Archive for Bonds – Page 4

15 Jul

COT Bonds Charts: Weekly Speculator Changes led by 10-Year 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 July 11th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 10-Year Treasury Bonds

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

Leading the gains for the bond markets was the 10-Year Bonds (145,541 contracts) with the Ultra Treasury Bonds (17,660 contracts), the US Treasury Bonds (8,945 contracts) , and  also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-203,437 contracts), the Fed Funds (-58,101 contracts), the 5-Year Bonds (-26,270 contracts), the 2-Year Bonds (-13,274 contracts) and the Ultra 10-Year Bonds (-8,572 contracts)also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-11-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,506,8639136,40283-14,93617-21,46676
FedFunds1,440,37041-164,85924184,51477-19,65552
2-Year3,678,629100-1,071,7000983,34110088,35997
Long T-Bond1,251,59263-130,98442101,6784729,30670
10-Year4,800,09194-635,13721636,94387-1,80673
5-Year5,257,885100-1,056,0840997,9449758,14097

 

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (83 percent) and the US Treasury Bonds (42 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (0 percent), the 2-Year Bonds (0 percent), the Ultra Treasury Bonds (7 percent) and the Ultra 10-Year Bonds (14 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (24.4 percent) vs Fed Funds previous week (33.5 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (1.1 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (2.3 percent)
10-Year Bond (20.9 percent) vs 10-Year Bond previous week (6.8 percent)
Ultra 10-Year Bond (14.2 percent) vs Ultra 10-Year Bond previous week (15.9 percent)
US Treasury Bond (42.0 percent) vs US Treasury Bond previous week (39.1 percent)
Ultra US Treasury Bond (7.3 percent) vs Ultra US Treasury Bond previous week (0.0 percent)
SOFR 3-Months (82.9 percent) vs SOFR 3-Months previous week (97.0 percent)

 

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 10-Year Bonds (21 percent) and the Fed Funds (2 percent) lead the past six weeks trends for bonds.

The US Treasury Bonds (-23 percent) and the Ultra Treasury Bonds (-14 percent) lead the downside trend scores currently with the 2-Year Bonds (-9 percent) and the Ultra 10-Year Bonds (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (2.4 percent) vs Fed Funds previous week (-2.9 percent)
2-Year Bond (-8.8 percent) vs 2-Year Bond previous week (-14.5 percent)
5-Year Bond (-6.3 percent) vs 5-Year Bond previous week (-8.3 percent)
10-Year Bond (20.9 percent) vs 10-Year Bond previous week (-0.9 percent)
Ultra 10-Year Bond (-7.7 percent) vs Ultra 10-Year Bond previous week (3.7 percent)
US Treasury Bond (-23.1 percent) vs US Treasury Bond previous week (-31.5 percent)
Ultra US Treasury Bond (-13.7 percent) vs Ultra US Treasury Bond previous week (-17.2 percent)
SOFR 3-Months (-0.5 percent) vs SOFR 3-Months previous week (23.5 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 came in at a net position of 36,402 contracts in the data reported through Tuesday. This was a weekly lowering of -203,437 contracts from the previous week which had a total of 239,839 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.9 percent. The commercials are Bearish-Extreme with a score of 17.4 percent and the small traders (not shown in chart) are Bullish with a score of 76.1 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.759.20.3
– Percent of Open Interest Shorts:19.359.40.5
– Net Position:36,402-14,936-21,466
– Gross Longs:1,871,7335,629,34928,673
– Gross Shorts:1,835,3315,644,28550,139
– Long to Short Ratio:1.0 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.917.476.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.50.9-3.6

 

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 -164,859 contracts in the data reported through Tuesday. This was a weekly fall of -58,101 contracts from the previous week which had a total of -106,758 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.4 percent. The commercials are Bullish with a score of 77.1 percent and the small traders (not shown in chart) are Bullish with a score of 52.4 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.073.72.1
– Percent of Open Interest Shorts:15.560.93.5
– Net Position:-164,859184,514-19,655
– Gross Longs:57,9051,060,99830,921
– Gross Shorts:222,764876,48450,576
– Long to Short Ratio:0.3 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.477.152.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.4-0.9-19.3

 

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 -1,071,700 contracts in the data reported through Tuesday. This was a weekly decrease of -13,274 contracts from the previous week which had a total of -1,058,426 net contracts.

This 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 96.8 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.681.66.7
– Percent of Open Interest Shorts:39.754.94.3
– Net Position:-1,071,700983,34188,359
– Gross Longs:390,4693,003,415246,614
– Gross Shorts:1,462,1692,020,074158,255
– Long to Short Ratio:0.3 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.096.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.89.51.7

 

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 -1,056,084 contracts in the data reported through Tuesday. This was a weekly reduction of -26,270 contracts from the previous week which had a total of -1,029,814 net contracts.

This 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 97.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.0 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.183.97.2
– Percent of Open Interest Shorts:28.264.96.1
– Net Position:-1,056,084997,94458,140
– Gross Longs:425,7794,410,220377,047
– Gross Shorts:1,481,8633,412,276318,907
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.497.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.36.8-0.9

 

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 -635,137 contracts in the data reported through Tuesday. This was a weekly gain of 145,541 contracts from the previous week which had a total of -780,678 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 with a score of 20.9 percent. The commercials are Bullish-Extreme with a score of 87.1 percent and the small traders (not shown in chart) are Bullish with a score of 73.1 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.879.18.1
– Percent of Open Interest Shorts:24.065.88.2
– Net Position:-635,137636,943-1,806
– Gross Longs:518,2053,797,358389,650
– Gross Shorts:1,153,3423,160,415391,456
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.987.173.1
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.9-12.9-20.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -148,473 contracts in the data reported through Tuesday. This was a weekly decline of -8,572 contracts from the previous week which had a total of -139,901 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.2 percent. The commercials are Bullish-Extreme with a score of 85.2 percent and the small traders (not shown in chart) are Bullish with a score of 60.6 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.578.810.0
– Percent of Open Interest Shorts:18.065.115.2
– Net Position:-148,473238,401-89,928
– Gross Longs:165,4361,371,281174,306
– Gross Shorts:313,9091,132,880264,234
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.285.260.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.714.6-17.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -130,984 contracts in the data reported through Tuesday. This was a weekly boost of 8,945 contracts from the previous week which had a total of -139,929 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.0 percent. The commercials are Bearish with a score of 46.9 percent and the small traders (not shown in chart) are Bullish with a score of 69.7 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.278.414.4
– Percent of Open Interest Shorts:16.770.312.1
– Net Position:-130,984101,67829,306
– Gross Longs:78,154981,658180,701
– Gross Shorts:209,138879,980151,395
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.046.969.7
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.131.9-13.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -432,912 contracts in the data reported through Tuesday. This was a weekly advance of 17,660 contracts from the previous week which had a total of -450,572 net contracts.

This 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 7.3 percent. The commercials are Bullish-Extreme with a score of 89.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.1 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.482.811.4
– Percent of Open Interest Shorts:33.758.27.7
– Net Position:-432,912375,82857,084
– Gross Longs:82,0321,264,189174,380
– Gross Shorts:514,944888,361117,296
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.389.491.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.717.7-0.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
08 Jul

COT Bonds Charts: Speculator bets led by 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 Monday July 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

The only market with gains for the bond category was the 10-Year Bonds with a total rise of 20,321 contracts.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-44,151 contracts), the 2-Year Bonds (-44,022 contracts), 5-Year Bonds (-31,326 contracts), the US Treasury Bonds (-24,681 contracts), the Ultra Treasury Bonds (-26,881 contracts), the Fed Funds (-17,553 contracts) and the Ultra 10-Year Bonds (-8,713 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-03-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,300,04289239,83997-233,4362-6,40384
FedFunds1,414,52539-106,75834115,92166-9,16373
2-Year3,667,737100-1,058,4260970,60210087,82497
Long T-Bond1,242,91863-139,92939106,7424933,18773
10-Year4,737,76291-780,6787719,9099660,76987
5-Year5,080,61099-1,029,81401,026,6871003,12782

 

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 (97 percent). The US Treasury Bonds (39 percent) and the Fed Funds (34 percent) come in as the next highest in the weekly strength scores.

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

Strength Statistics:
Fed Funds (33.5 percent) vs Fed Funds previous week (36.3 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.8 percent)
5-Year Bond (0.5 percent) vs 5-Year Bond previous week (3.3 percent)
10-Year Bond (6.8 percent) vs 10-Year Bond previous week (4.8 percent)
Ultra 10-Year Bond (15.9 percent) vs Ultra 10-Year Bond previous week (17.7 percent)
US Treasury Bond (39.1 percent) vs US Treasury Bond previous week (47.1 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (11.1 percent)
SOFR 3-Months (97.0 percent) vs SOFR 3-Months previous week (100.0 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (24 percent) and the Ultra 10-Year Bonds (4 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (-1 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-31 percent), the Ultra Treasury Bonds (-17 percent) and the 2-Year Bonds (-15 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-2.9 percent) vs Fed Funds previous week (-3.4 percent)
2-Year Bond (-14.7 percent) vs 2-Year Bond previous week (-14.0 percent)
5-Year Bond (-8.5 percent) vs 5-Year Bond previous week (-6.6 percent)
10-Year Bond (-0.9 percent) vs 10-Year Bond previous week (-10.5 percent)
Ultra 10-Year Bond (3.7 percent) vs Ultra 10-Year Bond previous week (11.2 percent)
US Treasury Bond (-31.5 percent) vs US Treasury Bond previous week (-17.5 percent)
Ultra US Treasury Bond (-17.2 percent) vs Ultra US Treasury Bond previous week (-14.4 percent)
SOFR 3-Months (23.5 percent) vs SOFR 3-Months previous week (31.1 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 239,839 contracts in the data reported through Tuesday. This was a weekly decline of -44,151 contracts from the previous week which had a total of 283,990 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 97.0 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 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:20.258.60.3
– Percent of Open Interest Shorts:17.661.10.4
– Net Position:239,839-233,436-6,403
– Gross Longs:1,880,5775,453,30028,213
– Gross Shorts:1,640,7385,686,73634,616
– Long to Short Ratio:1.1 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):97.02.184.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.5-23.90.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -106,758 contracts in the data reported through Tuesday. This was a weekly reduction of -17,553 contracts from the previous week which had a total of -89,205 net contracts.

This 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 33.5 percent. The commercials are Bullish with a score of 66.3 percent and the small traders (not shown in chart) are Bullish with a score of 73.0 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.572.02.5
– Percent of Open Interest Shorts:14.063.83.1
– Net Position:-106,758115,921-9,163
– Gross Longs:91,6101,018,37935,112
– Gross Shorts:198,368902,45844,275
– Long to Short Ratio:0.5 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.566.373.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.91.418.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,058,426 contracts in the data reported through Tuesday. This was a weekly reduction of -44,022 contracts from the previous week which had a total of -1,014,404 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently 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 96.6 percent.

Price Trend-Following Model: Strong Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.181.26.6
– Percent of Open Interest Shorts:39.954.74.2
– Net Position:-1,058,426970,60287,824
– Gross Longs:405,4592,977,688241,676
– Gross Shorts:1,463,8852,007,086153,852
– Long to Short Ratio:0.3 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.096.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.716.7-0.9

 

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 -1,029,814 contracts in the data reported through Tuesday. This was a weekly reduction of -31,326 contracts from the previous week which had a total of -998,488 net contracts.

This 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 0.5 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 81.9 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.67.3
– Percent of Open Interest Shorts:27.164.47.3
– Net Position:-1,029,8141,026,6873,127
– Gross Longs:348,2304,297,985373,393
– Gross Shorts:1,378,0443,271,298370,266
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.5100.081.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.513.0-13.3

 

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 -780,678 contracts in the data reported through Tuesday. This was a weekly boost of 20,321 contracts from the previous week which had a total of -800,999 net contracts.

This 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 6.8 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.7 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.280.28.8
– Percent of Open Interest Shorts:25.665.07.6
– Net Position:-780,678719,90960,769
– Gross Longs:434,4563,798,675418,993
– Gross Shorts:1,215,1343,078,766358,224
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.895.986.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.94.0-6.2

 

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 -139,901 contracts in the data reported through Tuesday. This was a weekly lowering of -8,713 contracts from the previous week which had a total of -131,188 net contracts.

This 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 15.9 percent. The commercials are Bullish with a score of 76.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.9 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:9.976.811.8
– Percent of Open Interest Shorts:18.165.215.2
– Net Position:-139,901197,302-57,401
– Gross Longs:168,0891,304,780201,280
– Gross Shorts:307,9901,107,478258,681
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.976.479.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.7-8.111.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -139,929 contracts in the data reported through Tuesday. This was a weekly decrease of -24,681 contracts from the previous week which had a total of -115,248 net contracts.

This 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 39.1 percent. The commercials are Bearish with a score of 48.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.6 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.779.314.3
– Percent of Open Interest Shorts:16.970.711.6
– Net Position:-139,929106,74233,187
– Gross Longs:70,648985,219177,299
– Gross Shorts:210,577878,477144,112
– Long to Short Ratio:0.3 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.148.772.6
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.536.7-4.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -450,572 contracts in the data reported through Tuesday. This was a weekly decline of -26,881 contracts from the previous week which had a total of -423,691 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.3 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.683.611.5
– Percent of Open Interest Shorts:34.257.77.8
– Net Position:-450,572394,35456,218
– Gross Longs:69,9551,272,590174,627
– Gross Shorts:520,527878,236118,409
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.290.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.223.2-2.3

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
28 Jun

Stocks and Junk Bonds: “This Divergence Appears Meaningful”

“Everything was aligned until February 2”

By Elliott Wave International

The trends of the junk bond and stock markets tend to be correlated.

The reason why is that junk bonds and stocks are closely affiliated in the pecking order of creditors in case of default. The rank of junk bonds is only slightly higher than equities because debt involves a contract.

Given these two markets are usually correlated, it’s worth paying attention when a divergence takes place. Indeed, a divergence is in the works now. In other words, while stocks have been holding up, the price of junk bonds have been trending lower for much of the year.

Here’s a headline from a few months ago (Reuters, March 16):

Investors shun high-yield bonds on recession, banking risks

At the same time, as mentioned, the S&P 500 and especially the NASDAQ has remained elevated.

The June 16 U.S. Short Term Update, which is a thrice weekly Elliott Wave International publication, discussed this divergence via this chart and commentary:

The graph shows that junk bonds diverged relative to stocks at the January 2022 peak, when stocks started their bear market. Both trends then came into alignment during the decline as well as the countertrend rallies that were interspersed in the selloff. Everything was aligned until February 2, which is when the yield on junk bonds made a low (shown as a high on the inverted chart). Yields then started to rise but instead of stocks declining, which would keep both trends side by side, equities continued to rally. This divergence appears meaningful.

The U.S. Short Term Update goes on to say that this divergence is not meant to be used for near-term market timing. But it is an indicator to keep in mind along with other indicators as well as the Elliott wave model.

If you’re unfamiliar with Elliott wave analysis or need to re-acquaint yourself, you are encouraged to delve into the definitive text on the subject, Elliott Wave Principle: Key to Market Behavior, by Frost & Prechter.

Here’s a quote from the book:

After you have acquired an Elliott “touch,” it will be forever with you, just as a child who learns to ride a bicycle never forgets. Thereafter, catching a turn becomes a fairly common experience and not really too difficult. Furthermore, by giving you a feeling of confidence as to where you are in the progress of the market, a knowledge of Elliott can prepare you psychologically for the fluctuating nature of price movement and free you from sharing the widely practiced analytical error of forever projecting today’s trends linearly into the future. Most important, the Wave Principle often indicates in advance the relative magnitude of the next period of market progress or regress. Living in harmony with those trends can make the difference between success and failure in financial affairs.

Here’s the good news: You can read the entire online version of the book for free once you become a Club EWI member.

Club EWI is the world’s largest Elliott wave educational community and is free to join. Moreover, members enjoy free access to a wealth of Elliott wave resources on investing and trading.

Get started by following this link: Elliott Wave Principle: Key to Market Behavior — get free and unlimited access now.

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

Bonds Financial News Stock Market News
24 Jun

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

By InvestMacro

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

The latest COT data is updated through Tuesday June 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 Fed Funds & SOFR 3-Months

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

Leading the gains for the bond markets was the Fed Funds (84,512 contracts) with the SOFR 3-Months (78,952 contracts), 5-Year Bonds (76,570 contracts), the 2-Year Bonds (19,169 contracts) and  the Ultra 10-Year Bonds (1,640 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-58,144 contracts), the Ultra Treasury Bonds (-6,411 contracts), the Eurodollar (-8,627 contracts) and the US Treasury Bonds (-2,554 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jun-13-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar511,7110-11,6727423,43222-11,76097
FedFunds1,693,14163-101,64232115,60769-13,96564
2-Year3,503,880100-1,027,2762939,5879887,68997
Long T-Bond1,233,35963-102,3015166,4933435,80874
10-Year4,641,76786-749,99710681,0439268,95489
5-Year4,948,67092-958,8267931,1719227,65589

 

Strength Scores led by SOFR 3-Months & Eurodollar

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 Eurodollar (74 percent) lead the bond markets this week. The US Treasury Bonds (51 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (2 percent), the 5-Year Bonds (7 percent), the 10-Year Bonds (10 percent), Ultra 10-Year Bond (17.0 percent) and the Ultra Treasury Bonds (17 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (31.6 percent) vs Fed Funds previous week (19.4 percent)
2-Year Bond (1.7 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (6.8 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (9.7 percent) vs 10-Year Bond previous week (15.4 percent)
Ultra 10-Year Bond (17.0 percent) vs Ultra 10-Year Bond previous week (16.7 percent)
US Treasury Bond (51.3 percent) vs US Treasury Bond previous week (52.1 percent)
Ultra US Treasury Bond (17.3 percent) vs Ultra US Treasury Bond previous week (20.0 percent)
Eurodollar (73.7 percent) vs Eurodollar previous week (74.0 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (94.2 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (48 percent) and the Ultra 10-Year Bonds (16 percent) lead the past six weeks trends for bonds. The Eurodollar (1 percent) and the  are the next highest positive movers in the latest trends data.

The 2-Year Bonds (-25 percent) and the US Treasury Bonds (-10 percent) lead the downside trend scores currently with the 5-Year Bonds (-4 percent) and the Fed Funds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-3.8 percent) vs Fed Funds previous week (-21.1 percent)
2-Year Bond (-24.5 percent) vs 2-Year Bond previous week (-36.4 percent)
5-Year Bond (-4.3 percent) vs 5-Year Bond previous week (-11.1 percent)
10-Year Bond (-1.8 percent) vs 10-Year Bond previous week (5.6 percent)
Ultra 10-Year Bond (15.6 percent) vs Ultra 10-Year Bond previous week (16.7 percent)
US Treasury Bond (-9.5 percent) vs US Treasury Bond previous week (-3.4 percent)
Ultra US Treasury Bond (-1.2 percent) vs Ultra US Treasury Bond previous week (0.8 percent)
Eurodollar (1.1 percent) vs Eurodollar previous week (1.0 percent)
SOFR 3-Months (47.9 percent) vs SOFR 3-Months previous week (54.7 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -11,672 contracts in the data reported through Tuesday. This was a weekly fall of -8,627 contracts from the previous week which had a total of -3,045 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.7 percent. The commercials are Bearish with a score of 22.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.8 percent.

Price Trend-Following Model: Strong Downtrend

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

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.167.29.0
– Percent of Open Interest Shorts:25.462.611.3
– Net Position:-11,67223,432-11,760
– Gross Longs:118,404343,97845,860
– Gross Shorts:130,076320,54657,620
– Long to Short Ratio:0.9 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.722.396.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.1-1.00.1

 

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 204,698 contracts in the data reported through Tuesday. This was a weekly boost of 78,952 contracts from the previous week which had a total of 125,746 net contracts.

This 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 with a score of 79.7 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.460.11.2
– Percent of Open Interest Shorts:15.462.01.3
– Net Position:204,698-189,803-14,895
– Gross Longs:1,811,3136,267,481122,143
– Gross Shorts:1,606,6156,457,284137,038
– Long to Short Ratio:1.1 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.079.7
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:47.9-47.7-5.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -101,642 contracts in the data reported through Tuesday. This was a weekly boost of 84,512 contracts from the previous week which had a total of -186,154 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 31.6 percent. The commercials are Bullish with a score of 69.3 percent and the small traders (not shown in chart) are Bullish with a score of 63.6 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:8.771.12.7
– Percent of Open Interest Shorts:14.764.33.5
– Net Position:-101,642115,607-13,965
– Gross Longs:147,2921,204,55045,368
– Gross Shorts:248,9341,088,94359,333
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.669.363.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.81.629.0

 

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 -1,027,276 contracts in the data reported through Tuesday. This was a weekly boost of 19,169 contracts from the previous week which had a total of -1,046,445 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.7 percent. The commercials are Bullish-Extreme with a score of 98.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.5 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:11.680.97.0
– Percent of Open Interest Shorts:40.954.14.5
– Net Position:-1,027,276939,58787,689
– Gross Longs:406,8482,836,230244,127
– Gross Shorts:1,434,1241,896,643156,438
– Long to Short Ratio:0.3 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.798.096.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.525.79.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -958,826 contracts in the data reported through Tuesday. This was a weekly boost of 76,570 contracts from the previous week which had a total of -1,035,396 net contracts.

This 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 6.8 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.6 percent.

Price Trend-Following Model: Weak Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.47.3
– Percent of Open Interest Shorts:27.364.66.8
– Net Position:-958,826931,17127,655
– Gross Longs:394,4574,129,490363,566
– Gross Shorts:1,353,2833,198,319335,911
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.891.888.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.35.3-2.9

 

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 -749,997 contracts in the data reported through Tuesday. This was a weekly reduction of -58,144 contracts from the previous week which had a total of -691,853 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.7 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.5 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.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.279.99.0
– Percent of Open Interest Shorts:25.365.27.5
– Net Position:-749,997681,04368,954
– Gross Longs:425,9653,708,456415,816
– Gross Shorts:1,175,9623,027,413346,862
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.791.888.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.84.2-4.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -134,686 contracts in the data reported through Tuesday. This was a weekly rise of 1,640 contracts from the previous week which had a total of -136,326 net contracts.

This 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 17.0 percent. The commercials are Bullish with a score of 77.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.8 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:10.576.811.3
– Percent of Open Interest Shorts:18.565.015.1
– Net Position:-134,686200,704-66,018
– Gross Longs:179,2261,306,770191,631
– Gross Shorts:313,9121,106,066257,649
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.077.174.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.6-17.93.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -102,301 contracts in the data reported through Tuesday. This was a weekly decrease of -2,554 contracts from the previous week which had a total of -99,747 net contracts.

This 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 51.3 percent. The commercials are Bearish with a score of 34.3 percent and the small traders (not shown in chart) are Bullish with a score of 74.5 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.377.314.5
– Percent of Open Interest Shorts:15.671.911.6
– Net Position:-102,30166,49335,808
– Gross Longs:89,659952,842178,917
– Gross Shorts:191,960886,349143,109
– Long to Short Ratio:0.5 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.334.374.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.522.9-25.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -403,404 contracts in the data reported through Tuesday. This was a weekly lowering of -6,411 contracts from the previous week which had a total of -396,993 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.3 percent. The commercials are Bullish with a score of 71.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.682.311.7
– Percent of Open Interest Shorts:33.059.17.5
– Net Position:-403,404342,02461,380
– Gross Longs:82,6951,212,061172,397
– Gross Shorts:486,099870,037111,017
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.371.6100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.20.61.7

 

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
11 Jun

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

By InvestMacro

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

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

Weekly Speculator Changes led by 10-Year Bonds & Eurodollar

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

Leading the gains for the bond markets was the 10-Year Bonds (96,720 contracts) with the Eurodollar (34,765 contracts) and the 2-Year Bonds (9,962 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-66,703 contracts), the Ultra 10-Year Bonds (-31,783 contracts), the 5-Year Bonds (-43,222 contracts), the US Treasury Bonds (-23,013 contracts), the Ultra Treasury Bonds (-7,099 contracts) and the SOFR 3-Months (-2,917 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jun-06-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar527,3830-3,0457413,10422-10,05997
FedFunds1,482,36945-246,8589255,06491-8,20675
2-Year3,351,277100-959,9011864,8719895,030100
Long T-Bond1,249,24070-82,9265841,8622641,06478
10-Year4,578,93282-753,7019693,4199360,28287
5-Year4,850,01487-1,027,05901,016,65110010,40884

 

Strength Scores led by SOFR 3-Months & Eurodollar

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 Eurodollar (74 percent) lead the bond markets this week. The US Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 2-Year Bonds (1 percent), the 10-Year Bonds (9 percent), the Fed Funds (9 percent), the Ultra 10-Year Bond (15.4 percent) and the Ultra US Treasury Bond (15.7 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (9.4 percent) vs Fed Funds previous week (17.9 percent)
2-Year Bond (0.9 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (3.9 percent)
10-Year Bond (9.4 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (15.4 percent) vs Ultra 10-Year Bond previous week (21.9 percent)
US Treasury Bond (57.6 percent) vs US Treasury Bond previous week (65.1 percent)
Ultra US Treasury Bond (15.7 percent) vs Ultra US Treasury Bond previous week (18.7 percent)
Eurodollar (74.0 percent) vs Eurodollar previous week (73.1 percent)
SOFR 3-Months (97.8 percent) vs SOFR 3-Months previous week (98.0 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (61 percent) and the Ultra 10-Year Bonds (10 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (5 percent) is the next highest positive mover in the latest trends data.

The 2-Year Bond (-39 percent), the Fed Funds (-20 percent) and the 5-Year Bonds (-14 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-19.8 percent) vs Fed Funds previous week (-7.8 percent)
2-Year Bond (-39.1 percent) vs 2-Year Bond previous week (-37.3 percent)
5-Year Bond (-14.1 percent) vs 5-Year Bond previous week (-20.4 percent)
10-Year Bond (-1.3 percent) vs 10-Year Bond previous week (-16.5 percent)
Ultra 10-Year Bond (9.8 percent) vs Ultra 10-Year Bond previous week (19.5 percent)
US Treasury Bond (4.7 percent) vs US Treasury Bond previous week (18.6 percent)
Ultra US Treasury Bond (-3.8 percent) vs Ultra US Treasury Bond previous week (-0.4 percent)
Eurodollar (1.0 percent) vs Eurodollar previous week (0.3 percent)
SOFR 3-Months (61.3 percent) vs SOFR 3-Months previous week (54.2 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -3,045 contracts in the data reported through Tuesday. This was a weekly increase of 34,765 contracts from the previous week which had a total of -37,810 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.0 percent. The commercials are Bearish with a score of 22.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.863.69.6
– Percent of Open Interest Shorts:27.461.111.5
– Net Position:-3,04513,104-10,059
– Gross Longs:141,397335,31150,675
– Gross Shorts:144,442322,20760,734
– Long to Short Ratio:1.0 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.022.097.1
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.0-0.9-0.0

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of 40,305 contracts in the data reported through Tuesday. This was a weekly decrease of -2,917 contracts from the previous week which had a total of 43,222 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 97.8 percent. The commercials are Bearish-Extreme with a score of 3.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.2 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.061.10.4
– Percent of Open Interest Shorts:15.661.30.6
– Net Position:40,305-24,496-15,809
– Gross Longs:1,581,6306,023,02441,854
– Gross Shorts:1,541,3256,047,52057,663
– Long to Short Ratio:1.0 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):97.83.479.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:61.3-60.5-5.3

 

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 -246,858 contracts in the data reported through Tuesday. This was a weekly reduction of -66,703 contracts from the previous week which had a total of -180,155 net contracts.

This 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 9.4 percent. The commercials are Bullish-Extreme with a score of 90.5 percent and the small traders (not shown in chart) are Bullish with a score of 74.9 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.678.72.3
– Percent of Open Interest Shorts:20.261.52.9
– Net Position:-246,858255,064-8,206
– Gross Longs:52,8571,167,23534,401
– Gross Shorts:299,715912,17142,607
– Long to Short Ratio:0.2 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.490.574.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.819.18.2

 

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 -959,901 contracts in the data reported through Tuesday. This was a weekly gain of 9,962 contracts from the previous week which had a total of -969,863 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.9 percent. The commercials are Bullish-Extreme with a score of 97.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.180.97.2
– Percent of Open Interest Shorts:39.755.14.3
– Net Position:-959,901864,87195,030
– Gross Longs:370,9702,712,847240,315
– Gross Shorts:1,330,8711,847,976145,285
– Long to Short Ratio:0.3 to 11.5 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.997.8100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-39.140.616.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -1,027,059 contracts in the data reported through Tuesday. This was a weekly decline of -43,222 contracts from the previous week which had a total of -983,837 net contracts.

This 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 83.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.784.27.4
– Percent of Open Interest Shorts:27.963.37.2
– Net Position:-1,027,0591,016,65110,408
– Gross Longs:326,7954,085,049359,182
– Gross Shorts:1,353,8543,068,398348,774
– Long to Short Ratio:0.2 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.083.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.116.4-5.9

 

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 -753,701 contracts in the data reported through Tuesday. This was a weekly advance of 96,720 contracts from the previous week which had a total of -850,421 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.4 percent. The commercials are Bullish-Extreme with a score of 93.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.6 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.080.38.7
– Percent of Open Interest Shorts:25.465.17.4
– Net Position:-753,701693,41960,282
– Gross Longs:410,7773,675,457397,950
– Gross Shorts:1,164,4782,982,038337,668
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.493.186.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.30.91.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -142,577 contracts in the data reported through Tuesday. This was a weekly decline of -31,783 contracts from the previous week which had a total of -110,794 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 Bearish-Extreme with a score of 15.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bullish with a score of 69.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.576.810.9
– Percent of Open Interest Shorts:19.163.715.5
– Net Position:-142,577218,066-75,489
– Gross Longs:174,2721,275,948181,822
– Gross Shorts:316,8491,057,882257,311
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.480.969.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.8-11.01.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -82,926 contracts in the data reported through Tuesday. This was a weekly fall of -23,013 contracts from the previous week which had a total of -59,913 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.6 percent. The commercials are Bearish with a score of 25.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.275.614.0
– Percent of Open Interest Shorts:14.872.210.7
– Net Position:-82,92641,86241,064
– Gross Longs:102,025943,943175,105
– Gross Shorts:184,951902,081134,041
– Long to Short Ratio:0.6 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.625.578.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.75.4-21.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -406,999 contracts in the data reported through Tuesday. This was a weekly decrease of -7,099 contracts from the previous week which had a total of -399,900 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 Bearish-Extreme with a score of 15.7 percent. The commercials are Bullish with a score of 79.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.982.411.4
– Percent of Open Interest Shorts:33.758.07.9
– Net Position:-406,999356,43950,560
– Gross Longs:85,7911,205,231166,525
– Gross Shorts:492,790848,792115,965
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.779.290.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.84.70.2

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
06 Jun
What is the Secured Overnight Financing Rate (SOFR)?

Want to “Intimidate Everybody”? Be a Bond Market

By Elliott Wave International

Back in October 2021, we showed subscribers a chart of the “Bond Universe” — ALL bonds, from around the world, in ONE chart. Since then, as yields spiked and prices fell, the bond market has indeed been “intimidating everybody.” Watch our monthly Global Market Perspective contributor, Murray Gunn, explain more.

If a picture is worth 1,000 words, a price chart is worth 1,000 Fed statements.

On May 4, at the MoneyShow Virtual Expo, EWI’s Head of Global Research, Murray Gunn, showed an eager audience 30+ charts — many going back decades.

Murray’s point was simple: Let the charts do the talking.

And boy, do they.

We are in a Great Unwinding.

Do not miss this. (You can’t afford to.)

30 mins, free to EWI subscribers and Club members.

You can join Club EWI for free and get instant access to the video.

This article was syndicated by Elliott Wave International and was originally published under the headline Want to “Intimidate Everybody”? Be a Bond Market. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

Bonds Opinions
04 Jun

Speculators drop 2-Year, 5-Year & 10-Year Bonds bets to new record lows

By InvestMacro

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

The latest COT data is updated through Tuesday May 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 SOFR 3-Months & Ultra 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (144,765 contracts) with the Ultra 10-Year Bonds (47,285 contracts), the Ultra Treasury Bonds (9,208 contracts) and the Eurodollar (3,739 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-91,660 contracts), the 10-Year Bonds (-78,783 contracts), the 2-Year Bonds (-79,661 contracts), the 5-Year Bonds (-49,768 contracts) and the US Treasury Bonds (-16,677 contracts) also registering lower bets on the week.

Speculators drop 2-Year, 5-Year & 10-Year Bonds bets to new record lows

Highlighting the COT bonds data this week was the further rise in the record bearish speculator positions for the 2-Year, 5-Year and 10-Year bonds.

The large speculators in the 2-Year bonds sharply decreased (weekly change of -79,661 contracts) their bets for the fifth consecutive week this week. The speculative position has now added a gigantic total of -423,556 contracts to the bearish position in just the past five weeks alone. This brings the overall net position to the new all-time record bearish level of -969,863 contracts.

The 5-Year Bond speculator positions also fell once again this week by -49,768 contracts and have now declined for six consecutive weeks. The 5-Year speculator bets have added a total of -229,335 contracts to the bearish position in just the past six weeks and have established a new record bearish level of -983,837 contracts.

Large speculative 10-Year Bond positions also continued to fall this week for a second straight week. The -157,979 contract shortfall over the past two weeks has dropped the 10-Year to its own all-time record low for a second consecutive week with this week’s record at a total of -850,421 contracts.

The latest data is through Tuesday and prior to the final agreement on the debt ceiling so it will be interesting to see if there are sharp adjustments made in next week’s data with a new debt ceiling deal done.

All three bond markets saw higher futures prices to close out the week and remain off their lows of this bearish cycle despite the speculator’s historically weak sentiment. The 2-Year is higher by approximately 1.40 percent from its March 2023 low, the 5-Year is higher by approximately 3 percent from the October 2022 low while the 10-Year is higher by approximately 4.50 percent from its own October 2022 low-point.

Data Snapshot of Bond Market Traders | Columns Legend
May-30-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar560,3860-37,8107345,42223-7,61298
FedFunds1,855,85177-180,15517189,98083-9,82572
2-Year3,162,87693-969,8630885,10910084,75496
Long T-Bond1,280,46078-59,9136512,2791547,63483
10-Year4,728,27390-850,4210758,53510091,88694
5-Year4,871,72488-983,8370922,46010061,37798

 

Strength Scores led by SOFR 3-Months & Eurodollar

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 Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (65 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the Fed Funds (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (17.5 percent) vs Fed Funds previous week (28.8 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (7.5 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (4.6 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (7.6 percent)
Ultra 10-Year Bond (21.9 percent) vs Ultra 10-Year Bond previous week (12.2 percent)
US Treasury Bond (65.1 percent) vs US Treasury Bond previous week (70.5 percent)
Ultra US Treasury Bond (18.7 percent) vs Ultra US Treasury Bond previous week (14.8 percent)
Eurodollar (73.1 percent) vs Eurodollar previous week (73.0 percent)
SOFR 3-Months (98.0 percent) vs SOFR 3-Months previous week (86.3 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (54 percent) and the US Treasury Bonds (19 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (19 percent) is the next highest positive mover in the latest trends data.

The 2-Year Bond (-37.3 percent)  and the 5-Year Bonds (-21 percent) lead the downside trend scores currently with the 10-Year Bonds (-17 percent) and the Fed Funds (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-7.6 percent) vs Fed Funds previous week (9.8 percent)
2-Year Bond (-37.3 percent) vs 2-Year Bond previous week (-37.2 percent)
5-Year Bond (-21.2 percent) vs 5-Year Bond previous week (-15.9 percent)
10-Year Bond (-16.5 percent) vs 10-Year Bond previous week (-12.9 percent)
Ultra 10-Year Bond (19.5 percent) vs Ultra 10-Year Bond previous week (7.9 percent)
US Treasury Bond (18.6 percent) vs US Treasury Bond previous week (29.1 percent)
Ultra US Treasury Bond (-0.4 percent) vs Ultra US Treasury Bond previous week (-4.2 percent)
Eurodollar (0.3 percent) vs Eurodollar previous week (15.6 percent)
SOFR 3-Months (54.2 percent) vs SOFR 3-Months previous week (4.7 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week equaled a net position of -37,810 contracts in the data reported through Tuesday. This was a weekly rise of 3,739 contracts from the previous week which had a total of -41,549 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.1 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.6 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:28.861.49.8
– Percent of Open Interest Shorts:35.653.311.2
– Net Position:-37,81045,422-7,612
– Gross Longs:161,451344,05154,884
– Gross Shorts:199,261298,62962,496
– Long to Short Ratio:0.8 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.122.897.6
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.3-0.0-2.4

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of 43,222 contracts in the data reported through Tuesday. This was a weekly lift of 144,765 contracts from the previous week which had a total of -101,543 net contracts.

This 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 98.0 percent. The commercials are Bearish-Extreme with a score of 3.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.6 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.061.00.5
– Percent of Open Interest Shorts:16.661.30.6
– Net Position:43,222-28,251-14,971
– Gross Longs:1,690,8506,052,94845,501
– Gross Shorts:1,647,6286,081,19960,472
– Long to Short Ratio:1.0 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):98.03.179.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.2-53.2-7.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -180,155 contracts in the data reported through Tuesday. This was a weekly fall of -91,660 contracts from the previous week which had a total of -88,495 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.5 percent. The commercials are Bullish-Extreme with a score of 82.8 percent and the small traders (not shown in chart) are Bullish with a score of 71.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.276.92.3
– Percent of Open Interest Shorts:15.966.72.9
– Net Position:-180,155189,980-9,825
– Gross Longs:115,2761,427,18243,471
– Gross Shorts:295,4311,237,20253,296
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.582.871.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.67.34.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -969,863 contracts in the data reported through Tuesday. This was a weekly lowering of -79,661 contracts from the previous week which had a total of -890,202 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently 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 96.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.783.87.4
– Percent of Open Interest Shorts:38.355.94.7
– Net Position:-969,863885,10984,754
– Gross Longs:242,6452,651,778233,553
– Gross Shorts:1,212,5081,766,669148,799
– Long to Short Ratio:0.2 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.096.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-37.339.214.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -983,837 contracts in the data reported through Tuesday. This was a weekly lowering of -49,768 contracts from the previous week which had a total of -934,069 net contracts.

This 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 97.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.983.47.6
– Percent of Open Interest Shorts:27.164.56.3
– Net Position:-983,837922,46061,377
– Gross Longs:338,2494,064,536368,659
– Gross Shorts:1,322,0863,142,076307,282
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.097.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.220.56.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -850,421 contracts in the data reported through Tuesday. This was a weekly reduction of -78,783 contracts from the previous week which had a total of -771,638 net contracts.

This 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 93.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.779.88.8
– Percent of Open Interest Shorts:26.763.86.9
– Net Position:-850,421758,53591,886
– Gross Longs:412,5063,774,585417,126
– Gross Shorts:1,262,9273,016,050325,240
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.093.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.512.711.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -110,794 contracts in the data reported through Tuesday. This was a weekly lift of 47,285 contracts from the previous week which had a total of -158,079 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 21.9 percent. The commercials are Bullish with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.275.111.1
– Percent of Open Interest Shorts:18.864.914.7
– Net Position:-110,794170,548-59,754
– Gross Longs:203,7671,258,392185,836
– Gross Shorts:314,5611,087,844245,590
– Long to Short Ratio:0.6 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.970.678.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.5-25.012.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -59,913 contracts in the data reported through Tuesday. This was a weekly decline of -16,677 contracts from the previous week which had a total of -43,236 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.1 percent. The commercials are Bearish-Extreme with a score of 15.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.473.314.6
– Percent of Open Interest Shorts:13.172.310.9
– Net Position:-59,91312,27947,634
– Gross Longs:108,088938,620187,052
– Gross Shorts:168,001926,341139,418
– Long to Short Ratio:0.6 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.115.083.1
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.6-12.1-16.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -399,900 contracts in the data reported through Tuesday. This was a weekly rise of 9,208 contracts from the previous week which had a total of -409,108 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.7 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.581.611.9
– Percent of Open Interest Shorts:32.758.38.0
– Net Position:-399,900342,32457,576
– Gross Longs:80,3931,198,201175,098
– Gross Shorts:480,293855,877117,522
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.771.797.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.4-2.76.1

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
01 Jun

Treasury Bonds: How This Forecast is Playing Out

Here’s what happened with a shelf of support in the chart of the long bond

By Elliott Wave International

The yield on U.S. Treasury bonds trended higher from 1942 to 1981 — that’s 39 years.

Interestingly, yields (or interest rates) then trended lower for 39 years (1981 to 2020).

Thirty-nine years is quite a long time — well long enough for observers to get used to the idea of exceptionally low yields, even the Fed.

Indeed, here’s a Sept. 16, 2020 headline from the Wall Street Journal:

Fed Signals Low Rates Likely to Last Several Years

Elliott Wave International President Robert Prechter had an entirely different perspective. Here’s what he said just a week later in his Sept. 23, 2020 issue of The Elliott Wave Theorist, a monthly publication which provides analysis of major financial and cultural trends:

On September 16, Fed Chairman Powell [said] he expected short term interest rates to stay near zero as long as inflation stays below 2%, a condition he believes will maintain … through “the end of 2023.” I think there is not a chance in the world of that scenario playing out. … The probability is high that interest rates have begun a process of rising. … [emphasis added]

As we all know, interest rates or yields have risen substantially since 2020.

This chart and commentary from the May 19, 2023 Elliott Wave Theorist provide an update (Keep in mind that Elliott wave labeling is available to subscribers):

Treasury bond futures have been slipping again. As you can see in [the chart], bond prices broke a shelf of support this week and traded today at their lowest level in ten weeks. A debt crisis is brewing, and higher long term interest rates will add to the pressure.

Yes, servicing public and private debt is getting a lot more expensive. And that debt has been increasing dramatically and rapidly (CNBC, May 18):

The global debt pile grew by $8.3 trillion in the first quarter to a near-record high of $305 trillion … .

Getting back to the price pattern of the U.S. Treasury Long Bond, Elliott wave analysis can help you determine what’s next.

Of course, no method of analyzing financial markets can offer a guarantee, but Elliott Wave International knows of no other method which surpasses the usefulness of the Elliott wave model.

That said, here’s a quote from Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior:

Without Elliott, there appear to be an infinite number of possibilities for market action. What the Wave Principle provides is a means of first limiting the possibilities and then ordering the relative probabilities of possible future market paths. Elliott’s highly specific rules reduce the number of valid alternatives to a minimum. Among those, the best interpretation, sometimes called the “preferred count,” is the one that satisfies the largest number of guidelines. Other interpretations are ordered accordingly. As a result, competent analysts applying the rules and guidelines of the Wave Principle objectively should usually agree on both the list of possibilities and the order of probabilities for various possible outcomes at any particular time. That order can usually be stated with certainty. Do not assume, however, that certainty about the order of probabilities is the same as certainty about one specific outcome. Under only the rarest of circumstances do you ever know exactly what the market is going to do. You must understand and accept that even an approach that can identify high odds for a fairly specific event must be wrong some of the time.

If you’d like to read the entire online version of the book, you may do so for free once you become a member of Club EWI, the world’s largest Elliott wave educational community.

A Club EWI membership is also free.

Get started right away by following this link: Elliott Wave Principle: Key to Market Behavior — get free access.

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

Bonds Financial News
27 May

Speculators drop their 10-Year Bonds bets to lowest level on record

By InvestMacro

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

The latest COT data is updated through Tuesday May 23rd 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 & Ultra 10-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (65,278 contracts) with the Ultra 10-Year Bonds (28,348 contracts) and the US Treasury Bonds (18,345 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-79,196 contracts), the 2-Year Bonds (-36,627 contracts), the Fed Funds (-20,924 contracts), the Ultra Treasury Bonds (-20,128 contracts), the 5-Year Bonds (-10,156 contracts) and the Eurodollar (-4,665 contracts) also registering lower bets on the week.

10-Year Bonds Speculator bets hit lowest level on record

Highlighting the COT bond’s data this week is the record weakness in the 10-Year Treasury Bond contracts. The 10-Year Bond contract dropped this week by -79,196 contracts and fell for the sixth time out of the past eight weeks which has added a total of -300,060 contracts to the bearish level.

This weakness has pushed the 10-Year speculative positions to hit their most bearish level on record this week at a total of -771,638 contracts, according to CFTC data that stretches back to 1986. This eclipses the previous record of -756,316 contracts that was reached on September of 2018.

The 10-Year now joins both the 2-Year and 5-Year Treasury Bonds with current record low levels in speculator positions.

The 2-Year speculator positions fell again this week for the fourth straight week and has a new record low level position at -890,202 contracts. The 2-Year speculators have added a total of -343,895 contracts to the bearish standing in just the past four weeks.

Meanwhile, the 5-Year speculator positioning dropped again for the fifth consecutive week and hit a new record bearish position of -934,069 contracts. A total of-179,567 contracts has been added to the bearish position in the past five weeks.

The 10-Year futures price is back on the downtrend over the past three weeks after rising to touch a 7-month high in March. The futures price closed this week at 112.13 which still remains about 3.30 percent above the most recent low-point (and approximately 15-year low) that was hit in October.

Data Snapshot of Bond Market Traders | Columns Legend
May-23-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar556,2780-41,5497343,73723-2,18899
FedFunds1,735,67466-88,49529107,29273-18,79754
2-Year3,266,610100-890,2020800,37110089,83199
Long T-Bond1,299,27483-43,236713,6961239,54077
10-Year4,902,288100-771,6380682,4029589,23693
5-Year5,105,531100-934,0690882,60710051,46295

 

Strength Scores led by SOFR 3-Months & Eurodollar

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 (86 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (71 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the Ultra 10-Year Bonds (12 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.8 percent) vs Fed Funds previous week (31.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (8.3 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (6.5 percent)
US Treasury Bond (70.5 percent) vs US Treasury Bond previous week (64.5 percent)
Ultra US Treasury Bond (14.8 percent) vs Ultra US Treasury Bond previous week (23.4 percent)
Eurodollar (73.0 percent) vs Eurodollar previous week (73.1 percent)
SOFR 3-Months (86.3 percent) vs SOFR 3-Months previous week (81.0 percent)

 

US Treasury Bonds & Eurodollar 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) and the Eurodollar (16 percent) lead the past six weeks trends for bonds.

The 2-Year Bonds (-40 percent) and the 5-Year Bonds (-17 percent) lead the downside trend scores currently with the 10-Year Bonds (-14 percent) and the Ultra Treasury Bonds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (9.8 percent) vs Fed Funds previous week (9.9 percent)
2-Year Bond (-40.2 percent) vs 2-Year Bond previous week (-35.9 percent)
5-Year Bond (-16.7 percent) vs 5-Year Bond previous week (-13.9 percent)
10-Year Bond (-13.9 percent) vs 10-Year Bond previous week (-7.5 percent)
Ultra 10-Year Bond (7.9 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (29.1 percent) vs US Treasury Bond previous week (22.1 percent)
Ultra US Treasury Bond (-4.2 percent) vs Ultra US Treasury Bond previous week (8.0 percent)
Eurodollar (15.6 percent) vs Eurodollar previous week (15.7 percent)
SOFR 3-Months (4.7 percent) vs SOFR 3-Months previous week (2.8 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -41,549 contracts in the data reported through Tuesday. This was a weekly decrease of -4,665 contracts from the previous week which had a total of -36,884 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.0 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.8 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:28.161.09.9
– Percent of Open Interest Shorts:35.653.110.3
– Net Position:-41,54943,737-2,188
– Gross Longs:156,341339,28455,303
– Gross Shorts:197,890295,54757,491
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.022.898.8
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.6-18.031.2

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -101,543 contracts in the data reported through Tuesday. This was a weekly increase of 65,278 contracts from the previous week which had a total of -166,821 net contracts.

This 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 86.3 percent. The commercials are Bearish-Extreme with a score of 14.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.161.10.5
– Percent of Open Interest Shorts:17.159.90.5
– Net Position:-101,543108,863-7,320
– Gross Longs:1,568,5925,953,38745,538
– Gross Shorts:1,670,1355,844,52452,858
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):86.314.283.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.7-4.1-4.1

 

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 -88,495 contracts in the data reported through Tuesday. This was a weekly decrease of -20,924 contracts from the previous week which had a total of -67,571 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.8 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.876.51.9
– Percent of Open Interest Shorts:10.970.33.0
– Net Position:-88,495107,292-18,797
– Gross Longs:100,0271,327,98833,520
– Gross Shorts:188,5221,220,69652,317
– Long to Short Ratio:0.5 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.872.754.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.8-8.4-20.0

 

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 -890,202 contracts in the data reported through Tuesday. This was a weekly lowering of -36,627 contracts from the previous week which had a total of -853,575 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.382.47.5
– Percent of Open Interest Shorts:35.557.94.7
– Net Position:-890,202800,37189,831
– Gross Longs:270,4652,690,719244,689
– Gross Shorts:1,160,6671,890,348154,858
– Long to Short Ratio:0.2 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.098.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.240.225.6

 

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 -934,069 contracts in the data reported through Tuesday. This was a weekly fall of -10,156 contracts from the previous week which had a total of -923,913 net contracts.

This 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 95.1 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.382.07.8
– Percent of Open Interest Shorts:26.664.76.8
– Net Position:-934,069882,60751,462
– Gross Longs:423,3534,186,028396,832
– Gross Shorts:1,357,4223,303,421345,370
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.095.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.716.63.3

 

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 -771,638 contracts in the data reported through Tuesday. This was a weekly reduction of -79,196 contracts from the previous week which had a total of -692,442 net contracts.

This 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 94.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.59.3
– Percent of Open Interest Shorts:25.563.57.5
– Net Position:-771,638682,40289,236
– Gross Longs:480,0323,797,760454,534
– Gross Shorts:1,251,6703,115,358365,298
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.094.992.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.96.515.9

 

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 -158,079 contracts in the data reported through Tuesday. This was a weekly increase of 28,348 contracts from the previous week which had a total of -186,427 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 12.2 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.076.010.8
– Percent of Open Interest Shorts:19.162.515.2
– Net Position:-158,079234,828-76,749
– Gross Longs:174,2701,319,934186,701
– Gross Shorts:332,3491,085,106263,450
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.284.568.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.9-9.84.0

 

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 -43,236 contracts in the data reported through Tuesday. This was a weekly increase of 18,345 contracts from the previous week which had a total of -61,581 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.5 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bullish with a score of 77.2 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.674.414.8
– Percent of Open Interest Shorts:12.074.111.8
– Net Position:-43,2363,69639,540
– Gross Longs:112,271966,329192,516
– Gross Shorts:155,507962,633152,976
– Long to Short Ratio:0.7 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.511.977.2
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.1-23.5-17.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -409,108 contracts in the data reported through Tuesday. This was a weekly fall of -20,128 contracts from the previous week which had a total of -388,980 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.8 percent. The commercials are Bullish with a score of 76.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.5 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.580.712.2
– Percent of Open Interest Shorts:32.157.98.4
– Net Position:-409,108350,43558,673
– Gross Longs:84,0631,239,774187,318
– Gross Shorts:493,171889,339128,645
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.876.098.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.20.98.1

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
20 May
stock market investing

Bonds Speculators continue to raise record bearish bets in 2-Year and 5-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 May 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 & 10-Year Bonds

The COT bond market speculator bets were higher this week as seven out of the nine 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 SOFR 3-Months (286,007 contracts) with the 10-Year Bonds (39,256 contracts), the Ultra 10-Year Bonds (25,171 contracts), the Eurodollar (18,226 contracts), the Ultra Treasury Bonds (11,539 contracts), the US Treasury Bonds (11,548 contracts), and the Fed Funds (7,746 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-103,690 contracts) and the 5-Year Bonds (-13,271 contracts) also registering lower bets on the week.

Bonds Speculators continue to raise record bearish bets in 2-Year and the 5-Year bonds

Highlighting the COT bonds data once again this week was an increase in the record bearish speculator positions for both the 2-Year and the 5-Year bonds.

The large speculators in the 2-Year bonds sharply added to their bearish bets for a second straight week this week and for the fourth time in the past five weeks. Speculators have now added more than -100,000 contracts to the bearish position in each of the past two weeks. There has been a total of -356,734 contracts added to the overall bearish standing in the past five weeks which has taken the position from -496,841 on April 11th to a total new historical record bearish level of -853,575 contracts this week.

Meanwhile, the 5-Year Bond speculator positions only edged slightly lower this week but have now been more bearish for four straight weeks. The last four weeks have added a total of -169,411 contracts to the net speculator level and has brought the current bearish position to a record total of -923,913 contracts.

The 2-Year and 5-Years front-month futures prices were on retreat this week as were most of the bonds across the US Treasury yield curve. The 5-Year price closed at the 108.22 level but remains approximately 3 percent higher from the most recent low hit in October. The 2-Year futures price closed the week at 102.19 and only approximately 1.25 percent higher than the recent low reached in March.

Data Snapshot of Bond Market Traders | Columns Legend
May-16-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar550,1470-36,8847339,56823-2,68499
FedFunds1,585,57854-67,5713188,36871-20,79750
2-Year3,164,301100-853,5750772,39110081,18495
Long T-Bond1,236,26767-61,58165-3151061,89694
10-Year4,718,099100-692,4426570,70383121,739100
5-Year5,100,803100-923,9130872,7159951,19895

 

Strength Scores led by SOFR 3-Months & Eurodollar

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 (81 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (65 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 2-Year Bonds (0 percent), the Ultra 10-Year Bonds (6 percent) and the 10-Year Bonds (6 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (31.3 percent) vs Fed Funds previous week (30.3 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (11.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (1.3 percent)
10-Year Bond (6.1 percent) vs 10-Year Bond previous week (1.9 percent)
Ultra 10-Year Bond (6.5 percent) vs Ultra 10-Year Bond previous week (1.4 percent)
US Treasury Bond (64.5 percent) vs US Treasury Bond previous week (60.8 percent)
Ultra US Treasury Bond (23.4 percent) vs Ultra US Treasury Bond previous week (18.5 percent)
Eurodollar (73.1 percent) vs Eurodollar previous week (72.6 percent)
SOFR 3-Months (81.0 percent) vs SOFR 3-Months previous week (57.8 percent)

 

US Treasury Bonds & Eurodollar 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 (22 percent) and the Eurodollar (16 percent) lead the past six weeks trends for bonds. The Fed Funds (10 percent) and the  are the next highest positive movers in the latest trends data.

The 2-Year Bonds (-37 percent) and the 5-Year Bonds (-14 percent) leads the downside trend scores currently with the 10-Year Bonds (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (9.8 percent) vs Fed Funds previous week (11.5 percent)
2-Year Bond (-37.3 percent) vs 2-Year Bond previous week (-23.8 percent)
5-Year Bond (-14.0 percent) vs 5-Year Bond previous week (-22.4 percent)
10-Year Bond (-7.7 percent) vs 10-Year Bond previous week (-28.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (-12.2 percent)
US Treasury Bond (22.1 percent) vs US Treasury Bond previous week (5.9 percent)
Ultra US Treasury Bond (8.0 percent) vs Ultra US Treasury Bond previous week (9.0 percent)
Eurodollar (15.7 percent) vs Eurodollar previous week (14.7 percent)
SOFR 3-Months (2.8 percent) vs SOFR 3-Months previous week (-32.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -36,884 contracts in the data reported through Tuesday. This was a weekly boost of 18,226 contracts from the previous week which had a total of -55,110 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.1 percent. The commercials are Bearish with a score of 22.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:28.260.711.0
– Percent of Open Interest Shorts:34.953.511.5
– Net Position:-36,88439,568-2,684
– Gross Longs:155,249333,67560,427
– Gross Shorts:192,133294,10763,111
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.122.798.7
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.7-18.535.7

 

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 -166,821 contracts in the data reported through Tuesday. This was a weekly gain of 286,007 contracts from the previous week which had a total of -452,828 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.0 percent. The commercials are Bearish-Extreme with a score of 19.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.161.50.4
– Percent of Open Interest Shorts:16.859.80.5
– Net Position:-166,821176,705-9,884
– Gross Longs:1,503,5626,133,86141,542
– Gross Shorts:1,670,3835,957,15651,426
– Long to Short Ratio:0.9 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.019.782.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.8-2.4-2.7

 

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 -67,571 contracts in the data reported through Tuesday. This was a weekly lift of 7,746 contracts from the previous week which had a total of -75,317 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.3 percent. The commercials are Bullish with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 50.2 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.476.72.0
– Percent of Open Interest Shorts:8.771.13.3
– Net Position:-67,57188,368-20,797
– Gross Longs:69,6741,216,34731,381
– Gross Shorts:137,2451,127,97952,178
– Long to Short Ratio:0.5 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.370.650.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.8-8.3-21.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -853,575 contracts in the data reported through Tuesday. This was a weekly lowering of -103,690 contracts from the previous week which had a total of -749,885 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 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 94.7 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.282.67.2
– Percent of Open Interest Shorts:36.258.14.6
– Net Position:-853,575772,39181,184
– Gross Longs:290,5392,612,188227,803
– Gross Shorts:1,144,1141,839,797146,619
– Long to Short Ratio:0.3 to 11.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.094.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-37.335.329.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week was a net position of -923,913 contracts in the data reported through Tuesday. This was a weekly lowering of -13,271 contracts from the previous week which had a total of -910,642 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.1 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.581.97.2
– Percent of Open Interest Shorts:26.764.86.2
– Net Position:-923,913872,71551,198
– Gross Longs:435,9654,177,142368,639
– Gross Shorts:1,359,8783,304,427317,441
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.195.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.012.36.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week was a net position of -692,442 contracts in the data reported through Tuesday. This was a weekly rise of 39,256 contracts from the previous week which had a total of -731,698 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.1 percent. The commercials are Bullish-Extreme with a score of 82.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.276.09.6
– Percent of Open Interest Shorts:25.964.07.1
– Net Position:-692,442570,703121,739
– Gross Longs:527,4903,588,001454,956
– Gross Shorts:1,219,9323,017,298333,217
– Long to Short Ratio:0.4 to 11.2 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.182.7100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.7-5.225.9

 

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 -186,427 contracts in the data reported through Tuesday. This was a weekly lift of 25,171 contracts from the previous week which had a total of -211,598 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.5 percent. The commercials are Bullish-Extreme with a score of 91.6 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.69.5
– Percent of Open Interest Shorts:20.962.114.3
– Net Position:-186,427267,999-81,572
– Gross Longs:173,8841,340,651164,624
– Gross Shorts:360,3111,072,652246,196
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.591.665.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.0-2.46.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -61,581 contracts in the data reported through Tuesday. This was a weekly rise of 11,548 contracts from the previous week which had a total of -73,129 net contracts.

This 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 10.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.476.114.9
– Percent of Open Interest Shorts:12.476.29.9
– Net Position:-61,581-31561,896
– Gross Longs:91,193941,115183,809
– Gross Shorts:152,774941,430121,913
– Long to Short Ratio:0.6 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.510.593.5
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.1-29.510.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -388,980 contracts in the data reported through Tuesday. This was a weekly boost of 11,539 contracts from the previous week which had a total of -400,519 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 with a score of 23.4 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.680.112.3
– Percent of Open Interest Shorts:32.758.08.3
– Net Position:-388,980328,97560,005
– Gross Longs:97,8841,192,422183,052
– Gross Shorts:486,864863,447123,047
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.465.399.8
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.0-12.65.6

 

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 Opinions
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