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.9 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.356.30.3
– Percent of Open Interest Shorts:14.559.10.3
– Net Position:302,139-298,573-3,566
– Gross Longs:1,899,1236,195,53128,551
– Gross Shorts:1,596,9846,494,10432,117
– Long to Short Ratio:1.2 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.924.185.9
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.113.01.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -194,845 contracts in the data reported through Tuesday. This was a weekly advance of 905 contracts from the previous week which had a total of -195,750 net contracts.

This 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 26.9 percent. The commercials are Bullish with a score of 70.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.172.92.1
– Percent of Open Interest Shorts:18.662.52.0
– Net Position:-194,845192,0592,786
– Gross Longs:151,0041,352,22739,137
– Gross Shorts:345,8491,160,16836,351
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.970.596.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.610.122.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -901,595 contracts in the data reported through Tuesday. This was a weekly advance of 36,461 contracts from the previous week which had a total of -938,056 net contracts.

This 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 36.7 percent. The commercials are Bullish with a score of 60.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.2 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.480.36.6
– Percent of Open Interest Shorts:35.859.03.6
– Net Position:-901,595787,910113,685
– Gross Longs:422,5972,969,326245,616
– Gross Shorts:1,324,1922,181,416131,931
– Long to Short Ratio:0.3 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.760.487.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.8-27.4-9.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,157,057 contracts in the data reported through Tuesday. This was a weekly boost of 105,077 contracts from the previous week which had a total of -1,262,134 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.9 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.884.07.0
– Percent of Open Interest Shorts:26.665.75.5
– Net Position:-1,157,0571,069,93987,118
– Gross Longs:395,1944,907,528406,591
– Gross Shorts:1,552,2513,837,589319,473
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.979.981.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-8.0-7.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -574,010 contracts in the data reported through Tuesday. This was a weekly rise of 29,536 contracts from the previous week which had a total of -603,546 net contracts.

This 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 62.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.877.69.7
– Percent of Open Interest Shorts:24.165.38.6
– Net Position:-574,010526,78147,229
– Gross Longs:461,0663,327,859414,071
– Gross Shorts:1,035,0762,801,078366,842
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.562.383.8
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.8-31.3-1.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -153,271 contracts in the data reported through Tuesday. This was a weekly decline of -19,601 contracts from the previous week which had a total of -133,670 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.3 percent. The commercials are Bullish with a score of 75.1 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.573.710.0
– Percent of Open Interest Shorts:22.062.213.9
– Net Position:-153,271233,014-79,743
– Gross Longs:294,8091,497,187203,561
– Gross Shorts:448,0801,264,173283,304
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.375.166.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.2-18.912.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -22,454 contracts in the data reported through Tuesday. This was a weekly increase of 32,079 contracts from the previous week which had a total of -54,533 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.7 percent. The commercials are Bearish-Extreme with a score of 5.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 percent.

Price Trend-Following Model: Weak Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.269.412.9
– Percent of Open Interest Shorts:17.770.710.0
– Net Position:-22,454-19,97142,425
– Gross Longs:242,0861,034,162191,844
– Gross Shorts:264,5401,054,133149,419
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.75.579.3
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:41.9-42.7-12.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -304,714 contracts in the data reported through Tuesday. This was a weekly lift of 12,156 contracts from the previous week which had a total of -316,870 net contracts.

This 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 63.2 percent. The commercials are Bearish with a score of 36.7 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.879.811.1
– Percent of Open Interest Shorts:28.061.610.0
– Net Position:-304,714287,08117,633
– Gross Longs:139,2441,263,105175,999
– Gross Shorts:443,958976,024158,366
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.236.753.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.2-19.01.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
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