Archive for Bonds – Page 4

16 Mar

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (313,749 contracts) with the 10-Year Bonds (109,712 contracts), the 2-Year Bonds (61,465 contracts), the Ultra 10-Year Bonds (51,988 contracts), the 5-Year Bonds (29,753 contracts), the Ultra Treasury Bonds (4,866 contracts) and the US Treasury Bonds (3,503 contracts) also showing positive weeks.

The only bond market with a decline in speculator bets was the Fed Funds with a decrease of -10,180 contracts for the week.

Bonds Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (82 percent) and the US Treasury Bonds (64 percent) lead the bond markets this week. The Ultra Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (13 percent) comes in at the lowest strength level currently and is the only market in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (26 percent), the 10-Year Bonds (27 percent) and the Fed Funds (27 percent).

Strength Statistics:
Fed Funds (26.7 percent) vs Fed Funds previous week (28.9 percent)
2-Year Bond (34.4 percent) vs 2-Year Bond previous week (30.5 percent)
5-Year Bond (13.2 percent) vs 5-Year Bond previous week (11.3 percent)
10-Year Bond (26.7 percent) vs 10-Year Bond previous week (16.5 percent)
Ultra 10-Year Bond (26.2 percent) vs Ultra 10-Year Bond previous week (16.7 percent)
US Treasury Bond (64.5 percent) vs US Treasury Bond previous week (63.3 percent)
Ultra US Treasury Bond (58.1 percent) vs Ultra US Treasury Bond previous week (56.1 percent)
SOFR 3-Months (82.3 percent) vs SOFR 3-Months previous week (66.1 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (29 percent), the 2-Year Bonds (24 percent) and the 10-Year Bonds (24 percent) lead the past six weeks trends for bonds.

The SOFR 3-Months (-14 percent), the Fed Funds (-9 percent) and the 5-Year Bonds (-4 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-8.5 percent) vs Fed Funds previous week (-23.5 percent)
2-Year Bond (23.6 percent) vs 2-Year Bond previous week (17.2 percent)
5-Year Bond (-4.4 percent) vs 5-Year Bond previous week (-3.9 percent)
10-Year Bond (23.9 percent) vs 10-Year Bond previous week (6.7 percent)
Ultra 10-Year Bond (8.2 percent) vs Ultra 10-Year Bond previous week (-8.5 percent)
US Treasury Bond (28.9 percent) vs US Treasury Bond previous week (24.7 percent)
Ultra US Treasury Bond (5.7 percent) vs Ultra US Treasury Bond previous week (3.9 percent)
SOFR 3-Months (-14.4 percent) vs SOFR 3-Months previous week (-33.9 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 427,279 contracts in the data reported through Tuesday. This was a weekly gain of 313,749 contracts from the previous week which had a total of 113,530 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.3 percent. The commercials are Bearish-Extreme with a score of 17.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.4 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.654.90.3
– Percent of Open Interest Shorts:13.758.80.3
– Net Position:427,279-420,998-6,281
– Gross Longs:1,915,0305,967,03228,910
– Gross Shorts:1,487,7516,388,03035,191
– Long to Short Ratio:1.3 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.317.884.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.414.5-1.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -195,750 contracts in the data reported through Tuesday. This was a weekly decrease of -10,180 contracts from the previous week which had a total of -185,570 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.7 percent. The commercials are Bullish with a score of 71.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.9 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.275.82.1
– Percent of Open Interest Shorts:18.165.02.0
– Net Position:-195,750194,2811,469
– Gross Longs:130,0331,361,05737,516
– Gross Shorts:325,7831,166,77636,047
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.771.093.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.55.329.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -938,056 contracts in the data reported through Tuesday. This was a weekly advance of 61,465 contracts from the previous week which had a total of -999,521 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.4 percent. The commercials are Bullish with a score of 62.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.5 percent.

Price Trend-Following Model: Weak Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.780.06.9
– Percent of Open Interest Shorts:37.557.53.6
– Net Position:-938,056818,498119,558
– Gross Longs:426,0892,908,549251,836
– Gross Shorts:1,364,1452,090,051132,278
– Long to Short Ratio:0.3 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.462.689.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.6-25.3-7.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,262,134 contracts in the data reported through Tuesday. This was a weekly boost of 29,753 contracts from the previous week which had a total of -1,291,887 net contracts.

This 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 13.2 percent. The commercials are Bullish-Extreme with a score of 85.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.8 percent.

Price Trend-Following Model: Weak Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.185.26.9
– Percent of Open Interest Shorts:27.665.65.0
– Net Position:-1,262,1341,149,142112,992
– Gross Longs:355,6744,992,128404,802
– Gross Shorts:1,617,8083,842,986291,810
– Long to Short Ratio:0.2 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.285.986.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.48.2-8.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -603,546 contracts in the data reported through Tuesday. This was a weekly rise of 109,712 contracts from the previous week which had a total of -713,258 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.7 percent. The commercials are Bullish with a score of 66.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.7 percent.

Price Trend-Following Model: Weak Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.878.69.2
– Percent of Open Interest Shorts:25.065.48.2
– Net Position:-603,546561,17942,367
– Gross Longs:457,8393,342,267390,056
– Gross Shorts:1,061,3852,781,088347,689
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.766.782.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.9-31.8-1.3

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -133,670 contracts in the data reported through Tuesday. This was a weekly advance of 51,988 contracts from the previous week which had a total of -185,658 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.2 percent. The commercials are Bullish with a score of 72.5 percent and the small traders (not shown in chart) are Bullish with a score of 71.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.373.910.0
– Percent of Open Interest Shorts:20.863.813.6
– Net Position:-133,670206,104-72,434
– Gross Longs:291,0661,505,286204,645
– Gross Shorts:424,7361,299,182277,079
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.272.571.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.2-14.817.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -54,533 contracts in the data reported through Tuesday. This was a weekly lift of 3,503 contracts from the previous week which had a total of -58,036 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.5 percent. The commercials are Bearish-Extreme with a score of 13.2 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. The current action for the model is considered to be: Hold – Maintain Long Position.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.469.713.1
– Percent of Open Interest Shorts:19.169.89.4
– Net Position:-54,533-1,31755,850
– Gross Longs:231,1151,043,932196,307
– Gross Shorts:285,6481,045,249140,457
– Long to Short Ratio:0.8 to 11.0 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.513.289.1
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:28.9-32.0-3.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -316,870 contracts in the data reported through Tuesday. This was a weekly lift of 4,866 contracts from the previous week which had a total of -321,736 net contracts.

This 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 58.1 percent. The commercials are Bearish with a score of 44.8 percent and the small traders (not shown in chart) are Bullish with a score of 50.2 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.110.8
– Percent of Open Interest Shorts:28.561.010.0
– Net Position:-316,870303,11113,759
– Gross Longs:136,0591,271,662172,255
– Gross Shorts:452,929968,551158,496
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.144.850.2
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.7-7.20.6

 

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
03 Mar

COT Bonds Charts: Speculator bets led by 2-Year Bonds & US Treasury Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 2-Year Bonds & US Treasury Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (165,226 contracts) with the US Treasury Bonds (80,756 contracts), the 10-Year Bonds (63,484 contracts), the 5-Year Bonds (37,907 contracts), the SOFR 3-Months (5,584 contracts), the Ultra Treasury Bonds (2,977 contracts) and the Ultra 10-Year Bonds (1,139 contracts) also having positive weeks.

The only market with a decline was the Fed Funds with a drop by -58,874 contracts for the week.

Bonds Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (80 percent) and the US Treasury Bonds (79 percent) lead the bond markets this week. The Ultra Treasury Bonds (57 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (16 percent) and the 5-Year Bonds (17 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 10-Year Bonds (21 percent) and the Fed Funds (21 percent).

Strength Statistics:
Fed Funds (21.3 percent) vs Fed Funds previous week (33.8 percent)
2-Year Bond (34.0 percent) vs 2-Year Bond previous week (23.5 percent)
5-Year Bond (17.5 percent) vs 5-Year Bond previous week (15.0 percent)
10-Year Bond (20.9 percent) vs 10-Year Bond previous week (15.0 percent)
Ultra 10-Year Bond (16.0 percent) vs Ultra 10-Year Bond previous week (15.8 percent)
US Treasury Bond (78.6 percent) vs US Treasury Bond previous week (50.5 percent)
Ultra US Treasury Bond (56.9 percent) vs Ultra US Treasury Bond previous week (55.7 percent)
SOFR 3-Months (79.6 percent) vs SOFR 3-Months previous week (79.3 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (40 percent) and the 10-Year Bonds (21 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (17 percent) are the next highest positive mover in the latest trends data.

The Fed Funds (-33 percent) and the SOFR 3-Months (-19 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-5 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-33.2 percent) vs Fed Funds previous week (-5.6 percent)
2-Year Bond (16.5 percent) vs 2-Year Bond previous week (8.3 percent)
5-Year Bond (0.1 percent) vs 5-Year Bond previous week (-4.0 percent)
10-Year Bond (20.9 percent) vs 10-Year Bond previous week (5.4 percent)
Ultra 10-Year Bond (-5.4 percent) vs Ultra 10-Year Bond previous week (-3.1 percent)
US Treasury Bond (39.6 percent) vs US Treasury Bond previous week (21.2 percent)
Ultra US Treasury Bond (1.2 percent) vs Ultra US Treasury Bond previous week (-4.0 percent)
SOFR 3-Months (-19.5 percent) vs SOFR 3-Months previous week (-16.4 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of 373,974 contracts in the data reported through Tuesday. This was a weekly lift of 5,584 contracts from the previous week which had a total of 368,390 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.6 percent. The commercials are Bearish with a score of 20.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.0 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.954.70.2
– Percent of Open Interest Shorts:13.458.10.3
– Net Position:373,974-366,966-7,008
– Gross Longs:1,825,9585,914,86126,690
– Gross Shorts:1,451,9846,281,82733,698
– Long to Short Ratio:1.3 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.620.684.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.519.6-0.4

 

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 -221,404 contracts in the data reported through Tuesday. This was a weekly lowering of -58,874 contracts from the previous week which had a total of -162,530 net contracts.

This 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 21.3 percent. The commercials are Bullish with a score of 77.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.7 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.070.31.7
– Percent of Open Interest Shorts:23.959.31.8
– Net Position:-221,404223,075-1,671
– Gross Longs:264,2441,427,60934,288
– Gross Shorts:485,6481,204,53435,959
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.377.187.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-33.229.433.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -943,898 contracts in the data reported through Tuesday. This was a weekly lift of 165,226 contracts from the previous week which had a total of -1,109,124 net contracts.

This 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 34.0 percent. The commercials are Bullish with a score of 62.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.0 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.380.47.1
– Percent of Open Interest Shorts:35.358.93.5
– Net Position:-943,898809,780134,118
– Gross Longs:387,1383,030,544267,240
– Gross Shorts:1,331,0362,220,764133,122
– Long to Short Ratio:0.3 to 11.4 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.062.095.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.5-20.27.6

 

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 -1,195,393 contracts in the data reported through Tuesday. This was a weekly advance of 37,907 contracts from the previous week which had a total of -1,233,300 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.5 percent. The commercials are Bullish with a score of 79.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.383.87.1
– Percent of Open Interest Shorts:26.066.34.8
– Net Position:-1,195,3931,058,803136,590
– Gross Longs:382,3965,074,656428,067
– Gross Shorts:1,577,7894,015,853291,477
– Long to Short Ratio:0.2 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.579.091.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.11.0-3.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -665,582 contracts in the data reported through Tuesday. This was a weekly boost of 63,484 contracts from the previous week which had a total of -729,066 net contracts.

This 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 20.9 percent. The commercials are Bullish with a score of 73.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.2 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.577.19.5
– Percent of Open Interest Shorts:25.263.58.4
– Net Position:-665,582616,38549,197
– Gross Longs:474,5293,492,870429,894
– Gross Shorts:1,140,1112,876,485380,697
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.973.784.2
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.9-26.3-3.8

 

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 -189,900 contracts in the data reported through Tuesday. This was a weekly gain of 1,139 contracts from the previous week which had a total of -191,039 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.0 percent. The commercials are Bullish-Extreme with a score of 83.6 percent and the small traders (not shown in chart) are Bullish with a score of 71.3 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.575.59.4
– Percent of Open Interest Shorts:21.063.812.6
– Net Position:-189,900261,839-71,939
– Gross Longs:281,6551,696,545210,640
– Gross Shorts:471,5551,434,706282,579
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.083.671.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.45.12.5

 

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 -14,038 contracts in the data reported through Tuesday. This was a weekly gain of 80,756 contracts from the previous week which had a total of -94,794 net contracts.

This 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 78.6 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.0 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.566.213.1
– Percent of Open Interest Shorts:16.468.410.0
– Net Position:-14,038-33,38247,420
– Gross Longs:237,9781,015,447201,594
– Gross Shorts:252,0161,048,829154,174
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.60.083.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:39.6-41.0-7.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -319,783 contracts in the data reported through Tuesday. This was a weekly lift of 2,977 contracts from the previous week which had a total of -322,760 net contracts.

This 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 56.9 percent. The commercials are Bearish with a score of 37.1 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Price Trend-Following Model: Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.877.510.8
– Percent of Open Interest Shorts:28.160.28.9
– Net Position:-319,783287,81831,965
– Gross Longs:146,3361,287,850179,326
– Gross Shorts:466,1191,000,032147,361
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.937.167.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-9.214.6

 

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
24 Feb

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 5-Year Bonds (82,993 contracts) with the 2-Year Bonds (78,890 contracts), the Ultra 10-Year Bonds (39,667 contracts), the 10-Year Bonds (31,453 contracts), the US Treasury Bonds (18,577 contracts) and the Ultra Treasury Bonds (12,116 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-218,152 contracts) and the Fed Funds (-20,549 contracts).

Bonds Net Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (79 percent) and the Ultra Treasury Bonds (56 percent) lead the bond markets this week. The US Treasury Bonds (50 percent) come in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (15 percent), the 10-Year Bonds (15 percent) and the Ultra 10-Year Bonds (16 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (33.8 percent) vs Fed Funds previous week (38.2 percent)
2-Year Bond (23.5 percent) vs 2-Year Bond previous week (18.4 percent)
5-Year Bond (15.0 percent) vs 5-Year Bond previous week (9.7 percent)
10-Year Bond (15.0 percent) vs 10-Year Bond previous week (12.0 percent)
Ultra 10-Year Bond (15.8 percent) vs Ultra 10-Year Bond previous week (8.6 percent)
US Treasury Bond (50.5 percent) vs US Treasury Bond previous week (44.0 percent)
Ultra US Treasury Bond (55.7 percent) vs Ultra US Treasury Bond previous week (50.6 percent)
SOFR 3-Months (79.3 percent) vs SOFR 3-Months previous week (90.6 percent)

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (21 percent) and the 2-Year Bonds (8 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (5 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-16 percent), the Fed Funds (-6 percent), the Ultra Treasury Bonds (-4 percent) and the 5-Year Bonds (-4 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-5.6 percent) vs Fed Funds previous week (-2.3 percent)
2-Year Bond (8.3 percent) vs 2-Year Bond previous week (3.5 percent)
5-Year Bond (-4.0 percent) vs 5-Year Bond previous week (-1.7 percent)
10-Year Bond (5.4 percent) vs 10-Year Bond previous week (6.7 percent)
Ultra 10-Year Bond (-3.1 percent) vs Ultra 10-Year Bond previous week (3.4 percent)
US Treasury Bond (21.2 percent) vs US Treasury Bond previous week (9.5 percent)
Ultra US Treasury Bond (-4.0 percent) vs Ultra US Treasury Bond previous week (-13.3 percent)
SOFR 3-Months (-16.4 percent) vs SOFR 3-Months previous week (4.2 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of 368,390 contracts in the data reported through Tuesday. This was a weekly lowering of -218,152 contracts from the previous week which had a total of 586,542 net contracts.

This 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 79.3 percent. The commercials are Bearish with a score of 20.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.253.50.3
– Percent of Open Interest Shorts:12.856.90.3
– Net Position:368,390-362,195-6,195
– Gross Longs:1,725,3665,681,65128,747
– Gross Shorts:1,356,9766,043,84634,942
– Long to Short Ratio:1.3 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.320.884.5
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.416.22.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -162,530 contracts in the data reported through Tuesday. This was a weekly reduction of -20,549 contracts from the previous week which had a total of -141,981 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.8 percent. The commercials are Bullish with a score of 65.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.7 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.870.81.8
– Percent of Open Interest Shorts:22.162.22.1
– Net Position:-162,530167,802-5,272
– Gross Longs:271,6681,388,80735,047
– Gross Shorts:434,1981,221,00540,319
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.865.480.7
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.65.42.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -1,109,124 contracts in the data reported through Tuesday. This was a weekly increase of 78,890 contracts from the previous week which had a total of -1,188,014 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.5 percent. The commercials are Bullish with a score of 74.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.580.66.6
– Percent of Open Interest Shorts:37.056.33.4
– Net Position:-1,109,124980,154128,970
– Gross Longs:381,7523,249,920266,793
– Gross Shorts:1,490,8762,269,766137,823
– Long to Short Ratio:0.3 to 11.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.574.393.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.3-9.4-0.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -1,233,300 contracts in the data reported through Tuesday. This was a weekly rise of 82,993 contracts from the previous week which had a total of -1,316,293 net contracts.

This 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 15.0 percent. The commercials are Bullish-Extreme with a score of 85.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.66.4
– Percent of Open Interest Shorts:27.664.55.0
– Net Position:-1,233,3001,146,26087,040
– Gross Longs:423,0015,017,564386,235
– Gross Shorts:1,656,3013,871,304299,195
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.085.781.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.010.5-15.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -729,066 contracts in the data reported through Tuesday. This was a weekly boost of 31,453 contracts from the previous week which had a total of -760,519 net contracts.

This 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 15.0 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.9 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.977.38.9
– Percent of Open Interest Shorts:25.063.67.4
– Net Position:-729,066658,45370,613
– Gross Longs:477,0123,724,770428,886
– Gross Shorts:1,206,0783,066,317358,273
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.079.188.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.4-8.72.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -191,039 contracts in the data reported through Tuesday. This was a weekly advance of 39,667 contracts from the previous week which had a total of -230,706 net contracts.

This 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 15.8 percent. The commercials are Bullish-Extreme with a score of 88.0 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.175.68.9
– Percent of Open Interest Shorts:20.762.813.1
– Net Position:-191,039283,638-92,599
– Gross Longs:267,7861,672,832196,088
– Gross Shorts:458,8251,389,194288,687
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.888.059.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.17.8-12.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -94,794 contracts in the data reported through Tuesday. This was a weekly advance of 18,577 contracts from the previous week which had a total of -113,371 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.5 percent. The commercials are Bearish with a score of 28.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.5 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.171.214.6
– Percent of Open Interest Shorts:19.868.111.0
– Net Position:-94,79443,89950,895
– Gross Longs:185,8251,008,905206,932
– Gross Shorts:280,619965,006156,037
– Long to Short Ratio:0.7 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.528.185.5
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.2-19.9-6.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -322,760 contracts in the data reported through Tuesday. This was a weekly lift of 12,116 contracts from the previous week which had a total of -334,876 net contracts.

This 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 55.7 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish with a score of 56.1 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.479.010.0
– Percent of Open Interest Shorts:28.561.08.8
– Net Position:-322,760302,66920,091
– Gross Longs:158,1421,333,231168,395
– Gross Shorts:480,9021,030,562148,304
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.744.656.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.06.3-2.7

 

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
18 Feb

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

By InvestMacro

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

The latest COT data is updated through Tuesday February 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 2-Year Bonds & 10-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (117,595 contracts) with the 10-Year Bonds (67,943 contracts), the SOFR 3-Months (30,099 contracts), the US Treasury Bonds (29,415 contracts) and the Ultra Treasury Bonds (6,328 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-19,126 contracts), the Ultra 10-Year Bonds (-15,056 contracts) and the Fed Funds (-6,021 contracts) also registering lower bets on the week.

Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (91 percent) and the Ultra Treasury Bonds (50 percent) lead the bond markets this week. The US Treasury Bonds (44 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (9 percent), the 5-Year Bonds (10 percent), the 10-Year Bonds (12 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 (38.2 percent) vs Fed Funds previous week (39.5 percent)
2-Year Bond (18.4 percent) vs 2-Year Bond previous week (10.9 percent)
5-Year Bond (9.7 percent) vs 5-Year Bond previous week (11.0 percent)
10-Year Bond (12.0 percent) vs 10-Year Bond previous week (5.7 percent)
Ultra 10-Year Bond (8.6 percent) vs Ultra 10-Year Bond previous week (11.3 percent)
US Treasury Bond (44.0 percent) vs US Treasury Bond previous week (33.7 percent)
Ultra US Treasury Bond (50.4 percent) vs Ultra US Treasury Bond previous week (47.7 percent)
SOFR 3-Months (90.6 percent) vs SOFR 3-Months previous week (89.0 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (9 percent) and the 10-Year Bonds (7 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (4 percent) is the next highest positive mover in the latest trends data.

The Ultra Treasury Bonds (-13 percent) leads the downside trend scores currently with the Fed Funds (-2 percent) and the 5-Year Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-2.3 percent) vs Fed Funds previous week (-5.5 percent)
2-Year Bond (3.5 percent) vs 2-Year Bond previous week (-2.6 percent)
5-Year Bond (-1.7 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (6.7 percent) vs 10-Year Bond previous week (-2.2 percent)
Ultra 10-Year Bond (3.4 percent) vs Ultra 10-Year Bond previous week (11.3 percent)
US Treasury Bond (9.5 percent) vs US Treasury Bond previous week (0.3 percent)
Ultra US Treasury Bond (-13.3 percent) vs Ultra US Treasury Bond previous week (-20.8 percent)
SOFR 3-Months (4.2 percent) vs SOFR 3-Months previous week (-2.5 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 586,542 contracts in the data reported through Tuesday. This was a weekly lift of 30,099 contracts from the previous week which had a total of 556,443 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 90.6 percent. The commercials are Bearish-Extreme with a score of 10.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.2 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.251.20.3
– Percent of Open Interest Shorts:12.656.60.5
– Net Position:586,542-567,164-19,378
– Gross Longs:1,910,9595,376,97634,146
– Gross Shorts:1,324,4175,944,14053,524
– Long to Short Ratio:1.4 to 10.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.610.277.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.2-3.3-9.4

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -141,981 contracts in the data reported through Tuesday. This was a weekly decline of -6,021 contracts from the previous week which had a total of -135,960 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.2 percent. The commercials are Bullish with a score of 62.3 percent and the small traders (not shown in chart) are Bullish with a score of 68.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.469.51.7
– Percent of Open Interest Shorts:20.761.62.3
– Net Position:-141,981153,433-11,452
– Gross Longs:259,8661,346,48833,686
– Gross Shorts:401,8471,193,05545,138
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.262.368.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.32.5-1.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -1,188,014 contracts in the data reported through Tuesday. This was a weekly gain of 117,595 contracts from the previous week which had a total of -1,305,609 net contracts.

This 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 79.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.5 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.481.96.6
– Percent of Open Interest Shorts:39.355.43.2
– Net Position:-1,188,0141,052,479135,535
– Gross Longs:374,3163,254,831263,751
– Gross Shorts:1,562,3302,202,352128,216
– Long to Short Ratio:0.2 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.479.695.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.5-5.58.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,316,293 contracts in the data reported through Tuesday. This was a weekly reduction of -19,126 contracts from the previous week which had a total of -1,297,167 net contracts.

This 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 9.7 percent. The commercials are Bullish-Extreme with a score of 91.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.2 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.184.76.7
– Percent of Open Interest Shorts:29.464.15.0
– Net Position:-1,316,2931,215,390100,903
– Gross Longs:417,5584,996,200397,262
– Gross Shorts:1,733,8513,780,810296,359
– Long to Short Ratio:0.2 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.791.384.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.75.0-8.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -760,519 contracts in the data reported through Tuesday. This was a weekly boost of 67,943 contracts from the previous week which had a total of -828,462 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 12.0 percent. The commercials are Bullish-Extreme with a score of 82.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.2 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.378.49.1
– Percent of Open Interest Shorts:26.463.97.6
– Net Position:-760,519688,56971,950
– Gross Longs:489,6053,713,618432,020
– Gross Shorts:1,250,1243,025,049360,070
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.082.989.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-12.04.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -230,706 contracts in the data reported through Tuesday. This was a weekly reduction of -15,056 contracts from the previous week which had a total of -215,650 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.6 percent. The commercials are Bullish-Extreme with a score of 93.9 percent and the small traders (not shown in chart) are Bullish with a score of 64.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.776.69.0
– Percent of Open Interest Shorts:23.262.312.7
– Net Position:-230,706313,523-82,817
– Gross Longs:279,7531,686,833197,906
– Gross Shorts:510,4591,373,310280,723
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.693.964.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.40.3-12.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -113,371 contracts in the data reported through Tuesday. This was a weekly advance of 29,415 contracts from the previous week which had a total of -142,786 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 44.0 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.971.814.4
– Percent of Open Interest Shorts:20.867.610.6
– Net Position:-113,37159,06354,308
– Gross Longs:185,5811,029,694205,953
– Gross Shorts:298,952970,631151,645
– Long to Short Ratio:0.6 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.033.988.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.5-10.80.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -334,876 contracts in the data reported through Tuesday. This was a weekly lift of 6,328 contracts from the previous week which had a total of -341,204 net contracts.

This 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 50.4 percent. The commercials are Bearish with a score of 47.8 percent and the small traders (not shown in chart) are Bullish with a score of 61.6 percent.

Price Trend-Following Model: Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.979.510.2
– Percent of Open Interest Shorts:29.961.18.7
– Net Position:-334,876309,00525,871
– Gross Longs:165,7501,330,881170,951
– Gross Shorts:500,6261,021,876145,080
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.447.861.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.38.015.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
03 Feb

COT Bonds Charts: Speculator bets led by 5-Year Bonds

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 5-Year Bonds (38,211 contracts) with the Ultra Treasury Bonds (641 contracts) also having a small positive week.

The bond markets with declines in speculator bets for the week were the Fed Funds (-80,701 contracts), the 10-Year Bonds (-74,337 contracts), the SOFR 3-Months (-64,042 contracts), the Ultra 10-Year Bonds (-40,595 contracts), the 2-Year Bonds (-38,116 contracts) and the US Treasury Bonds (-8,491 contracts) also registering lower bets on the week.

Speculators Leaderboard


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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (97 percent) and the Ultra Treasury Bonds (52 percent) led the bond markets this week.

On the downside, the 10-Year Bonds (3 percent), the 2-Year Bonds (11 percent), the Ultra 10-Year Bonds (18 percent) and the 5-Year Bonds (18 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (35.2 percent) vs Fed Funds previous week (52.5 percent)
2-Year Bond (10.8 percent) vs 2-Year Bond previous week (13.2 percent)
5-Year Bond (17.6 percent) vs 5-Year Bond previous week (15.2 percent)
10-Year Bond (2.8 percent) vs 10-Year Bond previous week (9.8 percent)
Ultra 10-Year Bond (17.9 percent) vs Ultra 10-Year Bond previous week (25.3 percent)
US Treasury Bond (35.6 percent) vs US Treasury Bond previous week (38.5 percent)
Ultra US Treasury Bond (52.2 percent) vs Ultra US Treasury Bond previous week (51.9 percent)
SOFR 3-Months (96.7 percent) vs SOFR 3-Months previous week (100.0 percent)

 

Ultra 10-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (16 percent) and the 5-Year Bonds (12 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (7 percent) and the  are the next highest positive movers in the latest trends data.

The Fed Funds (-24 percent), the Ultra Treasury Bonds (-16 percent) and the 10-Year Bonds (-16 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-24.0 percent) vs Fed Funds previous week (17.9 percent)
2-Year Bond (-1.0 percent) vs 2-Year Bond previous week (5.8 percent)
5-Year Bond (12.5 percent) vs 5-Year Bond previous week (7.0 percent)
10-Year Bond (-16.0 percent) vs 10-Year Bond previous week (-21.3 percent)
Ultra 10-Year Bond (15.6 percent) vs Ultra 10-Year Bond previous week (25.0 percent)
US Treasury Bond (0.2 percent) vs US Treasury Bond previous week (2.5 percent)
Ultra US Treasury Bond (-15.9 percent) vs Ultra US Treasury Bond previous week (-15.8 percent)
SOFR 3-Months (6.6 percent) vs SOFR 3-Months previous week (2.6 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of 705,145 contracts in the data reported through Tuesday. This was a weekly decrease of -64,042 contracts from the previous week which had a total of 769,187 net contracts.

This 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 96.7 percent. The commercials are Bearish-Extreme with a score of 3.3 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. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.350.70.3
– Percent of Open Interest Shorts:12.657.50.3
– Net Position:705,145-701,186-3,959
– Gross Longs:2,012,0565,282,69828,810
– Gross Shorts:1,306,9115,983,88432,769
– Long to Short Ratio:1.5 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):96.73.385.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.6-6.71.0

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -156,080 contracts in the data reported through Tuesday. This was a weekly fall of -80,701 contracts from the previous week which had a total of -75,379 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.2 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bullish with a score of 64.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.570.11.4
– Percent of Open Interest Shorts:18.261.72.0
– Net Position:-156,080169,562-13,482
– Gross Longs:213,1151,419,26027,738
– Gross Shorts:369,1951,249,69841,220
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.265.864.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.023.90.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -1,307,001 contracts in the data reported through Tuesday. This was a weekly fall of -38,116 contracts from the previous week which had a total of -1,268,885 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.8 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.1 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.283.16.6
– Percent of Open Interest Shorts:42.553.43.1
– Net Position:-1,307,0011,167,338139,663
– Gross Longs:361,7003,262,504260,468
– Gross Shorts:1,668,7012,095,166120,805
– Long to Short Ratio:0.2 to 11.6 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.887.997.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.00.72.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -1,192,978 contracts in the data reported through Tuesday. This was a weekly advance of 38,211 contracts from the previous week which had a total of -1,231,189 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.6 percent. The commercials are Bullish with a score of 78.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.57.2
– Percent of Open Interest Shorts:28.166.04.6
– Net Position:-1,192,9781,042,055150,923
– Gross Longs:474,6044,958,885426,265
– Gross Shorts:1,667,5823,916,830275,342
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.678.694.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-14.60.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -859,015 contracts in the data reported through Tuesday. This was a weekly reduction of -74,337 contracts from the previous week which had a total of -784,678 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.8 percent. The commercials are Bullish-Extreme with a score of 98.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.0 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.179.68.7
– Percent of Open Interest Shorts:28.262.47.7
– Net Position:-859,015810,79248,223
– Gross Longs:476,8613,765,976411,708
– Gross Shorts:1,335,8762,955,184363,485
– Long to Short Ratio:0.4 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.898.584.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.021.9-0.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -179,110 contracts in the data reported through Tuesday. This was a weekly decrease of -40,595 contracts from the previous week which had a total of -138,515 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.9 percent. The commercials are Bullish-Extreme with a score of 87.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.9 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.275.68.9
– Percent of Open Interest Shorts:22.762.313.7
– Net Position:-179,110280,254-101,144
– Gross Longs:298,9511,591,383186,641
– Gross Shorts:478,0611,311,129287,785
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.987.353.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.6-12.1-15.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -137,502 contracts in the data reported through Tuesday. This was a weekly reduction of -8,491 contracts from the previous week which had a total of -129,011 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.6 percent. The commercials are Bearish with a score of 40.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.8 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.272.314.5
– Percent of Open Interest Shorts:21.966.910.2
– Net Position:-137,50276,62660,876
– Gross Longs:174,6071,031,332206,676
– Gross Shorts:312,109954,706145,800
– Long to Short Ratio:0.6 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.640.692.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.2-8.616.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -330,468 contracts in the data reported through Tuesday. This was a weekly rise of 641 contracts from the previous week which had a total of -331,109 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.2 percent. The commercials are Bullish with a score of 52.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.5 percent.

Price Trend-Following Model: Strong Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.780.010.0
– Percent of Open Interest Shorts:29.860.89.2
– Net Position:-330,468317,38113,087
– Gross Longs:159,5811,318,459165,201
– Gross Shorts:490,0491,001,078152,114
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.252.049.5
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.923.5-7.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
20 Jan

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the Fed Funds (70,133 contracts) with the SOFR 3-Months (65,855 contracts), the 2-Year Bonds (36,150 contracts), the US Treasury Bonds (28,000 contracts) and the Ultra 10-Year Bonds (13,627 contracts) also showing positive weeks.

The bond markets with decreases in speculator bets for the week were the 10-Year Bonds (-102,365 contracts), the 5-Year Bonds (-26,655 contracts) and the Ultra Treasury Bonds (-9,423 contracts) also registering lower bets on the week.

Bonds – Speculators Leaderboard

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

Strength Scores led by SOFR 3-Months & Fed Funds

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

On the downside, the 10-Year Bonds (0 percent), the 5-Year Bonds (17 percent) and the 2-Year Bonds (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the Ultra 10-Year Bonds (21 percent).

Strength Statistics:
Fed Funds (54.4 percent) vs Fed Funds previous week (39.5 percent)
2-Year Bond (17.5 percent) vs 2-Year Bond previous week (15.2 percent)
5-Year Bond (17.4 percent) vs 5-Year Bond previous week (19.1 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (9.6 percent)
Ultra 10-Year Bond (21.4 percent) vs Ultra 10-Year Bond previous week (18.9 percent)
US Treasury Bond (39.0 percent) vs US Treasury Bond previous week (29.2 percent)
Ultra US Treasury Bond (54.1 percent) vs Ultra US Treasury Bond previous week (57.9 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (96.6 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (20 percent) and the Fed Funds (19 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (17 percent) are the next highest positive mover in the latest trends data.

The 10-Year Bonds (-24 percent) and the Ultra Treasury Bonds (-2 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (18.6 percent) vs Fed Funds previous week (14.4 percent)
2-Year Bond (17.5 percent) vs 2-Year Bond previous week (3.2 percent)
5-Year Bond (14.9 percent) vs 5-Year Bond previous week (14.6 percent)
10-Year Bond (-23.6 percent) vs 10-Year Bond previous week (-9.5 percent)
Ultra 10-Year Bond (19.5 percent) vs Ultra 10-Year Bond previous week (15.2 percent)
US Treasury Bond (0.8 percent) vs US Treasury Bond previous week (-18.7 percent)
Ultra US Treasury Bond (-2.4 percent) vs Ultra US Treasury Bond previous week (6.5 percent)
SOFR 3-Months (12.5 percent) vs SOFR 3-Months previous week (8.2 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of 751,218 contracts in the data reported through Tuesday. This was a weekly increase of 65,855 contracts from the previous week which had a total of 685,363 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.4 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.750.00.3
– Percent of Open Interest Shorts:12.257.40.4
– Net Position:751,218-744,978-6,240
– Gross Longs:1,980,3305,041,09532,482
– Gross Shorts:1,229,1125,786,07338,722
– Long to Short Ratio:1.6 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.084.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-12.4-1.7

 

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 -66,060 contracts in the data reported through Tuesday. This was a weekly increase of 70,133 contracts from the previous week which had a total of -136,193 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.4 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 54.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.665.92.0
– Percent of Open Interest Shorts:17.261.23.1
– Net Position:-66,06084,651-18,591
– Gross Longs:245,7751,193,99236,694
– Gross Shorts:311,8351,109,34155,285
– Long to Short Ratio:0.8 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.447.754.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.6-17.1-13.0

 

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 -1,202,507 contracts in the data reported through Tuesday. This was a weekly lift of 36,150 contracts from the previous week which had a total of -1,238,657 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.5 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.3 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.280.96.4
– Percent of Open Interest Shorts:42.052.93.4
– Net Position:-1,202,5071,088,522113,985
– Gross Longs:437,0463,153,891248,329
– Gross Shorts:1,639,5532,065,369134,344
– Long to Short Ratio:0.3 to 11.5 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.582.287.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.5-17.8-10.4

 

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 -1,196,837 contracts in the data reported through Tuesday. This was a weekly lowering of -26,655 contracts from the previous week which had a total of -1,170,182 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.4 percent. The commercials are Bullish with a score of 78.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.57.3
– Percent of Open Interest Shorts:28.265.84.8
– Net Position:-1,196,8371,045,883150,954
– Gross Longs:470,2604,939,008432,568
– Gross Shorts:1,667,0973,893,125281,614
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.478.894.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.9-18.13.0

 

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 -889,385 contracts in the data reported through Tuesday. This was a weekly lowering of -102,365 contracts from the previous week which had a total of -787,020 net contracts.

This 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 88.0 percent.

Price Trend-Following Model: Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.980.98.7
– Percent of Open Interest Shorts:27.663.57.3
– Net Position:-889,385822,77566,610
– Gross Longs:421,5323,836,497411,684
– Gross Shorts:1,310,9173,013,722345,074
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.088.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.630.43.1

 

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 -160,172 contracts in the data reported through Tuesday. This was a weekly gain of 13,627 contracts from the previous week which had a total of -173,799 net contracts.

This 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 21.4 percent. The commercials are Bullish with a score of 78.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.973.59.7
– Percent of Open Interest Shorts:23.562.213.3
– Net Position:-160,172236,238-76,066
– Gross Longs:332,2321,539,371203,162
– Gross Shorts:492,4041,303,133279,228
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.478.568.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.5-20.3-3.4

 

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 -127,752 contracts in the data reported through Tuesday. This was a weekly boost of 28,000 contracts from the previous week which had a total of -155,752 net contracts.

This 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 39.0 percent. The commercials are Bearish with a score of 37.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Price Trend-Following Model: Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.673.313.6
– Percent of Open Interest Shorts:21.468.49.6
– Net Position:-127,75270,14657,606
– Gross Longs:181,5581,056,607195,609
– Gross Shorts:309,310986,461138,003
– Long to Short Ratio:0.6 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.037.290.4
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.8-4.77.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -322,618 contracts in the data reported through Tuesday. This was a weekly decrease of -9,423 contracts from the previous week which had a total of -313,195 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.1 percent. The commercials are Bearish with a score of 46.3 percent and the small traders (not shown in chart) are Bullish with a score of 52.8 percent.

Price Trend-Following Model: Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.879.810.1
– Percent of Open Interest Shorts:29.061.59.1
– Net Position:-322,618306,07416,544
– Gross Longs:165,1011,339,541170,046
– Gross Shorts:487,7191,033,467153,502
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.146.352.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.46.2-6.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
13 Jan

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (179,262 contracts) with the 5-Year Bonds (119,278 contracts), the Ultra 10-Year Bonds (75,655 contracts), the 10-Year Bonds (45,643 contracts) and the 2-Year Bonds (4,382 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the US Treasury Bonds (-15,127 contracts), the Ultra Treasury Bonds (-10,331 contracts) and the Fed Funds (-4,866 contracts) also registering lower bets on the week.

Bonds – Speculators Leaderboard

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

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (98 percent) and the Ultra Treasury Bonds (58 percent) lead the bond markets this week.

On the downside, the 10-Year Bonds (6 percent), the 2-Year Bonds (15 percent), the Ultra 10-Year Bonds (19 percent) and the 5-Year Bonds (19 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (39.5 percent) vs Fed Funds previous week (40.5 percent)
2-Year Bond (15.2 percent) vs 2-Year Bond previous week (14.9 percent)
5-Year Bond (19.1 percent) vs 5-Year Bond previous week (11.5 percent)
10-Year Bond (6.1 percent) vs 10-Year Bond previous week (1.7 percent)
Ultra 10-Year Bond (18.9 percent) vs Ultra 10-Year Bond previous week (5.2 percent)
US Treasury Bond (29.2 percent) vs US Treasury Bond previous week (34.5 percent)
Ultra US Treasury Bond (57.9 percent) vs Ultra US Treasury Bond previous week (62.0 percent)
SOFR 3-Months (98.3 percent) vs SOFR 3-Months previous week (88.7 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (15 percent) and the Ultra 10-Year Bonds (15 percent) lead the past six weeks trends for bonds. The Fed Funds (14 percent) is the next highest positive mover in the latest trends data.

The US Treasury Bonds (-19 percent) and the 10-Year Bonds (-10 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (14.4 percent) vs Fed Funds previous week (3.8 percent)
2-Year Bond (3.2 percent) vs 2-Year Bond previous week (9.1 percent)
5-Year Bond (14.6 percent) vs 5-Year Bond previous week (11.5 percent)
10-Year Bond (-9.9 percent) vs 10-Year Bond previous week (-16.9 percent)
Ultra 10-Year Bond (15.2 percent) vs Ultra 10-Year Bond previous week (-2.7 percent)
US Treasury Bond (-18.7 percent) vs US Treasury Bond previous week (-14.2 percent)
Ultra US Treasury Bond (6.5 percent) vs Ultra US Treasury Bond previous week (8.0 percent)
SOFR 3-Months (8.4 percent) vs SOFR 3-Months previous week (0.3 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of 685,363 contracts in the data reported through Tuesday. This was a weekly boost of 179,262 contracts from the previous week which had a total of 506,101 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 98.3 percent. The commercials are Bearish-Extreme with a score of 2.1 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. The current action for the model is considered to be: Hold – Maintain Long Position.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.950.90.3
– Percent of Open Interest Shorts:11.957.80.4
– Net Position:685,363-674,767-10,596
– Gross Longs:1,854,2705,002,61431,668
– Gross Shorts:1,168,9075,677,38142,264
– Long to Short Ratio:1.6 to 10.9 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.32.182.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.4-7.9-4.8

 

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 -136,193 contracts in the data reported through Tuesday. This was a weekly decline of -4,866 contracts from the previous week which had a total of -131,327 net contracts.

This 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 39.5 percent. The commercials are Bullish with a score of 60.0 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.269.62.4
– Percent of Open Interest Shorts:18.560.82.8
– Net Position:-136,193142,645-6,452
– Gross Longs:165,1551,131,77738,635
– Gross Shorts:301,348989,13245,087
– Long to Short Ratio:0.5 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.560.078.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.4-16.520.1

 

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 -1,238,657 contracts in the data reported through Tuesday. This was a weekly gain of 4,382 contracts from the previous week which had a total of -1,243,039 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.2 percent. The commercials are Bullish-Extreme with a score of 83.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.0 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.280.46.8
– Percent of Open Interest Shorts:43.951.03.4
– Net Position:-1,238,6571,109,623129,034
– Gross Longs:421,9933,038,980256,226
– Gross Shorts:1,660,6501,929,357127,192
– Long to Short Ratio:0.3 to 11.6 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.283.793.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.2-2.3-7.0

 

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 -1,170,182 contracts in the data reported through Tuesday. This was a weekly boost of 119,278 contracts from the previous week which had a total of -1,289,460 net contracts.

This 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 19.1 percent. The commercials are Bullish with a score of 76.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.1 percent.

Price Trend-Following Model: Strong Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.683.57.6
– Percent of Open Interest Shorts:27.866.14.8
– Net Position:-1,170,1821,008,597161,585
– Gross Longs:443,3014,841,923438,210
– Gross Shorts:1,613,4833,833,326276,625
– Long to Short Ratio:0.3 to 11.3 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.176.197.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.6-17.83.0

 

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 -787,020 contracts in the data reported through Tuesday. This was a weekly boost of 45,643 contracts from the previous week which had a total of -832,663 net contracts.

This 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 6.1 percent. The commercials are Bullish-Extreme with a score of 92.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.7 percent.

Price Trend-Following Model: Strong Uptrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.179.48.9
– Percent of Open Interest Shorts:27.063.87.6
– Net Position:-787,020726,48860,532
– Gross Longs:469,9643,695,263414,385
– Gross Shorts:1,256,9842,968,775353,853
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.192.586.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.912.51.8

 

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 -173,799 contracts in the data reported through Tuesday. This was a weekly boost of 75,655 contracts from the previous week which had a total of -249,454 net contracts.

This 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 18.9 percent. The commercials are Bullish-Extreme with a score of 80.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.9 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.573.79.7
– Percent of Open Interest Shorts:23.862.013.0
– Net Position:-173,799244,692-70,893
– Gross Longs:324,7871,545,552202,935
– Gross Shorts:498,5861,300,860273,828
– Long to Short Ratio:0.7 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.980.271.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.2-16.4-1.0

 

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 -155,752 contracts in the data reported through Tuesday. This was a weekly fall of -15,127 contracts from the previous week which had a total of -140,625 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.2 percent. The commercials are Bearish with a score of 46.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Price Trend-Following Model: Strong Uptrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.373.613.6
– Percent of Open Interest Shorts:23.067.09.5
– Net Position:-155,75296,15159,601
– Gross Longs:178,7141,068,735197,999
– Gross Shorts:334,466972,584138,398
– Long to Short Ratio:0.5 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.246.991.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.716.66.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -313,195 contracts in the data reported through Tuesday. This was a weekly fall of -10,331 contracts from the previous week which had a total of -302,864 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.9 percent. The commercials are Bearish with a score of 38.3 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.

Price Trend-Following Model: Strong Uptrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.280.610.0
– Percent of Open Interest Shorts:27.963.38.6
– Net Position:-313,195290,22122,974
– Gross Longs:154,3391,352,257167,038
– Gross Shorts:467,5341,062,036144,064
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.938.358.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.5-14.712.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
17 Dec

COT Bonds Charts: Speculator Bets led higher by SOFR 3-Months & 2-Year Bonds

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (206,446 contracts) with the 2-Year Bonds (116,542 contracts), the 5-Year Bonds (89,307 contracts), the 10-Year Bonds (79,525 contracts) and the Ultra Treasury Bonds (23,682 contracts) recording strong positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-8,621 contracts), the US Treasury Bonds (-6,180 contracts) and the Fed Funds (-6,043 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-12-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months11,214,870100718,226100-715,0810-3,14586
FedFunds1,493,91545-159,19735172,72366-13,52664
2-Year3,950,41789-1,359,47471,223,11392136,36196
Long T-Bond1,308,16462-136,25936100,5754935,68474
10-Year4,475,71673-556,93128520,6846836,24781
5-Year5,737,03485-1,340,12081,206,87191133,24996

 

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (100 percent) and the Ultra Treasury Bonds (66 percent) lead the bond markets this week.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (7 percent) and the 5-Year Bonds (8 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (34.5 percent) vs Fed Funds previous week (35.8 percent)
2-Year Bond (7.5 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (8.2 percent) vs 5-Year Bond previous week (2.5 percent)
10-Year Bond (28.4 percent) vs 10-Year Bond previous week (20.7 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.6 percent)
US Treasury Bond (36.0 percent) vs US Treasury Bond previous week (38.2 percent)
Ultra US Treasury Bond (66.0 percent) vs Ultra US Treasury Bond previous week (56.5 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (89.0 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (25 percent) and the Ultra Treasury Bonds (18 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (7 percent) and the  are the next highest positive movers in the latest trends data.

The 5-Year Bonds (-10 percent) and the Ultra 10-Year Bonds (-4 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (4.0 percent) vs Fed Funds previous week (11.3 percent)
2-Year Bond (4.9 percent) vs 2-Year Bond previous week (-3.3 percent)
5-Year Bond (-9.5 percent) vs 5-Year Bond previous week (-26.9 percent)
10-Year Bond (6.9 percent) vs 10-Year Bond previous week (-7.1 percent)
Ultra 10-Year Bond (-4.4 percent) vs Ultra 10-Year Bond previous week (-3.3 percent)
US Treasury Bond (6.7 percent) vs US Treasury Bond previous week (2.1 percent)
Ultra US Treasury Bond (17.6 percent) vs Ultra US Treasury Bond previous week (18.9 percent)
SOFR 3-Months (25.1 percent) vs SOFR 3-Months previous week (12.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 718,226 contracts in the data reported through Tuesday. This was a weekly increase of 206,446 contracts from the previous week which had a total of 511,780 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.852.90.2
– Percent of Open Interest Shorts:14.459.20.3
– Net Position:718,226-715,081-3,145
– Gross Longs:2,328,1645,929,21126,487
– Gross Shorts:1,609,9386,644,29229,632
– Long to Short Ratio:1.4 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.086.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.1-25.0-1.7

 

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 -159,197 contracts in the data reported through Tuesday. This was a weekly decrease of -6,043 contracts from the previous week which had a total of -153,154 net contracts.

This 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 34.5 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bullish with a score of 64.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.775.92.0
– Percent of Open Interest Shorts:19.464.32.9
– Net Position:-159,197172,723-13,526
– Gross Longs:129,9341,133,26530,437
– Gross Shorts:289,131960,54243,963
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.566.464.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.0-6.220.4

 

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 -1,359,474 contracts in the data reported through Tuesday. This was a weekly boost of 116,542 contracts from the previous week which had a total of -1,476,016 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.5 percent. The commercials are Bullish-Extreme with a score of 91.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.8 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.381.66.6
– Percent of Open Interest Shorts:44.750.63.2
– Net Position:-1,359,4741,223,113136,361
– Gross Longs:405,7993,222,184261,377
– Gross Shorts:1,765,2731,999,071125,016
– Long to Short Ratio:0.2 to 11.6 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.591.995.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.9-6.44.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,340,120 contracts in the data reported through Tuesday. This was a weekly lift of 89,307 contracts from the previous week which had a total of -1,429,427 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.2 percent. The commercials are Bullish-Extreme with a score of 90.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

Price Trend-Following Model: Strong Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.57.5
– Percent of Open Interest Shorts:31.462.55.1
– Net Position:-1,340,1201,206,871133,249
– Gross Longs:460,2114,790,468427,616
– Gross Shorts:1,800,3313,583,597294,367
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.290.695.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.57.011.8

 

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 -556,931 contracts in the data reported through Tuesday. This was a weekly increase of 79,525 contracts from the previous week which had a total of -636,456 net contracts.

This 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 28.4 percent. The commercials are Bullish with a score of 68.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.4 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.578.28.8
– Percent of Open Interest Shorts:23.966.68.0
– Net Position:-556,931520,68436,247
– Gross Longs:513,9763,501,136392,754
– Gross Shorts:1,070,9072,980,452356,507
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.468.081.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.9-1.4-12.9

 

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 -276,476 contracts in the data reported through Tuesday. This was a weekly decline of -8,621 contracts from the previous week which had a total of -267,855 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently 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 74.8 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.878.410.2
– Percent of Open Interest Shorts:24.861.113.6
– Net Position:-276,476342,405-65,929
– Gross Longs:214,0451,553,719203,035
– Gross Shorts:490,5211,211,314268,964
– Long to Short Ratio:0.4 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.074.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.411.8-20.7

 

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 -136,259 contracts in the data reported through Tuesday. This was a weekly reduction of -6,180 contracts from the previous week which had a total of -130,079 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.0 percent. The commercials are Bearish with a score of 48.5 percent and the small traders (not shown in chart) are Bullish with a score of 74.4 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.376.214.1
– Percent of Open Interest Shorts:19.768.511.4
– Net Position:-136,259100,57535,684
– Gross Longs:121,982996,728184,452
– Gross Shorts:258,241896,153148,768
– Long to Short Ratio:0.5 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.048.574.4
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-0.2-13.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -292,980 contracts in the data reported through Tuesday. This was a weekly gain of 23,682 contracts from the previous week which had a total of -316,662 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.0 percent. The commercials are Bearish with a score of 32.3 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.381.710.7
– Percent of Open Interest Shorts:25.964.09.8
– Net Position:-292,980278,28614,694
– Gross Longs:115,5771,290,226169,381
– Gross Shorts:408,5571,011,940154,687
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.032.351.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.6-14.5-13.9

 

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
10 Dec

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

By InvestMacro

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

The latest COT data is updated through Tuesday December 5th 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 & 10-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (50,336 contracts) with the 10-Year Bonds (48,898 contracts) and the Ultra Treasury Bonds (12,603 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-30,927 contracts), the 2-Year Bonds (-187,185 contracts), the US Treasury Bonds (-27,903 contracts), the SOFR 3-Months (-15,457 contracts) and the Ultra 10-Year Bonds (-9,960 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Dec-05-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,972,383100511,78099-508,6911-3,08986
FedFunds1,482,07244-153,15436165,09765-11,94368
2-Year4,111,53496-1,476,01601,334,625100141,39198
Long T-Bond1,299,43159-130,0793882,8524247,22783
10-Year4,536,41877-636,45621584,1147652,34285
5-Year5,775,24987-1,429,42731,292,57997136,84897

 

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (99 percent) and the Ultra Treasury Bonds (56 percent) were leading the bond markets this week.

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

Strength Statistics:
Fed Funds (35.8 percent) vs Fed Funds previous week (25.1 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (12.0 percent)
5-Year Bond (2.5 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (20.7 percent) vs 10-Year Bond previous week (16.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.8 percent)
US Treasury Bond (38.2 percent) vs US Treasury Bond previous week (47.9 percent)
Ultra US Treasury Bond (56.5 percent) vs Ultra US Treasury Bond previous week (51.4 percent)
SOFR 3-Months (99.1 percent) vs SOFR 3-Months previous week (100.0 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (19 percent) and the SOFR 3-Months (13 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-27 percent) and the 10-Year Bonds (-7 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-3 percent) and the 2-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (11.3 percent) vs Fed Funds previous week (19.7 percent)
2-Year Bond (-3.3 percent) vs 2-Year Bond previous week (4.2 percent)
5-Year Bond (-26.9 percent) vs 5-Year Bond previous week (-17.1 percent)
10-Year Bond (-7.1 percent) vs 10-Year Bond previous week (2.5 percent)
Ultra 10-Year Bond (-3.3 percent) vs Ultra 10-Year Bond previous week (-3.1 percent)
US Treasury Bond (2.1 percent) vs US Treasury Bond previous week (28.0 percent)
Ultra US Treasury Bond (18.9 percent) vs Ultra US Treasury Bond previous week (13.0 percent)
SOFR 3-Months (13.5 percent) vs SOFR 3-Months previous week (18.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 511,780 contracts in the data reported through Tuesday. This was a weekly lowering of -15,457 contracts from the previous week which had a total of 527,237 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 Bullish-Extreme with a score of 99.1 percent. The commercials are Bearish-Extreme with a score of 1.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.253.70.7
– Percent of Open Interest Shorts:15.558.30.8
– Net Position:511,780-508,691-3,089
– Gross Longs:2,213,0855,890,36079,464
– Gross Shorts:1,701,3056,399,05182,553
– Long to Short Ratio:1.3 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):99.11.086.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-13.3-1.8

 

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 -153,154 contracts in the data reported through Tuesday. This was a weekly increase of 50,336 contracts from the previous week which had a total of -203,490 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.8 percent. The commercials are Bullish with a score of 64.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.474.52.0
– Percent of Open Interest Shorts:19.763.42.8
– Net Position:-153,154165,097-11,943
– Gross Longs:138,7691,104,26030,097
– Gross Shorts:291,923939,16342,040
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.864.867.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-13.218.0

 

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 -1,476,016 contracts in the data reported through Tuesday. This was a weekly reduction of -187,185 contracts from the previous week which had a total of -1,288,831 net contracts.

This 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 97.7 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.682.46.6
– Percent of Open Interest Shorts:45.549.93.1
– Net Position:-1,476,0161,334,625141,391
– Gross Longs:392,7293,387,065269,898
– Gross Shorts:1,868,7452,052,440128,507
– Long to Short Ratio:0.2 to 11.7 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.097.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.32.75.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,429,427 contracts in the data reported through Tuesday. This was a weekly reduction of -30,927 contracts from the previous week which had a total of -1,398,500 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.5 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.284.27.6
– Percent of Open Interest Shorts:31.961.85.2
– Net Position:-1,429,4271,292,579136,848
– Gross Longs:413,0244,864,463438,764
– Gross Shorts:1,842,4513,571,884301,916
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.596.996.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.925.416.7

 

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 -636,456 contracts in the data reported through Tuesday. This was a weekly gain of 48,898 contracts from the previous week which had a total of -685,354 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.7 percent. The commercials are Bullish with a score of 76.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.678.39.2
– Percent of Open Interest Shorts:24.765.48.0
– Net Position:-636,456584,11452,342
– Gross Longs:482,5553,552,088415,343
– Gross Shorts:1,119,0112,967,974363,001
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.776.284.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.115.0-9.6

 

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 -267,855 contracts in the data reported through Tuesday. This was a weekly reduction of -9,960 contracts from the previous week which had a total of -257,895 net contracts.

This 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 72.3 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.578.89.9
– Percent of Open Interest Shorts:24.061.813.4
– Net Position:-267,855338,116-70,261
– Gross Longs:209,3381,569,511196,892
– Gross Shorts:477,1931,231,395267,153
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.072.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.36.9-9.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -130,079 contracts in the data reported through Tuesday. This was a weekly reduction of -27,903 contracts from the previous week which had a total of -102,176 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.2 percent. The commercials are Bearish with a score of 41.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.676.114.8
– Percent of Open Interest Shorts:18.669.711.1
– Net Position:-130,07982,85247,227
– Gross Longs:111,684989,196192,050
– Gross Shorts:241,763906,344144,823
– Long to Short Ratio:0.5 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.241.982.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.1-3.52.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -316,662 contracts in the data reported through Tuesday. This was a weekly increase of 12,603 contracts from the previous week which had a total of -329,265 net contracts.

This 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 56.5 percent. The commercials are Bearish with a score of 40.1 percent and the small traders (not shown in chart) are Bullish with a score of 58.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.382.311.0
– Percent of Open Interest Shorts:26.363.89.6
– Net Position:-316,662293,77022,892
– Gross Longs:99,0891,304,089174,300
– Gross Shorts:415,7511,010,319151,408
– Long to Short Ratio:0.2 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.540.158.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.9-22.7-1.7

 

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
02 Dec

COT Bonds Charts: Speculators boosted their 2-Year and 5-Year Bonds bets

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the 2-Year Bonds (96,571 contracts) with the 5-Year Bonds (70,133 contracts) and the SOFR 3-Months (27,337 contracts) also having positive weeks.

The bond markets with declines for the week were the Fed Funds (-54,208 contracts), the 10-Year Bonds (-27,196 contracts), the Ultra 10-Year Bonds (-23,489 contracts), the Ultra Treasury Bonds (-6,522 contracts) and the US Treasury Bonds (-2,193 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Nov-28-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,837,439100527,237100-525,3060-1,93187
FedFunds1,917,67782-203,49025220,16777-16,67758
2-Year4,080,41595-1,288,831111,141,44087147,391100
Long T-Bond1,308,13562-102,1764851,5733050,60385
10-Year4,775,11390-685,35416632,9248252,43085
5-Year6,081,13097-1,398,50041,250,88194147,61999

 

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (100 percent) leads the bond markets this week. The Ultra Treasury Bonds (51 percent) and the US Treasury Bonds (48 percent) come in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (1 percent), the 5-Year Bonds (4 percent), the 2-Year Bonds (11 percent) and the 10-Year Bonds (16 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (25.1 percent) vs Fed Funds previous week (36.7 percent)
2-Year Bond (10.7 percent) vs 2-Year Bond previous week (4.4 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (16.0 percent) vs 10-Year Bond previous week (18.6 percent)
Ultra 10-Year Bond (1.4 percent) vs Ultra 10-Year Bond previous week (5.8 percent)
US Treasury Bond (47.9 percent) vs US Treasury Bond previous week (48.7 percent)
Ultra US Treasury Bond (51.4 percent) vs Ultra US Treasury Bond previous week (54.0 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (98.4 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (28 percent) and the Fed Funds (20 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (18 percent) and the are the next highest positive movers in the latest trends data.

The 5-Year Bonds (-17 percent) and the Ultra 10-Year Bonds (-3 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (19.7 percent) vs Fed Funds previous week (19.7 percent)
2-Year Bond (4.3 percent) vs 2-Year Bond previous week (-4.7 percent)
5-Year Bond (-17.1 percent) vs 5-Year Bond previous week (-23.4 percent)
10-Year Bond (2.5 percent) vs 10-Year Bond previous week (5.3 percent)
Ultra 10-Year Bond (-3.1 percent) vs Ultra 10-Year Bond previous week (3.6 percent)
US Treasury Bond (28.0 percent) vs US Treasury Bond previous week (37.1 percent)
Ultra US Treasury Bond (13.0 percent) vs Ultra US Treasury Bond previous week (17.6 percent)
SOFR 3-Months (18.1 percent) vs SOFR 3-Months previous week (13.1 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 527,237 contracts in the data reported through Tuesday. This was a weekly lift of 27,337 contracts from the previous week which had a total of 499,900 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.8 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.553.90.3
– Percent of Open Interest Shorts:15.658.80.3
– Net Position:527,237-525,306-1,931
– Gross Longs:2,221,1155,844,32731,767
– Gross Shorts:1,693,8786,369,63333,698
– Long to Short Ratio:1.3 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.086.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.1-18.87.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -203,490 contracts in the data reported through Tuesday. This was a weekly decrease of -54,208 contracts from the previous week which had a total of -149,282 net contracts.

This 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 25.1 percent. The commercials are Bullish with a score of 76.5 percent and the small traders (not shown in chart) are Bullish with a score of 58.3 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.676.61.6
– Percent of Open Interest Shorts:18.365.12.4
– Net Position:-203,490220,167-16,677
– Gross Longs:146,6211,468,99130,251
– Gross Shorts:350,1111,248,82446,928
– Long to Short Ratio:0.4 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.176.558.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.7-20.912.3

 

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 -1,288,831 contracts in the data reported through Tuesday. This was a weekly gain of 96,571 contracts from the previous week which had a total of -1,385,402 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.7 percent. The commercials are Bullish-Extreme with a score of 86.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.680.96.9
– Percent of Open Interest Shorts:42.253.03.2
– Net Position:-1,288,8311,141,440147,391
– Gross Longs:432,1343,303,026279,784
– Gross Shorts:1,720,9652,161,586132,393
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.786.5100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.3-6.58.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,398,500 contracts in the data reported through Tuesday. This was a weekly lift of 70,133 contracts from the previous week which had a total of -1,468,633 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.5 percent. The commercials are Bullish-Extreme with a score of 93.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.2 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.582.17.3
– Percent of Open Interest Shorts:30.561.64.9
– Net Position:-1,398,5001,250,881147,619
– Gross Longs:458,9794,994,986446,125
– Gross Shorts:1,857,4793,744,105298,506
– Long to Short Ratio:0.2 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.593.999.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.113.718.2

 

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 -685,354 contracts in the data reported through Tuesday. This was a weekly decline of -27,196 contracts from the previous week which had a total of -658,158 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.0 percent. The commercials are Bullish-Extreme with a score of 82.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.777.59.0
– Percent of Open Interest Shorts:25.164.27.9
– Net Position:-685,354632,92452,430
– Gross Longs:510,9933,700,892431,609
– Gross Shorts:1,196,3473,067,968379,179
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.082.484.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.52.4-9.6

 

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 -257,895 contracts in the data reported through Tuesday. This was a weekly decline of -23,489 contracts from the previous week which had a total of -234,406 net contracts.

This 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 1.4 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 72.9 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.978.410.2
– Percent of Open Interest Shorts:22.662.313.6
– Net Position:-257,895327,143-69,248
– Gross Longs:200,1481,587,632206,483
– Gross Shorts:458,0431,260,489275,731
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.4100.072.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.111.1-22.0

 

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 -102,176 contracts in the data reported through Tuesday. This was a weekly reduction of -2,193 contracts from the previous week which had a total of -99,983 net contracts.

This 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 47.9 percent. The commercials are Bearish with a score of 30.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.275.016.1
– Percent of Open Interest Shorts:16.171.012.2
– Net Position:-102,17651,57350,603
– Gross Longs:107,866980,494210,065
– Gross Shorts:210,042928,921159,462
– Long to Short Ratio:0.5 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.930.385.3
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:28.0-32.75.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -329,265 contracts in the data reported through Tuesday. This was a weekly lowering of -6,522 contracts from the previous week which had a total of -322,743 net contracts.

This 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 51.4 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bearish with a score of 46.4 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.081.511.0
– Percent of Open Interest Shorts:26.561.510.4
– Net Position:-329,265319,4419,824
– Gross Longs:95,4301,304,297176,634
– Gross Shorts:424,695984,856166,810
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.453.046.4
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.0-2.9-25.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
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