Archive for Bonds – Page 3

15 Jun

COT Bonds Charts: Fed Funds and Ultra Treasury Bonds lead Speculator Bets this week

By InvestMacro

Bonds Market Open Interest Comparison
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 10th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Fed Funds & Ultra Treasury Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were slightly lower this week as four out of the nine 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 (38,246 contracts) with the Ultra Treasury Bonds (24,696 contracts), the US Treasury Bonds (22,628 contracts) and the Ultra 10-Year Bonds (2,306 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-202,389 contracts), the 5-Year Bonds (-74,384 contracts), the SOFR 1-Month (-53,898 contracts), the 2-Year Bonds (-36,591 contracts) and with the 10-Year Bonds (-18,845 contracts) also having lower bets on the week.

Bonds Price Changes:

– US Treasury Long bonds: up over 1%
– 10-year bond: up just under 1%
– 5-year bond: up 0.5%
– 2-year bond: up 0.25%
– Fed bonds and shorter duration bonds: basically unchanged

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & US Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (97 percent) and the US Treasury Bonds (56 percent) lead the bond markets this week. The SOFR 1-Month (50 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (0 percent), the Ultra 10-Year Bonds (1 percent) and the SOFR 3-Months (2 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (34.9 percent) vs Fed Funds previous week (27.9 percent)
2-Year Bond (21.5 percent) vs 2-Year Bond previous week (24.1 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (3.1 percent)
10-Year Bond (40.5 percent) vs 10-Year Bond previous week (42.4 percent)
Ultra 10-Year Bond (0.6 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (55.6 percent) vs US Treasury Bond previous week (47.8 percent)
Ultra US Treasury Bond (96.5 percent) vs Ultra US Treasury Bond previous week (87.1 percent)
SOFR 1-Month (50.1 percent) vs SOFR 1-Month previous week (63.4 percent)
SOFR 3-Months (1.8 percent) vs SOFR 3-Months previous week (12.2 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (18 percent) and the 10-Year Bonds (14 percent) lead the past six weeks trends for bonds.

The Ultra 10-Year Bond (-41 percent), the SOFR 3-Months (-29 percent) and the SOFR 1-Month (-14 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (0.2 percent) vs Fed Funds previous week (-24.4 percent)
2-Year Bond (1.8 percent) vs 2-Year Bond previous week (10.8 percent)
5-Year Bond (-7.5 percent) vs 5-Year Bond previous week (-8.7 percent)
10-Year Bond (14.2 percent) vs 10-Year Bond previous week (19.4 percent)
Ultra 10-Year Bond (-40.5 percent) vs Ultra 10-Year Bond previous week (-55.8 percent)
US Treasury Bond (2.0 percent) vs US Treasury Bond previous week (1.8 percent)
Ultra US Treasury Bond (18.2 percent) vs Ultra US Treasury Bond previous week (7.3 percent)
SOFR 1-Month (-13.6 percent) vs SOFR 1-Month previous week (14.8 percent)
SOFR 3-Months (-29.3 percent) vs SOFR 3-Months previous week (-26.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -106,475 contracts in the data reported through Tuesday. This was a weekly lift of 38,246 contracts from the previous week which had a total of -144,721 net contracts.

This 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 34.9 percent. The commercials are Bullish with a score of 59.0 percent and the small traders (not shown in chart) are Bullish with a score of 79.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.667.72.9
– Percent of Open Interest Shorts:19.962.22.1
– Net Position:-106,47593,22313,252
– Gross Longs:230,8491,149,92249,699
– Gross Shorts:337,3241,056,69936,447
– Long to Short Ratio:0.7 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.959.079.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.20.1-2.5

 

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 recorded a net position of -1,132,456 contracts in the data reported through Tuesday. This was a weekly decline of -202,389 contracts from the previous week which had a total of -930,067 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.8 percent. The commercials are Bullish-Extreme with a score of 97.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.063.20.4
– Percent of Open Interest Shorts:20.653.70.3
– Net Position:-1,132,4561,118,67313,783
– Gross Longs:1,291,1497,445,46651,781
– Gross Shorts:2,423,6056,326,79337,998
– Long to Short Ratio:0.5 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.897.591.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-29.328.67.4

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week recorded a net position of -74,749 contracts in the data reported through Tuesday. This was a weekly fall of -53,898 contracts from the previous week which had a total of -20,851 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.1 percent. The commercials are Bullish with a score of 50.9 percent and the small traders (not shown in chart) are Bullish with a score of 58.7 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.861.50.1
– Percent of Open Interest Shorts:22.154.80.5
– Net Position:-74,74978,663-3,914
– Gross Longs:186,662725,8341,456
– Gross Shorts:261,411647,1715,370
– Long to Short Ratio:0.7 to 11.1 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.150.958.7
– Strength Index Reading (3 Year Range):BullishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.614.0-3.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -1,180,516 contracts in the data reported through Tuesday. This was a weekly reduction of -36,591 contracts from the previous week which had a total of -1,143,925 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.5 percent. The commercials are Bullish with a score of 76.2 percent and the small traders (not shown in chart) are Bullish with a score of 70.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.877.66.1
– Percent of Open Interest Shorts:44.651.12.8
– Net Position:-1,180,5161,050,501130,015
– Gross Longs:585,3983,073,993242,461
– Gross Shorts:1,765,9142,023,492112,446
– Long to Short Ratio:0.3 to 11.5 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.576.270.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.8-1.9-1.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -2,470,920 contracts in the data reported through Tuesday. This was a weekly fall of -74,384 contracts from the previous week which had a total of -2,396,536 net contracts.

This 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 80.9 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.185.46.1
– Percent of Open Interest Shorts:42.551.53.6
– Net Position:-2,470,9202,303,366167,554
– Gross Longs:416,3955,797,061414,640
– Gross Shorts:2,887,3153,493,695247,086
– Long to Short Ratio:0.1 to 11.7 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.080.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.511.1-10.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -724,101 contracts in the data reported through Tuesday. This was a weekly decline of -18,845 contracts from the previous week which had a total of -705,256 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 40.5 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bullish with a score of 71.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.477.59.1
– Percent of Open Interest Shorts:26.863.97.5
– Net Position:-724,101645,72678,375
– Gross Longs:541,6923,667,589431,976
– Gross Shorts:1,265,7933,021,863353,601
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.557.871.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.2-8.6-21.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -369,282 contracts in the data reported through Tuesday. This was a weekly gain of 2,306 contracts from the previous week which had a total of -371,588 net contracts.

This 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 0.6 percent. The commercials are Bullish-Extreme with a score of 92.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.379.09.6
– Percent of Open Interest Shorts:26.161.211.6
– Net Position:-369,282416,219-46,937
– Gross Longs:238,8721,840,747223,564
– Gross Shorts:608,1541,424,528270,501
– Long to Short Ratio:0.4 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.692.072.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.551.2-21.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -79,745 contracts in the data reported through Tuesday. This was a weekly increase of 22,628 contracts from the previous week which had a total of -102,373 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.6 percent. The commercials are Bearish with a score of 36.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.375.513.3
– Percent of Open Interest Shorts:14.976.18.1
– Net Position:-79,745-9,50389,248
– Gross Longs:177,3281,304,982229,114
– Gross Shorts:257,0731,314,485139,866
– Long to Short Ratio:0.7 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.636.278.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.0-0.5-3.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -203,747 contracts in the data reported through Tuesday. This was a weekly boost of 24,696 contracts from the previous week which had a total of -228,443 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 Bullish-Extreme with a score of 96.5 percent. The commercials are Bearish with a score of 23.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.282.28.8
– Percent of Open Interest Shorts:17.971.09.3
– Net Position:-203,747213,290-9,543
– Gross Longs:136,9211,562,597167,180
– Gross Shorts:340,6681,349,307176,723
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):96.523.80.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.2-1.7-46.8

 

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
08 Jun

Speculator Extremes: Brent, Silver, Ultra 10-Year & 5-Year Bonds lead Bullish & Bearish Positions

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on June 3rd.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

Extreme Bullish Speculator Table

Here Are This Week’s Most Bullish Speculator Positions:

Brent Oil

Extreme Bullish Leader
The Brent Oil speculator position comes in as the most bullish extreme standing this week as the Brent speculator level is currently at a 100 percent maximum score of its 3-year range.

The six-week trend for the percent strength score totaled 37 this week. The overall net speculator position was a total of 10,280 net contracts this week with a gain of 14,712 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

 

Nikkei 225

Extreme Bullish Leader
The Nikkei 225* speculator position comes next in the extreme standings this week. The Nikkei 225 speculator level is now at a 96 percent score of its 3-year range.

The six-week trend for the percent strength score was 35 points at last data. The speculator position registered 1,904 net contracts with a recent weekly change of 2,025 contracts in speculator bets.

* Note: The Nikkei 225 (USD) has not been updated by the CFTC recently – likely due to lack of open interest. The Nikkei 225 levels on the charts this week reflect the last provided data. We will look to swap in the Nikkei 225 Yen contracts in future updates which has a higher open interest.

Silver

Extreme Bullish Leader
The Silver speculator position comes in third this week in the extreme standings. The Silver speculator level now resides at a 93 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at a gain of 20 points this week while the overall speculator position was 60,770 net contracts this week with a boost by 7,758 contracts in the weekly speculator bets.

Japanese Yen

Extreme Bullish Leader
The Japanese Yen speculator position has cooled off a bit but does come in at number four in the extreme standings this week. The JPY speculator level is at a 92 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a decline of -7 points this week. The overall speculator position was 151,149 net contracts this week with a shortfall by -12,863 contracts in the speculator bets.

MSCI EAFE MINI

Extreme Bullish Leader
The MSCI EAFE MINI speculator position rounds out the top five in this week’s bullish extreme standings as the MSCI EAFE-Mini speculator level now sits at a 92 percent score of its 3-year range. The six-week trend for the speculator strength score showed a gain of 18 points this week.

The speculator position was 2,201 net contracts this week with a rise of 2,337 contracts in the weekly speculator bets.

Extreme Bearish Speculator Table

This Week’s Most Bearish Speculator Positions:

Ultra 10-Year U.S. T-Note

Extreme Bearish Leader
The Ultra 10-Year U.S. T-Note speculator position comes in as the most bearish extreme standing this week. The Ultra 10-Year speculator level is at a 0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -56 points this week. The overall speculator position was -371,588 net contracts this week with a reduction by -73,325 contracts in the speculator bets.

5-Year Bond

Extreme Bearish Leader
The 5-Year Bond speculator position comes in next for the most bearish extreme standing on the week. The 5-Year speculator level is also at a 0 percent minimum score of its 3-year range.

The six-week trend for the speculator strength score was -9 points this week while the speculator position was -2,396,536 net contracts this week with a change of -63,299 contracts in the weekly speculator bets.

Bitcoin

Extreme Bearish Leader
The Bitcoin speculator position comes in as third most bearish extreme standing of the week as the speculator level resides at a 1 percent score of its 3-year range.

The six-week trend for the speculator strength score was -33 points this week. The overall speculator position was -2,312 net contracts this week with a dip of -38 contracts in the speculator bets.

Soybean Meal

Extreme Bearish Leader
The Soybean Meal speculator position comes in as this week’s fourth most bearish extreme standing. The Soybean Meal speculator level is at a 5 percent score of its 3-year range.

The six-week trend for the speculator strength score was a drop by -10 points this week. The speculator position was -54,519 net contracts this week with a decrease by -5,366 contracts in the weekly speculator bets.

US Dollar Index

Extreme Bearish Leader
Finally, the US Dollar Index speculator position comes in as the fifth most bearish extreme standing for this week. The USD Index speculator level is at a 8 percent score of its 3-year range.

The six-week trend for the speculator strength score was a small gain by 3 points this week. The speculator position was 617 net contracts this week with an advance by 703 contracts in the weekly speculator bets.

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 Opinions
08 Jun

COT Bonds Charts: Speculator Bets led by SOFR-3M, Fed Funds & 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR-3M, Fed Funds & 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (124,899 contracts) with the Fed Funds (119,342 contracts), the 10-Year Bonds (64,348 contracts) and the Ultra Treasury Bonds (5,029 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-73,325 contracts), the SOFR 1-Month (-69,131 contracts), the 5-Year Bonds (-63,299 contracts), the US Treasury Bonds (-48,483 contracts) and with the 2-Year Bonds (-24,022 contracts) also registering lower bets on the week.

Price Performance Bonds last 5-Days:

– Fed funds were virtually unchanged.

– The 3-month secured overnight financing rate was down by -0.5%.

– The 2-year bond was down by -0.5%.

– The 5-year bond was down by approximately -0.90%.

– The longer bonds, the 10-year and the U.S. Treasury bonds were down by approximately -1%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (87 percent) and the SOFR 1-Month (63 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent), the Ultra 10-Year Bond (0.0 percent) and the SOFR 3-Months (12 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 2-Year Bonds (24 percent) and the Fed Funds (28 percent).

Strength Statistics:
Fed Funds (27.9 percent) vs Fed Funds previous week (5.8 percent)
2-Year Bond (24.1 percent) vs 2-Year Bond previous week (25.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (2.8 percent)
10-Year Bond (42.4 percent) vs 10-Year Bond previous week (36.1 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (20.1 percent)
US Treasury Bond (47.8 percent) vs US Treasury Bond previous week (64.6 percent)
Ultra US Treasury Bond (87.1 percent) vs Ultra US Treasury Bond previous week (85.2 percent)
SOFR 1-Month (63.4 percent) vs SOFR 1-Month previous week (80.4 percent)
SOFR 3-Months (12.2 percent) vs SOFR 3-Months previous week (5.8 percent)

10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (19 percent) and the SOFR 1-Month (15 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (11 percent) and  are the next highest positive movers in the latest trends data.

The Ultra 10-Year Bond (-56 percent), the SOFR 3-Months (-26 percent) and the Fed Funds (-24 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-24.4 percent) vs Fed Funds previous week (-47.5 percent)
2-Year Bond (10.8 percent) vs 2-Year Bond previous week (9.5 percent)
5-Year Bond (-8.9 percent) vs 5-Year Bond previous week (-11.9 percent)
10-Year Bond (19.4 percent) vs 10-Year Bond previous week (16.2 percent)
Ultra 10-Year Bond (-55.8 percent) vs Ultra 10-Year Bond previous week (-41.1 percent)
US Treasury Bond (1.8 percent) vs US Treasury Bond previous week (16.3 percent)
Ultra US Treasury Bond (7.3 percent) vs Ultra US Treasury Bond previous week (-5.1 percent)
SOFR 1-Month (14.8 percent) vs SOFR 1-Month previous week (37.6 percent)
SOFR 3-Months (-26.2 percent) vs SOFR 3-Months previous week (-29.9 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -144,721 contracts in the data reported through Tuesday. This was a weekly increase of 119,342 contracts from the previous week which had a total of -264,063 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.9 percent. The commercials are Bullish with a score of 66.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.569.42.5
– Percent of Open Interest Shorts:21.561.11.8
– Net Position:-144,721133,09511,626
– Gross Longs:199,8941,110,99840,360
– Gross Shorts:344,615977,90328,734
– Long to Short Ratio:0.6 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.966.277.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.423.63.6

 

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 resulted in a net position of -930,067 contracts in the data reported through Tuesday. This was a weekly boost of 124,899 contracts from the previous week which had a total of -1,054,966 net contracts.

This 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 12.2 percent. The commercials are Bullish-Extreme with a score of 86.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.662.20.5
– Percent of Open Interest Shorts:19.854.20.3
– Net Position:-930,067910,32919,738
– Gross Longs:1,318,9957,061,97255,811
– Gross Shorts:2,249,0626,151,64336,073
– Long to Short Ratio:0.6 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.286.794.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.225.38.6

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -20,851 contracts in the data reported through Tuesday. This was a weekly fall of -69,131 contracts from the previous week which had a total of 48,280 net contracts.

This 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 63.4 percent. The commercials are Bearish with a score of 37.6 percent and the small traders (not shown in chart) are Bullish with a score of 58.7 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.259.80.1
– Percent of Open Interest Shorts:19.057.60.5
– Net Position:-20,85124,789-3,938
– Gross Longs:192,954671,8221,242
– Gross Shorts:213,805647,0335,180
– Long to Short Ratio:0.9 to 11.0 to 10.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.437.658.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.8-13.7-8.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,143,925 contracts in the data reported through Tuesday. This was a weekly lowering of -24,022 contracts from the previous week which had a total of -1,119,903 net contracts.

This 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 74.0 percent and the small traders (not shown in chart) are Bullish with a score of 67.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.077.26.1
– Percent of Open Interest Shorts:44.950.53.0
– Net Position:-1,143,9251,024,516119,409
– Gross Longs:574,6942,957,205233,429
– Gross Shorts:1,718,6191,932,689114,020
– Long to Short Ratio:0.3 to 11.5 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.174.067.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.8-13.20.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,396,536 contracts in the data reported through Tuesday. This was a weekly fall of -63,299 contracts from the previous week which had a total of -2,333,237 net contracts.

This 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 82.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.184.36.1
– Percent of Open Interest Shorts:42.251.63.5
– Net Position:-2,396,5362,224,020172,516
– Gross Longs:480,6715,740,780412,729
– Gross Shorts:2,877,2073,516,760240,213
– Long to Short Ratio:0.2 to 11.6 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.082.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.911.7-4.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -705,256 contracts in the data reported through Tuesday. This was a weekly boost of 64,348 contracts from the previous week which had a total of -769,604 net contracts.

This 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 42.4 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.778.38.7
– Percent of Open Interest Shorts:25.465.17.2
– Net Position:-705,256633,32071,936
– Gross Longs:509,0343,739,243415,931
– Gross Shorts:1,214,2903,105,923343,995
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.456.369.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.4-16.0-19.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -371,588 contracts in the data reported through Tuesday. This was a weekly decline of -73,325 contracts from the previous week which had a total of -298,263 net contracts.

This 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 with a score of 54.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.679.99.0
– Percent of Open Interest Shorts:25.860.612.2
– Net Position:-371,588444,200-72,612
– Gross Longs:221,6971,838,381207,577
– Gross Shorts:593,2851,394,181280,189
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.054.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-55.872.3-34.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -102,373 contracts in the data reported through Tuesday. This was a weekly decrease of -48,483 contracts from the previous week which had a total of -53,890 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.8 percent. The commercials are Bearish with a score of 43.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.875.012.9
– Percent of Open Interest Shorts:16.674.18.0
– Net Position:-102,37314,70287,671
– Gross Longs:190,6071,322,293228,215
– Gross Shorts:292,9801,307,591140,544
– Long to Short Ratio:0.7 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.843.277.5
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.8-4.57.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -228,443 contracts in the data reported through Tuesday. This was a weekly gain of 5,029 contracts from the previous week which had a total of -233,472 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.1 percent. The commercials are Bearish with a score of 30.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.682.19.3
– Percent of Open Interest Shorts:18.670.09.4
– Net Position:-228,443230,330-1,887
– Gross Longs:125,0061,564,328177,487
– Gross Shorts:353,4491,333,998179,374
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):87.130.46.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.35.4-36.7

 

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
26 May

Speculator Extremes: JPY, Ultra 10-Year lead weekly Bullish & Bearish Positions

By InvestMacro 

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on May 20th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

Extreme Bullish Speculator Table

Here Are This Week’s Most Bullish Speculator Positions:

Japanese Yen

Extreme Bullish Leader
The Japanese Yen speculator position comes in as the most bullish extreme standing this week as the JPY speculator level is currently at a 97 percent score of its 3-year range.

The six-week trend for the percent strength score totaled a rise 6 points this week. The overall net speculator position was a total of 167,330 net contracts this week with a decline of -4,938 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

 

Nikkei 225

Extreme Bullish Leader
The Nikkei 225 speculator position comes next in the extreme standings this week. The Nikkei 225 speculator level leveled this week at a 96 percent score of its 3-year range.

The six-week trend for the percent strength score was a boost 35 points this week. The speculator position registered 1,904 net contracts this week with a weekly increase of 2,025 contracts in speculator bets.

VIX

Extreme Bullish Leader
The VIX speculator position comes in third this week in the extreme standings as the VIX speculator level resides at a 94 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at a boost by 16 points this week. The overall speculator position was 4,424 net contracts this week with a decrease of -1,675 contracts in the weekly speculator bets.

MSCI EAFE MINI

Extreme Bullish Leader
The MSCI EAFE MINI speculator position comes up number four in the extreme standings this week. The MSCI EAFE-Mini speculator level is at a 90 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a gain of 13 points this week. The overall speculator position was 774 net contracts this week with a drop of -1,935 contracts in the speculator bets.

Live Cattle

Extreme Bullish Leader
The Live Cattle speculator position rounds out the top five in this week’s bullish extreme standings with the Live Cattle speculator level at a 81 percent score of its 3-year range. The six-week trend for the speculator strength score was a decline of -4 points this week.

The speculator position was 103,416 net contracts this week with a dip by -7,231 contracts in the weekly speculator bets.

Extreme Bearish Speculator Table

This Week’s Most Bearish Speculator Positions:

Ultra 10-Year U.S. T-Note

Extreme Bearish Leader
The Ultra 10-Year U.S. T-Note speculator position comes in as the most bearish extreme standing this week as the Ultra 10-Year speculator level is at a zero percent score of its 3-year range.

The six-week trend for the speculator strength score was -55 points this week. The overall speculator position was -328,444 net contracts this week with a shortfall of -8,837 contracts in the speculator bets.

5-Year Bond

Extreme Bearish Leader
The 5-Year Bond speculator position comes in next for the most bearish extreme standing on the week. The 5-Year speculator level is at just 1 percent score of its 3-year range.

The six-week trend for the speculator strength score was -12 points this week. The speculator position was -2,275,941 net contracts this week with a drop by -95,898 contracts in the weekly speculator bets.

Soybean Meal

Extreme Bearish Leader
The Soybean Meal speculator position comes in as third most bearish extreme standing of the week. The Soybean Meal speculator level resides at a 4 percent score of its 3-year range.

The six-week trend for the speculator strength score was -5 points this week. The overall speculator position was -58,173 net contracts this week with a reduction by -7,245 contracts in the speculator bets.

US Dollar Index

Extreme Bearish Leader
The US Dollar Index speculator position comes in as this week’s fourth most bearish extreme standing with the USD Index speculator level now at 6 percent score of its 3-year range.

The six-week trend for the speculator strength score was -7 points this week. The speculator position was -546 net contracts this week with a small advance of 69 contracts in the weekly speculator bets.

Bitcoin

Extreme Bearish Leader
Finally, the Bitcoin speculator position comes in as the fifth most bearish extreme standing for this week. The Bitcoin speculator level is at a 9 percent score of its 3-year range.

The six-week trend for the speculator strength score was -72 points this week. The speculator position was -1,952 net contracts this week with a decrease by -1,125 contracts in the weekly speculator bets.

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 Opinions
25 May

COT Bonds Charts: Speculator Bets led lower by SOFR 3-Months & 5-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 20th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led lower by SOFR 3-Months & 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall lower this week as four out of the nine 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 (38,920 contracts) with the SOFR 1-Month (20,104 contracts), the Ultra Treasury Bonds (15,087 contracts) and the US Treasury Bonds (5,596 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-232,067 contracts), the 5-Year Bonds (-95,898 contracts), the Fed Funds (-51,861 contracts), the 2-Year Bonds (-45,099 contracts) and with the Ultra 10-Year Bonds (-8,837 contracts) also seeing lower bets on the week.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (80 percent) and the SOFR 1-Month (72 percent) lead the bond markets this week. The US Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 5-Year Bonds (1 percent), the SOFR 3-Months (10 percent) and the 2-Year Bonds (15 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (30.4 percent) vs Fed Funds previous week (39.9 percent)
2-Year Bond (15.4 percent) vs 2-Year Bond previous week (18.6 percent)
5-Year Bond (0.9 percent) vs 5-Year Bond previous week (5.3 percent)
10-Year Bond (28.2 percent) vs 10-Year Bond previous week (24.5 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (2.7 percent)
US Treasury Bond (58.3 percent) vs US Treasury Bond previous week (56.4 percent)
Ultra US Treasury Bond (80.3 percent) vs Ultra US Treasury Bond previous week (74.6 percent)
SOFR 1-Month (72.2 percent) vs SOFR 1-Month previous week (67.2 percent)
SOFR 3-Months (9.8 percent) vs SOFR 3-Months previous week (21.8 percent)

10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (22 percent) and the SOFR 1-Month (22 percent) lead the past six weeks trends for bonds.

The Ultra 10-Year Bond (-55 percent), the US Treasury Bonds (-19 percent) and the Ultra Treasury Bonds (-18 percent) lead the downside trend scores.

Strength Trend Statistics:
Fed Funds (-9.3 percent) vs Fed Funds previous week (13.0 percent)
2-Year Bond (-4.9 percent) vs 2-Year Bond previous week (0.3 percent)
5-Year Bond (-11.6 percent) vs 5-Year Bond previous week (-7.2 percent)
10-Year Bond (21.9 percent) vs 10-Year Bond previous week (-2.6 percent)
Ultra 10-Year Bond (-54.7 percent) vs Ultra 10-Year Bond previous week (-66.4 percent)
US Treasury Bond (-18.7 percent) vs US Treasury Bond previous week (-15.6 percent)
Ultra US Treasury Bond (-17.5 percent) vs Ultra US Treasury Bond previous week (-2.7 percent)
SOFR 1-Month (22.3 percent) vs SOFR 1-Month previous week (8.7 percent)
SOFR 3-Months (-15.7 percent) vs SOFR 3-Months previous week (5.5 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -131,330 contracts in the data reported through Tuesday. This was a weekly fall of -51,861 contracts from the previous week which had a total of -79,469 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.4 percent. The commercials are Bullish with a score of 61.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.467.42.5
– Percent of Open Interest Shorts:23.562.41.4
– Net Position:-131,330107,99023,340
– Gross Longs:371,4411,439,97753,265
– Gross Shorts:502,7711,331,98729,925
– Long to Short Ratio:0.7 to 11.1 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.461.792.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.36.221.4

 

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 -976,935 contracts in the data reported through Tuesday. This was a weekly reduction of -232,067 contracts from the previous week which had a total of -744,868 net contracts.

This 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 9.8 percent. The commercials are Bullish-Extreme with a score of 89.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.259.90.5
– Percent of Open Interest Shorts:19.151.20.4
– Net Position:-976,935966,62510,310
– Gross Longs:1,121,2066,592,08850,941
– Gross Shorts:2,098,1415,625,46340,631
– Long to Short Ratio:0.5 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.889.689.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.715.52.7

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of 15,032 contracts in the data reported through Tuesday. This was a weekly boost of 20,104 contracts from the previous week which had a total of -5,072 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.2 percent. The commercials are Bearish with a score of 29.0 percent and the small traders (not shown in chart) are Bullish with a score of 57.4 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.564.60.0
– Percent of Open Interest Shorts:16.365.40.4
– Net Position:15,032-10,453-4,579
– Gross Longs:227,059838,502566
– Gross Shorts:212,027848,9555,145
– Long to Short Ratio:1.1 to 11.0 to 10.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.229.057.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.3-21.6-5.6

 

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 -1,267,331 contracts in the data reported through Tuesday. This was a weekly decrease of -45,099 contracts from the previous week which had a total of -1,222,232 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.4 percent. The commercials are Bullish-Extreme with a score of 83.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.076.25.9
– Percent of Open Interest Shorts:43.849.42.9
– Net Position:-1,267,3311,140,386126,945
– Gross Longs:592,2943,235,687250,064
– Gross Shorts:1,859,6252,095,301123,119
– Long to Short Ratio:0.3 to 11.5 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.483.775.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.95.9-0.3

 

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 -2,275,941 contracts in the data reported through Tuesday. This was a weekly decline of -95,898 contracts from the previous week which had a total of -2,180,043 net contracts.

This 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 0.9 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 83.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.080.76.1
– Percent of Open Interest Shorts:39.551.73.6
– Net Position:-2,275,9412,097,939178,002
– Gross Longs:579,5145,832,382439,625
– Gross Shorts:2,855,4553,734,443261,623
– Long to Short Ratio:0.2 to 11.6 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.9100.083.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.616.2-8.7

 

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 -851,431 contracts in the data reported through Tuesday. This was a weekly advance of 38,920 contracts from the previous week which had a total of -890,351 net contracts.

This 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 72.6 percent and the small traders (not shown in chart) are Bullish with a score of 77.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.676.18.4
– Percent of Open Interest Shorts:25.961.46.8
– Net Position:-851,431766,54084,891
– Gross Longs:503,7063,980,135438,754
– Gross Shorts:1,355,1373,213,595353,863
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.272.677.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.9-18.3-22.9

 

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 -328,444 contracts in the data reported through Tuesday. This was a weekly decrease of -8,837 contracts from the previous week which had a total of -319,607 net contracts.

This 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 with a score of 78.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.676.09.2
– Percent of Open Interest Shorts:25.560.510.9
– Net Position:-328,444368,159-39,715
– Gross Longs:276,2501,805,143218,835
– Gross Shorts:604,6941,436,984258,550
– Long to Short Ratio:0.5 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.078.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-54.776.0-21.9

 

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 -72,033 contracts in the data reported through Tuesday. This was a weekly gain of 5,596 contracts from the previous week which had a total of -77,629 net contracts.

This 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 58.3 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 81.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.973.912.7
– Percent of Open Interest Shorts:13.875.07.8
– Net Position:-72,033-19,93491,967
– Gross Longs:184,1971,369,023235,851
– Gross Shorts:256,2301,388,957143,884
– Long to Short Ratio:0.7 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.333.281.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.717.6-4.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -246,135 contracts in the data reported through Tuesday. This was a weekly lift of 15,087 contracts from the previous week which had a total of -261,222 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 Bullish-Extreme with a score of 80.3 percent. The commercials are Bearish with a score of 29.8 percent and the small traders (not shown in chart) are Bearish with a score of 25.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.979.99.4
– Percent of Open Interest Shorts:18.468.08.8
– Net Position:-246,135234,92411,211
– Gross Longs:117,1271,577,209184,656
– Gross Shorts:363,2621,342,285173,445
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.329.825.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.529.8-39.8

 

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
18 May

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

By InvestMacro

Bonds Market Open Interest Comparison
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 13th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall higher this week as six out of the nine 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 5-Year Bonds (116,453 contracts) with the 10-Year Bonds (62,817 contracts), the Fed Funds (36,496 contracts), the US Treasury Bonds (18,160 contracts), the Ultra Treasury Bonds (3,553 contracts) and the SOFR 1-Month (3,019 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-35,910 contracts), the SOFR 3-Months (-6,465 contracts) and with the 2-Year Bonds (-1,439 contracts) also seeing lower bets on the week.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (75 percent) and the SOFR 1-Month (67 percent) lead the bond markets this week. The US Treasury Bonds (56 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bond (0 percent), the 5-Year Bonds (5 percent) and the 2-Year Bonds (18 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 SOFR 3-Months (22 percent) and the 10-Year Bonds (24 percent).

Strength Statistics:
Fed Funds (39.9 percent) vs Fed Funds previous week (33.2 percent)
2-Year Bond (18.2 percent) vs 2-Year Bond previous week (18.3 percent)
5-Year Bond (5.3 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (24.5 percent) vs 10-Year Bond previous week (18.4 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (11.5 percent)
US Treasury Bond (56.4 percent) vs US Treasury Bond previous week (50.0 percent)
Ultra US Treasury Bond (74.6 percent) vs Ultra US Treasury Bond previous week (73.2 percent)
SOFR 1-Month (67.2 percent) vs SOFR 1-Month previous week (66.5 percent)
SOFR 3-Months (21.8 percent) vs SOFR 3-Months previous week (22.1 percent)

Fed Funds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (13 percent) and the SOFR 1-Month (9 percent) lead the past six weeks trends for bonds.

The Ultra 10-Year Bond (-68 percent), the US Treasury Bonds (-16 percent) and the 5-Year Bonds (-7 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (13.0 percent) vs Fed Funds previous week (-0.4 percent)
2-Year Bond (0.3 percent) vs 2-Year Bond previous week (-2.7 percent)
5-Year Bond (-7.2 percent) vs 5-Year Bond previous week (-18.1 percent)
10-Year Bond (-2.6 percent) vs 10-Year Bond previous week (-13.8 percent)
Ultra 10-Year Bond (-68.3 percent) vs Ultra 10-Year Bond previous week (-63.7 percent)
US Treasury Bond (-15.6 percent) vs US Treasury Bond previous week (-20.0 percent)
Ultra US Treasury Bond (-2.7 percent) vs Ultra US Treasury Bond previous week (-12.4 percent)
SOFR 1-Month (8.7 percent) vs SOFR 1-Month previous week (11.0 percent)
SOFR 3-Months (5.5 percent) vs SOFR 3-Months previous week (1.1 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -79,469 contracts in the data reported through Tuesday. This was a weekly lift of 36,496 contracts from the previous week which had a total of -115,965 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 39.9 percent. The commercials are Bullish with a score of 55.7 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.066.83.0
– Percent of Open Interest Shorts:21.963.12.8
– Net Position:-79,46974,8674,602
– Gross Longs:365,2901,354,08560,600
– Gross Shorts:444,7591,279,21855,998
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.955.768.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.0-10.4-17.2

 

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 resulted in a net position of -744,868 contracts in the data reported through Tuesday. This was a weekly reduction of -6,465 contracts from the previous week which had a total of -738,403 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.8 percent. The commercials are Bullish with a score of 78.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.760.60.9
– Percent of Open Interest Shorts:18.553.70.9
– Net Position:-744,868749,170-4,302
– Gross Longs:1,274,5386,601,97195,390
– Gross Shorts:2,019,4065,852,80199,692
– Long to Short Ratio:0.6 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.878.381.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.5-5.1-3.9

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -5,072 contracts in the data reported through Tuesday. This was a weekly boost of 3,019 contracts from the previous week which had a total of -8,091 net contracts.

This 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 67.2 percent. The commercials are Bearish with a score of 28.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.563.71.9
– Percent of Open Interest Shorts:16.964.60.6
– Net Position:-5,072-10,92916,001
– Gross Longs:199,970774,06223,195
– Gross Shorts:205,042784,9917,194
– Long to Short Ratio:1.0 to 11.0 to 13.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.228.9100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.7-14.851.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,222,232 contracts in the data reported through Tuesday. This was a weekly decrease of -1,439 contracts from the previous week which had a total of -1,220,793 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.2 percent. The commercials are Bullish-Extreme with a score of 82.0 percent and the small traders (not shown in chart) are Bullish with a score of 69.5 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.677.76.0
– Percent of Open Interest Shorts:43.050.93.3
– Net Position:-1,222,2321,113,426108,806
– Gross Longs:562,7623,224,121247,644
– Gross Shorts:1,784,9942,110,695138,838
– Long to Short Ratio:0.3 to 11.5 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.282.069.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.3-0.1-0.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,180,043 contracts in the data reported through Tuesday. This was a weekly boost of 116,453 contracts from the previous week which had a total of -2,296,496 net contracts.

This 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 5.3 percent. The commercials are Bullish-Extreme with a score of 97.9 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.281.26.4
– Percent of Open Interest Shorts:38.752.74.5
– Net Position:-2,180,0432,041,577138,466
– Gross Longs:587,1925,807,519460,064
– Gross Shorts:2,767,2353,765,942321,598
– Long to Short Ratio:0.2 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.397.974.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.212.0-13.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -890,351 contracts in the data reported through Tuesday. This was a weekly boost of 62,817 contracts from the previous week which had a total of -953,168 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.5 percent. The commercials are Bullish with a score of 77.3 percent and the small traders (not shown in chart) are Bullish with a score of 77.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.377.48.8
– Percent of Open Interest Shorts:26.661.87.2
– Net Position:-890,351805,05385,298
– Gross Longs:480,1713,993,517454,804
– Gross Shorts:1,370,5223,188,464369,506
– Long to Short Ratio:0.4 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.577.377.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.67.5-10.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -319,607 contracts in the data reported through Tuesday. This was a weekly decline of -35,910 contracts from the previous week which had a total of -283,697 net contracts.

This 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 95.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.476.410.0
– Percent of Open Interest Shorts:26.161.910.8
– Net Position:-319,607337,514-17,907
– Gross Longs:287,3041,776,279232,514
– Gross Shorts:606,9111,438,765250,421
– Long to Short Ratio:0.5 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.393.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-68.381.05.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -77,629 contracts in the data reported through Tuesday. This was a weekly advance of 18,160 contracts from the previous week which had a total of -95,789 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.4 percent. The commercials are Bearish with a score of 33.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.174.912.6
– Percent of Open Interest Shorts:14.376.07.2
– Net Position:-77,629-20,57798,206
– Gross Longs:184,7891,369,783230,861
– Gross Shorts:262,4181,390,360132,655
– Long to Short Ratio:0.7 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.433.085.4
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.614.6-3.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -261,222 contracts in the data reported through Tuesday. This was a weekly boost of 3,553 contracts from the previous week which had a total of -264,775 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.6 percent. The commercials are Bearish with a score of 29.5 percent and the small traders (not shown in chart) are Bearish with a score of 46.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.382.59.5
– Percent of Open Interest Shorts:20.170.18.1
– Net Position:-261,222234,24026,982
– Gross Longs:120,6051,568,207180,961
– Gross Shorts:381,8271,333,967153,979
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.629.546.9
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.74.6-5.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
11 May

COT Bonds Charts: Speculator Bets led lower by SOFR 3-Months & 10-Year Bonds

By InvestMacro

Bonds Market Open Interest Comparison
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 6th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led lower by SOFR 3-Month & 10-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were decisively lower this week as just one out of the nine bond markets we cover had higher positioning while the other eight markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 1-Month with a gain of 11,313 contracts for the week.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-172,797 contracts), the 10-Year Bonds (-81,631 contracts), the Ultra 10-Year Bonds (-62,008 contracts), the 2-Year Bonds (-14,416 contracts), the Ultra Treasury Bonds (-13,381 contracts), the US Treasury Bonds (-10,233 contracts), the Fed Funds (-8,245 contracts) and the 5-Year Bonds (-3,952 contracts) also registering lower bets on the week.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (73 percent) and the SOFR 1-Month (66 percent) lead the bond markets this week. The US Treasury Bonds (50 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (18 percent) and the 2-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (33.2 percent) vs Fed Funds previous week (34.7 percent)
2-Year Bond (18.3 percent) vs 2-Year Bond previous week (19.3 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.2 percent)
10-Year Bond (18.4 percent) vs 10-Year Bond previous week (26.3 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (22.4 percent)
US Treasury Bond (50.0 percent) vs US Treasury Bond previous week (53.6 percent)
Ultra US Treasury Bond (73.2 percent) vs Ultra US Treasury Bond previous week (78.3 percent)
SOFR 1-Month (66.5 percent) vs SOFR 1-Month previous week (63.7 percent)
SOFR 3-Months (22.1 percent) vs SOFR 3-Months previous week (31.1 percent)

SOFR 1-Month & SOFR 3-Months top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 1-Month (11 percent) and the SOFR 3-Months (1 percent) lead the past six weeks trends for bonds. The Fed Funds (0 percent) and the are the next highest positive movers in the latest trends data.

The Ultra 10-Year Bond (-72 percent) and the US Treasury Bonds (-20 percent) lead the downside trend scores currently with the 5-Year Bonds (-18 percent), the 10-Year Bonds (-14 percent) and the Ultra Treasury Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.4 percent) vs Fed Funds previous week (10.7 percent)
2-Year Bond (-2.7 percent) vs 2-Year Bond previous week (1.0 percent)
5-Year Bond (-18.1 percent) vs 5-Year Bond previous week (-17.6 percent)
10-Year Bond (-13.8 percent) vs 10-Year Bond previous week (0.9 percent)
Ultra 10-Year Bond (-71.9 percent) vs Ultra 10-Year Bond previous week (-48.6 percent)
US Treasury Bond (-20.0 percent) vs US Treasury Bond previous week (-25.1 percent)
Ultra US Treasury Bond (-12.4 percent) vs Ultra US Treasury Bond previous week (-1.6 percent)
SOFR 1-Month (11.0 percent) vs SOFR 1-Month previous week (2.0 percent)
SOFR 3-Months (1.1 percent) vs SOFR 3-Months previous week (5.3 percent)

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 -115,965 contracts in the data reported through Tuesday. This was a weekly fall of -8,245 contracts from the previous week which had a total of -107,720 net contracts.

This 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 33.2 percent. The commercials are Bullish with a score of 60.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.767.52.4
– Percent of Open Interest Shorts:22.962.01.7
– Net Position:-115,965103,15912,806
– Gross Longs:313,6311,265,46145,399
– Gross Shorts:429,5961,162,30232,593
– Long to Short Ratio:0.7 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.260.878.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.42.1-12.9

 

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 -738,403 contracts in the data reported through Tuesday. This was a weekly decline of -172,797 contracts from the previous week which had a total of -565,606 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.1 percent. The commercials are Bullish with a score of 77.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.161.00.3
– Percent of Open Interest Shorts:18.054.10.3
– Net Position:-738,403735,5702,833
– Gross Longs:1,195,7106,541,84735,761
– Gross Shorts:1,934,1135,806,27732,928
– Long to Short Ratio:0.6 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.177.685.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.1-1.21.4

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -8,091 contracts in the data reported through Tuesday. This was a weekly gain of 11,313 contracts from the previous week which had a total of -19,404 net contracts.

This 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 66.5 percent. The commercials are Bearish with a score of 34.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.1 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.463.30.0
– Percent of Open Interest Shorts:18.162.40.2
– Net Position:-8,09110,503-2,412
– Gross Longs:198,034721,268283
– Gross Shorts:206,125710,7652,695
– Long to Short Ratio:1.0 to 11.0 to 10.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.534.179.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.0-14.235.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,220,793 contracts in the data reported through Tuesday. This was a weekly fall of -14,416 contracts from the previous week which had a total of -1,206,377 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-Extreme with a score of 18.3 percent. The commercials are Bullish with a score of 78.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.478.36.2
– Percent of Open Interest Shorts:43.152.22.6
– Net Position:-1,220,7931,073,415147,378
– Gross Longs:549,8853,219,754256,003
– Gross Shorts:1,770,6782,146,339108,625
– Long to Short Ratio:0.3 to 11.5 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.378.782.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.71.18.3

 

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 -2,296,496 contracts in the data reported through Tuesday. This was a weekly lowering of -3,952 contracts from the previous week which had a total of -2,292,544 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.2 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.582.16.5
– Percent of Open Interest Shorts:40.853.03.3
– Net Position:-2,296,4962,066,750229,746
– Gross Longs:603,9005,833,463461,099
– Gross Shorts:2,900,3963,766,713231,353
– Long to Short Ratio:0.2 to 11.5 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.395.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.119.510.7

 

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 -953,168 contracts in the data reported through Tuesday. This was a weekly decline of -81,631 contracts from the previous week which had a total of -871,537 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.4 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 93.7 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.478.89.2
– Percent of Open Interest Shorts:28.562.56.4
– Net Position:-953,168812,188140,980
– Gross Longs:468,2663,936,983458,736
– Gross Shorts:1,421,4343,124,795317,756
– Long to Short Ratio:0.3 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.478.293.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.812.811.2

 

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 -283,697 contracts in the data reported through Tuesday. This was a weekly lowering of -62,008 contracts from the previous week which had a total of -221,689 net contracts.

This 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 89.7 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.577.29.4
– Percent of Open Interest Shorts:24.963.111.2
– Net Position:-283,697323,389-39,692
– Gross Longs:286,1851,769,437216,393
– Gross Shorts:569,8821,446,048256,085
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.089.778.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-71.979.3-1.4

 

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 -95,789 contracts in the data reported through Tuesday. This was a weekly fall of -10,233 contracts from the previous week which had a total of -85,556 net contracts.

This 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 38.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.475.512.8
– Percent of Open Interest Shorts:15.775.67.3
– Net Position:-95,789-2,70498,493
– Gross Longs:187,8291,361,393230,957
– Gross Shorts:283,6181,364,097132,464
– Long to Short Ratio:0.7 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.038.285.7
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.016.9-0.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -264,775 contracts in the data reported through Tuesday. This was a weekly decrease of -13,381 contracts from the previous week which had a total of -251,394 net contracts.

This 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 73.2 percent. The commercials are Bearish with a score of 31.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.682.99.4
– Percent of Open Interest Shorts:20.670.28.1
– Net Position:-264,775239,31125,464
– Gross Longs:123,9491,565,107177,814
– Gross Shorts:388,7241,325,796152,350
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.231.544.8
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.418.1-17.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
11 May

Speculator Extremes: Brent, VIX, 5-Year & Ultra 10-Year lead Bullish & Bearish Positions

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on May 6th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)

Extreme Bullish Speculator Table

Here Are This Week’s Most Bullish Speculator Positions:

Brent Oil

Extreme Bullish Leader
The Brent Oil speculator position comes in as the most bullish extreme standing this week as the Brent speculator level is currently at a 100 percent score of its 3-year range.

The six-week trend for the percent strength score totaled a rise by 15.0 this week. The overall net speculator position was a total of 2,495 net contracts this week with a gain of 17,584 contract in the weekly speculator bets.

Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.

 

VIX

Extreme Bullish Leader
The VIX speculator position comes in tied at the top of the extreme standings this week. The VIX speculator level is also now at a 100 percent score of its 3-year range.

The six-week trend for the percent strength score was an increase by 17.0 this week. The speculator position registered 10,943 net contracts this week with a weekly rise by 6,703 contracts in speculator bets.

Japanese Yen

Extreme Bullish Leader
The Japanese Yen speculator position comes in third this week in the extreme standings. The JPY speculator level resides at a 99 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at an increase of 14.0 this week. The overall speculator position was 176,859 net contracts this week with a dip by -2,353 contracts in the weekly speculator bets.

Nikkei 225

Extreme Bullish Leader
The Nikkei 225 speculator position comes up number four in the extreme standings this week as the Nikkei 225 speculator level is now at a 96 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a rise of 35.0 this week. The overall speculator position was 1,904 net contracts this week with an advance by 2,025 contracts in the speculator bets.

Nasdaq

Extreme Bullish Leader
The Nasdaq speculator position rounds out the top five in this week’s bullish extreme standings. The Nasdaq-Mini speculator level sits at a 90 percent score of its 3-year range. The six-week trend for the speculator strength score was an increase by 37.0 this week.

The speculator position was 32,847 net contracts this week with a change of 1,984 contracts in the weekly speculator bets.

Extreme Bearish Speculator Table

This Week’s Most Bearish Speculator Positions:

5-Year Bond

Extreme Bearish Leader
The 5-Year Bond speculator position comes in as the most bearish extreme standing this week as the 5-Year speculator level is at a 0 percent score of its 3-year range.

The six-week trend for the speculator strength score was a drop by -18.0 this week. The overall speculator position was -2,296,496 net contracts this week with a reduction by -3,952 contracts in the speculator bets.

Heating Oil

Extreme Bearish Leader
The Heating Oil speculator position comes in next for the most bearish extreme standing on the week. The Heating Oil speculator level is at a 2 percent score of its 3-year range.

The six-week trend for the speculator strength score is -30.0 this week. The speculator position was -31,610 net contracts this week with a decline of -11,576 contracts in the weekly speculator bets.

US Dollar Index

Extreme Bearish Leader
The US Dollar Index speculator position comes in as third most bearish extreme standing of the week. The USD Index speculator level resides at a 4 percent score of its 3-year range.

The six-week trend for the speculator strength score is -18.0 this week. The overall speculator position was -1,108 net contracts this week with a decrease of -659 contracts in the speculator bets.

Wheat

Extreme Bearish Leader
The Wheat speculator position comes in as this week’s fourth most bearish extreme standing. The Wheat speculator level is at a 6 percent score of its 3-year range.

The six-week trend for the speculator strength score was -17.0 this week. The speculator position was -107,537 net contracts this week with a gain of 9,271 contracts in the weekly speculator bets.

Bitcoin

Extreme Bearish Leader
Finally, the Bitcoin speculator position comes in as the fifth most bearish extreme standing for this week. The Bitcoin speculator level is at a 12 percent score of its 3-year range.

The six-week trend for the speculator strength score was -65.0 this week. The speculator position was -1,781 net contracts this week with a dip lower by -550 contracts in the weekly speculator bets.

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 Opinions
03 May

COT Bonds Charts: Speculator Changes led this week by 2-Year Bonds & SOFR-1M

By InvestMacro

Bonds Market Open Interest Comparison

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 29th 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 2-Year Bonds & SOFR 1-M

Bonds Market Net Speculators Positions

The COT bond market speculator bets were overall lower this week as four out of the nine 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 2-Year Bonds (91,618 contracts) with the SOFR 1-Month (61,386 contracts), the 10-Year Bonds (34,569 contracts) and the US Treasury Bonds (22,131 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-141,796 contracts), the 5-Year Bonds (-101,110 contracts), the Fed Funds (-95,303 contracts), the Ultra 10-Year Bonds (-53,801 contracts) and the Ultra Treasury Bonds (-3,792 contracts) also registering lower bets on the week.

Bonds Data:

Bonds Market Speculators Data Table

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

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (78 percent) and the SOFR 1-Month (64 percent) lead the bond markets this week. The US Treasury Bonds (54 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bond (0.0 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (21 percent), the 10-Year Bonds (26 percent) and the SOFR 3-Months (31 percent).

Strength Statistics:
Fed Funds (34.7 percent) vs Fed Funds previous week (52.3 percent)
2-Year Bond (19.3 percent) vs 2-Year Bond previous week (13.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (4.6 percent)
10-Year Bond (25.7 percent) vs 10-Year Bond previous week (22.5 percent)
Ultra 10-Year Bond (20.8 percent) vs Ultra 10-Year Bond previous week (40.6 percent)
US Treasury Bond (53.6 percent) vs US Treasury Bond previous week (45.9 percent)
Ultra US Treasury Bond (78.3 percent) vs Ultra US Treasury Bond previous week (79.8 percent)
SOFR 1-Month (63.7 percent) vs SOFR 1-Month previous week (48.6 percent)
SOFR 3-Months (31.1 percent) vs SOFR 3-Months previous week (38.4 percent)

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

Bonds Market Trend Index Comparison

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (11 percent) and the SOFR 3-Months (5 percent) lead the past six weeks trends for bonds.

The Ultra 10-Year Bond (-49.6 percent), the US Treasury Bonds (-25 percent) and the 5-Year Bonds (-18 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (10.7 percent) vs Fed Funds previous week (33.8 percent)
2-Year Bond (1.0 percent) vs 2-Year Bond previous week (-5.2 percent)
5-Year Bond (-17.7 percent) vs 5-Year Bond previous week (-14.5 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (-49.6 percent) vs Ultra 10-Year Bond previous week (-42.7 percent)
US Treasury Bond (-25.1 percent) vs US Treasury Bond previous week (-25.6 percent)
Ultra US Treasury Bond (-1.6 percent) vs Ultra US Treasury Bond previous week (1.4 percent)
SOFR 1-Month (2.0 percent) vs SOFR 1-Month previous week (-10.3 percent)
SOFR 3-Months (5.3 percent) vs SOFR 3-Months previous week (16.8 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -107,720 contracts in the data reported through Tuesday. This was a weekly decrease of -95,303 contracts from the previous week which had a total of -12,417 net contracts.

This 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 34.7 percent. The commercials are Bullish with a score of 58.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.868.02.1
– Percent of Open Interest Shorts:21.164.31.5
– Net Position:-107,72092,57415,146
– Gross Longs:428,3361,729,75054,431
– Gross Shorts:536,0561,637,17639,285
– Long to Short Ratio:0.8 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.758.982.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.7-8.1-17.3

 

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 resulted in a net position of -565,606 contracts in the data reported through Tuesday. This was a weekly decline of -141,796 contracts from the previous week which had a total of -423,810 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.1 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.860.10.3
– Percent of Open Interest Shorts:17.154.80.3
– Net Position:-565,606565,988-382
– Gross Longs:1,254,6676,381,33934,681
– Gross Shorts:1,820,2735,815,35135,063
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.168.983.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.3-5.0-3.0

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -19,404 contracts in the data reported through Tuesday. This was a weekly boost of 61,386 contracts from the previous week which had a total of -80,790 net contracts.

This 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 63.7 percent. The commercials are Bearish with a score of 36.8 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.566.60.1
– Percent of Open Interest Shorts:15.765.20.2
– Net Position:-19,40421,480-2,076
– Gross Longs:231,1991,064,063846
– Gross Shorts:250,6031,042,5832,922
– Long to Short Ratio:0.9 to 11.0 to 10.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):63.736.880.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.0-5.841.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,206,377 contracts in the data reported through Tuesday. This was a weekly boost of 91,618 contracts from the previous week which had a total of -1,297,995 net contracts.

This 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 19.3 percent. The commercials are Bullish with a score of 78.7 percent and the small traders (not shown in chart) are Bullish with a score of 77.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.477.95.9
– Percent of Open Interest Shorts:43.951.72.6
– Net Position:-1,206,3771,073,007133,370
– Gross Longs:588,9843,188,309239,843
– Gross Shorts:1,795,3612,115,302106,473
– Long to Short Ratio:0.3 to 11.5 to 12.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.378.777.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.0-0.9-1.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,292,544 contracts in the data reported through Tuesday. This was a weekly lowering of -101,110 contracts from the previous week which had a total of -2,191,434 net contracts.

This 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 91.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.882.86.7
– Percent of Open Interest Shorts:42.252.53.6
– Net Position:-2,292,5442,079,747212,797
– Gross Longs:605,2815,682,152460,646
– Gross Shorts:2,897,8253,602,405247,849
– Long to Short Ratio:0.2 to 11.6 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.091.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.720.25.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -871,537 contracts in the data reported through Tuesday. This was a weekly advance of 34,569 contracts from the previous week which had a total of -906,106 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.7 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.278.39.7
– Percent of Open Interest Shorts:28.063.66.5
– Net Position:-871,537715,931155,606
– Gross Longs:496,5463,818,873472,429
– Gross Shorts:1,368,0833,102,942316,823
– Long to Short Ratio:0.4 to 11.2 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.766.498.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.9-9.820.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -221,689 contracts in the data reported through Tuesday. This was a weekly fall of -53,801 contracts from the previous week which had a total of -167,888 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.8 percent. The commercials are Bullish with a score of 56.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.976.110.0
– Percent of Open Interest Shorts:22.665.710.7
– Net Position:-221,689237,815-16,126
– Gross Longs:295,6541,738,406229,056
– Gross Shorts:517,3431,500,591245,182
– Long to Short Ratio:0.6 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.856.094.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-49.647.69.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -85,556 contracts in the data reported through Tuesday. This was a weekly rise of 22,131 contracts from the previous week which had a total of -107,687 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.6 percent. The commercials are Bearish with a score of 36.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.475.512.5
– Percent of Open Interest Shorts:15.275.97.3
– Net Position:-85,556-7,85393,409
– Gross Longs:188,5181,362,011225,910
– Gross Shorts:274,0741,369,864132,501
– Long to Short Ratio:0.7 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.636.782.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.123.7-6.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -251,394 contracts in the data reported through Tuesday. This was a weekly reduction of -3,792 contracts from the previous week which had a total of -247,602 net contracts.

This 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 78.3 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bullish with a score of 55.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.782.99.2
– Percent of Open Interest Shorts:20.171.37.5
– Net Position:-251,394217,82133,573
– Gross Longs:126,0531,557,821173,657
– Gross Shorts:377,4471,340,000140,084
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.323.055.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.60.63.6

 

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
26 Apr

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

By InvestMacro

Bonds Market Open Interest Comparison

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 22nd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-M & 10-Year Bonds

Bonds Market Net Speculators Positions

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

Leading the gains for the bond markets was the SOFR 3-Months (51,981 contracts) with the 10-Year Bonds (31,649 contracts) and the SOFR 1-Month (23,624 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-129,859 contracts), the 2-Year Bonds (-43,222 contracts), the Ultra Treasury Bonds (-27,545 contracts), the Ultra 10-Year Bonds (-19,489 contracts), the US Treasury Bonds (-6,902 contracts) and the Fed Funds (-5,442 contracts) also registering lower bets on the week.

Bonds Data:

Bonds Market Speculators Data Table

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

Strength Scores led by Ultra Treasury Bonds

Bonds Market Strength Index Comparison

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

On the downside, the 5-Year Bond (0 percent) and the 2-Year Bonds (13 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the the 10-Year Bond (23 percent), the SOFR 3-Months (38 percent) and the Ultra 10-Year Bonds (41 percent).

Strength Statistics:
Fed Funds (52.3 percent) vs Fed Funds previous week (53.3 percent)
2-Year Bond (13.0 percent) vs 2-Year Bond previous week (16.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (6.2 percent)
10-Year Bond (22.5 percent) vs 10-Year Bond previous week (19.5 percent)
Ultra 10-Year Bond (40.6 percent) vs Ultra 10-Year Bond previous week (47.8 percent)
US Treasury Bond (45.9 percent) vs US Treasury Bond previous week (48.3 percent)
Ultra US Treasury Bond (79.8 percent) vs Ultra US Treasury Bond previous week (90.3 percent)
SOFR 1-Month (48.6 percent) vs SOFR 1-Month previous week (42.8 percent)
SOFR 3-Months (38.4 percent) vs SOFR 3-Months previous week (35.7 percent)

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

Bonds Market Trend Index ComparisonCOT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (34 percent) and the SOFR 3-Months (17 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (1 percent) are the next highest positive movers in the latest trends data.

The Ultra 10-Year Bond (-42.7 percent) and the US Treasury Bonds (-26 percent) lead the downside trend scores currently with the 10-Year Bonds (-16 percent) and the 5-Year Bonds (-15 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (33.8 percent) vs Fed Funds previous week (43.1 percent)
2-Year Bond (-5.2 percent) vs 2-Year Bond previous week (-5.8 percent)
5-Year Bond (-15.2 percent) vs 5-Year Bond previous week (-12.6 percent)
10-Year Bond (-16.0 percent) vs 10-Year Bond previous week (-21.3 percent)
Ultra 10-Year Bond (-42.7 percent) vs Ultra 10-Year Bond previous week (-27.4 percent)
US Treasury Bond (-25.6 percent) vs US Treasury Bond previous week (-28.9 percent)
Ultra US Treasury Bond (1.4 percent) vs Ultra US Treasury Bond previous week (4.5 percent)
SOFR 1-Month (-10.3 percent) vs SOFR 1-Month previous week (-17.4 percent)
SOFR 3-Months (16.8 percent) vs SOFR 3-Months previous week (18.8 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -12,417 contracts in the data reported through Tuesday. This was a weekly decrease of -5,442 contracts from the previous week which had a total of -6,975 net contracts.

This 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 52.3 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bullish with a score of 73.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.667.71.9
– Percent of Open Interest Shorts:18.267.51.6
– Net Position:-12,4173,5008,917
– Gross Longs:426,7511,637,17246,896
– Gross Shorts:439,1681,633,67237,979
– Long to Short Ratio:1.0 to 11.0 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.342.773.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.8-32.1-8.6

 

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 -423,810 contracts in the data reported through Tuesday. This was a weekly boost of 51,981 contracts from the previous week which had a total of -475,791 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.4 percent. The commercials are Bullish with a score of 61.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.160.30.3
– Percent of Open Interest Shorts:17.256.20.2
– Net Position:-423,810420,5733,237
– Gross Longs:1,355,7876,255,61828,957
– Gross Shorts:1,779,5975,835,04525,720
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.461.385.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.8-15.4-14.6

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -80,790 contracts in the data reported through Tuesday. This was a weekly increase of 23,624 contracts from the previous week which had a total of -104,414 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.6 percent. The commercials are Bullish with a score of 51.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.169.60.0
– Percent of Open Interest Shorts:19.464.20.0
– Net Position:-80,79080,73159
– Gross Longs:213,8481,055,148621
– Gross Shorts:294,638974,417562
– Long to Short Ratio:0.7 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.651.485.6
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.35.551.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,297,995 contracts in the data reported through Tuesday. This was a weekly decrease of -43,222 contracts from the previous week which had a total of -1,254,773 net contracts.

This 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 13.0 percent. The commercials are Bullish-Extreme with a score of 87.5 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.379.15.8
– Percent of Open Interest Shorts:45.150.23.0
– Net Position:-1,297,9951,181,471116,524
– Gross Longs:545,2593,234,494238,373
– Gross Shorts:1,843,2542,053,023121,849
– Long to Short Ratio:0.3 to 11.6 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.087.572.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.27.8-6.4

 

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 -2,191,434 contracts in the data reported through Tuesday. This was a weekly fall of -129,859 contracts from the previous week which had a total of -2,061,575 net contracts.

This 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 87.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.184.06.4
– Percent of Open Interest Shorts:41.054.03.5
– Net Position:-2,191,4341,997,863193,571
– Gross Longs:536,7725,596,235429,630
– Gross Shorts:2,728,2063,598,372236,059
– Long to Short Ratio:0.2 to 11.6 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.087.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.217.44.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -906,106 contracts in the data reported through Tuesday. This was a weekly advance of 31,649 contracts from the previous week which had a total of -937,755 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.5 percent. The commercials are Bullish with a score of 72.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.577.59.6
– Percent of Open Interest Shorts:29.661.36.6
– Net Position:-906,106764,191141,915
– Gross Longs:495,0273,663,652452,338
– Gross Shorts:1,401,1332,899,461310,423
– Long to Short Ratio:0.4 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.572.394.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.015.013.5

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -167,888 contracts in the data reported through Tuesday. This was a weekly reduction of -19,489 contracts from the previous week which had a total of -148,399 net contracts.

This 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 Bearish with a score of 38.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.476.810.0
– Percent of Open Interest Shorts:19.868.211.1
– Net Position:-167,888192,447-24,559
– Gross Longs:277,7631,725,230224,733
– Gross Shorts:445,6511,532,783249,292
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.638.188.9
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-42.729.429.2

 

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 -107,687 contracts in the data reported through Tuesday. This was a weekly fall of -6,902 contracts from the previous week which had a total of -100,785 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.9 percent. The commercials are Bearish with a score of 47.7 percent and the small traders (not shown in chart) are Bullish with a score of 70.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.275.811.8
– Percent of Open Interest Shorts:17.174.17.6
– Net Position:-107,68730,17977,508
– Gross Longs:202,5191,371,696214,303
– Gross Shorts:310,2061,341,517136,795
– Long to Short Ratio:0.7 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.947.770.7
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.626.2-12.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -247,602 contracts in the data reported through Tuesday. This was a weekly fall of -27,545 contracts from the previous week which had a total of -220,057 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.8 percent. The commercials are Bearish with a score of 22.5 percent and the small traders (not shown in chart) are Bullish with a score of 52.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.582.99.2
– Percent of Open Interest Shorts:19.671.47.5
– Net Position:-247,602216,31331,289
– Gross Longs:121,3291,557,962173,007
– Gross Shorts:368,9311,341,649141,718
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.822.552.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.4-0.8-2.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

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