Archive for Bonds – Page 6

19 Aug

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

By InvestMacro

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

The latest COT data is updated through Tuesday August 15th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the SOFR 3-Months (58,656 contracts) with the 5-Year Bonds (39,012 contracts), US Treasury Bonds (22,821 contracts) and the Ultra 10-Year Bonds (12,562 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-50,877 contracts) with the 10-Year Bonds (-55,202 contracts), the 2-Year Bonds (-8,266 contracts) and the Ultra Treasury Bonds (-409 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Aug-15-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,263,811984,5438110,84519-15,38879
FedFunds1,532,02549-244,21814257,37987-13,16165
2-Year3,820,729100-1,117,3922991,94195125,451100
Long T-Bond1,370,326100-176,73427137,7036039,03177
10-Year4,857,42298-746,92810718,3049628,62480
5-Year5,768,718100-1,191,29551,110,1959281,100100

 

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 (81 percent) leads the bond markets this week. The US Treasury Bonds (27 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (2 percent), the Ultra Treasury Bonds (4 percent), the 5-Year Bonds (5 percent), the 10-Year Bonds (10 percent), Fed Funds (14.0 percent) and the Ultra 10-Year Bonds (16 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
vs Fed Funds previous week (23.3 percent)
2-Year Bond (2.3 percent) vs 2-Year Bond previous week (3.0 percent)
5-Year Bond (4.9 percent) vs 5-Year Bond previous week (2.0 percent)
10-Year Bond (10.0 percent) vs 10-Year Bond previous week (15.4 percent)
Ultra 10-Year Bond (16.4 percent) vs Ultra 10-Year Bond previous week (13.9 percent)
US Treasury Bond (27.1 percent) vs US Treasury Bond previous week (19.7 percent)
Ultra US Treasury Bond (4.4 percent) vs Ultra US Treasury Bond previous week (4.6 percent)
SOFR 3-Months (80.7 percent) vs SOFR 3-Months previous week (76.7 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (3 percent) and the Ultra Treasury Bonds (2 percent) lead the past six weeks trends for bonds.

The Fed Funds (-25 percent) and the SOFR 3-Months (-16 percent) leads the downside trend scores currently with the 5-Year Bonds (-12 percent) and the US Treasury Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-25.1 percent) vs Fed Funds previous week (-19.0 percent)
2-Year Bond (-4.8 percent) vs 2-Year Bond previous week (-7.7 percent)
5-Year Bond (-11.9 percent) vs 5-Year Bond previous week (-17.1 percent)
10-Year Bond (3.3 percent) vs 10-Year Bond previous week (10.6 percent)
Ultra 10-Year Bond (0.5 percent) vs Ultra 10-Year Bond previous week (-3.8 percent)
US Treasury Bond (-12.0 percent) vs US Treasury Bond previous week (-27.4 percent)
Ultra US Treasury Bond (2.1 percent) vs Ultra US Treasury Bond previous week (-8.6 percent)
SOFR 3-Months (-16.2 percent) vs SOFR 3-Months previous week (-23.3 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of 4,543 contracts in the data reported through Tuesday. This was a weekly lift of 58,656 contracts from the previous week which had a total of -54,113 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 80.7 percent. The commercials are Bearish-Extreme with a score of 19.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.4 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:16.759.80.3
– Percent of Open Interest Shorts:16.759.70.4
– Net Position:4,54310,845-15,388
– Gross Longs:1,716,3926,136,20626,291
– Gross Shorts:1,711,8496,125,36141,679
– Long to Short Ratio:1.0 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.719.279.4
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.217.1-4.9

 

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 -244,218 contracts in the data reported through Tuesday. This was a weekly decline of -50,877 contracts from the previous week which had a total of -193,341 net contracts.

This 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 14.0 percent. The commercials are Bullish-Extreme with a score of 86.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.2 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.378.32.0
– Percent of Open Interest Shorts:18.361.52.9
– Net Position:-244,218257,379-13,161
– Gross Longs:35,9301,200,17631,331
– Gross Shorts:280,148942,79744,492
– Long to Short Ratio:0.1 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.086.865.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.125.5-7.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,117,392 contracts in the data reported through Tuesday. This was a weekly lowering of -8,266 contracts from the previous week which had a total of -1,109,126 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.3 percent. The commercials are Bullish-Extreme with a score of 94.6 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.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.081.37.4
– Percent of Open Interest Shorts:39.255.34.1
– Net Position:-1,117,392991,941125,451
– Gross Longs:380,2653,105,026282,436
– Gross Shorts:1,497,6572,113,085156,985
– Long to Short Ratio:0.3 to 11.5 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.394.6100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.81.915.5

 

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 -1,191,295 contracts in the data reported through Tuesday. This was a weekly increase of 39,012 contracts from the previous week which had a total of -1,230,307 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.9 percent. The commercials are Bullish-Extreme with a score of 92.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.983.37.1
– Percent of Open Interest Shorts:28.564.05.7
– Net Position:-1,191,2951,110,19581,100
– Gross Longs:453,0254,804,142411,812
– Gross Shorts:1,644,3203,693,947330,712
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.992.0100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.96.720.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -746,928 contracts in the data reported through Tuesday. This was a weekly decrease of -55,202 contracts from the previous week which had a total of -691,726 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.0 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bullish with a score of 79.7 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.278.78.9
– Percent of Open Interest Shorts:25.663.98.3
– Net Position:-746,928718,30428,624
– Gross Longs:495,2103,822,746430,877
– Gross Shorts:1,242,1383,104,442402,253
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.095.779.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.3-0.2-7.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -137,389 contracts in the data reported through Tuesday. This was a weekly boost of 12,562 contracts from the previous week which had a total of -149,951 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.4 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.

Price Trend-Following Model: Downtrend

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 Short Position.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.576.79.1
– Percent of Open Interest Shorts:19.963.914.4
– Net Position:-137,389235,155-97,766
– Gross Longs:230,1631,416,246168,833
– Gross Shorts:367,5521,181,091266,599
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.484.555.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.58.1-24.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -176,734 contracts in the data reported through Tuesday. This was a weekly lift of 22,821 contracts from the previous week which had a total of -199,555 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.1 percent. The commercials are Bullish with a score of 59.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.8 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.975.914.3
– Percent of Open Interest Shorts:19.865.911.4
– Net Position:-176,734137,70339,031
– Gross Longs:94,3371,040,666195,617
– Gross Shorts:271,071902,963156,586
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.159.776.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.011.04.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -445,497 contracts in the data reported through Tuesday. This was a weekly decline of -409 contracts from the previous week which had a total of -445,088 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.4 percent. The commercials are Bullish-Extreme with a score of 94.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.0 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:5.579.911.0
– Percent of Open Interest Shorts:33.055.28.2
– Net Position:-445,497401,24344,254
– Gross Longs:89,2271,296,276177,740
– Gross Shorts:534,724895,033133,486
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.494.579.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.13.3-11.3

 

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 Financial News
12 Aug

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

By InvestMacro

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

The latest COT data is updated through Tuesday August 8th 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 mixed this week as four out of the eight bond markets we cover had higher positioning while the other four markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 3-Months (154,318 contracts) with the Ultra 10-Year Bonds (35,286 contracts), the 5-Year Bonds (26,739 contracts) and the Ultra Treasury Bonds (11,341 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-62,065 contracts), the 10-Year Bonds (-46,540 contracts), the 2-Year Bonds (-13,463 contracts) and the US Treasury Bonds (-12,879 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Aug-08-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,208,50598-54,1137769,34623-15,23380
FedFunds1,496,41146-193,34123200,41977-7,07877
2-Year3,746,749100-1,109,12631,009,3369699,79096
Long T-Bond1,333,06789-199,55520155,1166644,43981
10-Year4,872,43398-691,72615673,5539118,17377
5-Year5,711,857100-1,230,30721,185,8769844,43193

 

Strength Scores led by SOFR 3-Months & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (77 percent) and the Fed Funds (23 percent) lead the bond markets this week.

On the downside, the 5-Year Bonds (2 percent), the 2-Year Bonds (3 percent), the Ultra Treasury Bonds (5 percent), the Ultra 10-Year Bonds (14 percent), the 10-Year Bond (15.4 percent) and the  US Treasury Bond (19.7 percent) come in at the lowest strength level currently and all are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (22.7 percent) vs Fed Funds previous week (33.8 percent)
2-Year Bond (3.0 percent) vs 2-Year Bond previous week (4.1 percent)
5-Year Bond (2.0 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (15.4 percent) vs 10-Year Bond previous week (19.9 percent)
Ultra 10-Year Bond (13.9 percent) vs Ultra 10-Year Bond previous week (6.7 percent)
US Treasury Bond (19.7 percent) vs US Treasury Bond previous week (23.8 percent)
Ultra US Treasury Bond (4.6 percent) vs Ultra US Treasury Bond previous week (0.0 percent)
SOFR 3-Months (76.7 percent) vs SOFR 3-Months previous week (66.1 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (11 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (-8 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-27 percent), the SOFR 3-Months (-23 percent) and the Fed Funds (-19 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-18.6 percent) vs Fed Funds previous week (-5.3 percent)
2-Year Bond (-7.7 percent) vs 2-Year Bond previous week (-5.5 percent)
5-Year Bond (-17.1 percent) vs 5-Year Bond previous week (-22.1 percent)
10-Year Bond (10.6 percent) vs 10-Year Bond previous week (10.2 percent)
Ultra 10-Year Bond (-3.8 percent) vs Ultra 10-Year Bond previous week (-10.3 percent)
US Treasury Bond (-27.4 percent) vs US Treasury Bond previous week (-27.5 percent)
Ultra US Treasury Bond (-8.6 percent) vs Ultra US Treasury Bond previous week (-21.4 percent)
SOFR 3-Months (-23.3 percent) vs SOFR 3-Months previous week (-28.5 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 equaled a net position of -54,113 contracts in the data reported through Tuesday. This was a weekly advance of 154,318 contracts from the previous week which had a total of -208,431 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.7 percent. The commercials are Bearish with a score of 23.3 percent and the small traders (not shown in chart) are Bullish with a score of 79.5 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.560.30.2
– Percent of Open Interest Shorts:18.059.60.4
– Net Position:-54,11369,346-15,233
– Gross Longs:1,782,3726,153,81721,947
– Gross Shorts:1,836,4856,084,47137,180
– Long to Short Ratio:1.0 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.723.379.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.323.32.9

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -193,341 contracts in the data reported through Tuesday. This was a weekly decline of -62,065 contracts from the previous week which had a total of -131,276 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.7 percent. The commercials are Bullish with a score of 77.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.1 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.675.42.3
– Percent of Open Interest Shorts:16.562.02.8
– Net Position:-193,341200,419-7,078
– Gross Longs:53,1831,127,66834,533
– Gross Shorts:246,524927,24941,611
– Long to Short Ratio:0.2 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.777.077.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.617.213.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,109,126 contracts in the data reported through Tuesday. This was a weekly lowering of -13,463 contracts from the previous week which had a total of -1,095,663 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.0 percent. The commercials are Bullish-Extreme with a score of 96.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.7 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.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.981.76.7
– Percent of Open Interest Shorts:39.554.74.0
– Net Position:-1,109,1261,009,33699,790
– Gross Longs:370,3163,060,298251,275
– Gross Shorts:1,479,4422,050,962151,485
– Long to Short Ratio:0.3 to 11.5 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.096.295.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.77.55.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,230,307 contracts in the data reported through Tuesday. This was a weekly increase of 26,739 contracts from the previous week which had a total of -1,257,046 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.0 percent. The commercials are Bullish-Extreme with a score of 98.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.2 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.784.36.7
– Percent of Open Interest Shorts:29.363.65.9
– Net Position:-1,230,3071,185,87644,431
– Gross Longs:442,0344,816,393383,036
– Gross Shorts:1,672,3413,630,517338,605
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.098.193.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.117.05.7

 

10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week equaled a net position of -691,726 contracts in the data reported through Tuesday. This was a weekly decrease of -46,540 contracts from the previous week which had a total of -645,186 net contracts.

This 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 91.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. 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:10.878.28.5
– Percent of Open Interest Shorts:25.064.48.2
– Net Position:-691,726673,55318,173
– Gross Longs:524,6943,810,443415,794
– Gross Shorts:1,216,4203,136,890397,621
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.491.077.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.6-5.5-12.5

 

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 -149,951 contracts in the data reported through Tuesday. This was a weekly boost of 35,286 contracts from the previous week which had a total of -185,237 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.9 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.377.79.3
– Percent of Open Interest Shorts:19.663.715.0
– Net Position:-149,951252,369-102,418
– Gross Longs:203,9581,402,515167,668
– Gross Shorts:353,9091,150,146270,086
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.988.353.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.816.9-35.5

 

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 -199,555 contracts in the data reported through Tuesday. This was a weekly decrease of -12,879 contracts from the previous week which had a total of -186,676 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.7 percent. The commercials are Bullish with a score of 65.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.8 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.876.914.7
– Percent of Open Interest Shorts:20.865.211.3
– Net Position:-199,555155,11644,439
– Gross Longs:77,1321,024,818195,687
– Gross Shorts:276,687869,702151,248
– Long to Short Ratio:0.3 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.765.980.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.429.31.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -445,088 contracts in the data reported through Tuesday. This was a weekly boost of 11,341 contracts from the previous week which had a total of -456,429 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.6 percent. The commercials are Bullish-Extreme with a score of 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.6 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.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.782.711.0
– Percent of Open Interest Shorts:34.257.08.3
– Net Position:-445,088402,28642,802
– Gross Longs:88,2651,291,140172,047
– Gross Shorts:533,353888,854129,245
– Long to Short Ratio:0.2 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.695.077.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.621.9-22.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
29 Jul

COT Bonds Charts: Weekly Speculator Bets led by SOFR 3-Months

By InvestMacro

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

The latest COT data is updated through Tuesday July 25th 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

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

Leading the gains for the bond markets was the SOFR 3-Months (64,957 contracts) with the 5-Year Bonds (7,638 contracts), 10-Year Bonds (5,790 contracts) and the Fed Funds (1,780 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-26,666 contracts), the Ultra 10-Year Bonds (-12,817 contracts), the Ultra Treasury Bonds (-5,228 contracts)  and the US Treasury Bonds (-2,550 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-25-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,804,148941438016,22920-16,37279
FedFunds1,623,88457-158,79429169,35471-10,56070
2-Year3,631,66398-1,146,04601,050,94810095,09898
Long T-Bond1,254,58259-145,8443795,2394550,60585
10-Year4,733,68091-623,77122599,8368323,93579
5-Year5,348,725100-1,137,85111,093,0909944,76193

 

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

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (80 percent) and the US Treasury Bonds (37 percent) lead the bond markets this week. The Fed Funds (29 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bonds (0 percent), the 5-Year Bonds (1 percent), the Ultra Treasury Bonds (2 percent) and the Ultra 10-Year Bonds (4 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.9 percent) vs Fed Funds previous week (28.6 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (2.2 percent)
5-Year Bond (0.6 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (22.0 percent) vs 10-Year Bond previous week (21.4 percent)
Ultra 10-Year Bond (4.1 percent) vs Ultra 10-Year Bond previous week (6.7 percent)
US Treasury Bond (37.1 percent) vs US Treasury Bond previous week (38.0 percent)
Ultra US Treasury Bond (2.5 percent) vs Ultra US Treasury Bond previous week (4.6 percent)
SOFR 3-Months (80.4 percent) vs SOFR 3-Months previous week (76.0 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 (7 percent) and the Fed Funds (5 percent) lead the past six weeks trends for bonds.

The Ultra Treasury Bonds (-20 percent), US Treasury Bonds (-15 percent) and the Ultra 10-Year Bonds (-13 percent) lead the downside trend scores currently with and the SOFR 3-Months (-9 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (4.9 percent) vs Fed Funds previous week (15.4 percent)
2-Year Bond (-8.1 percent) vs 2-Year Bond previous week (-12.9 percent)
5-Year Bond (-8.3 percent) vs 5-Year Bond previous week (-9.5 percent)
10-Year Bond (6.6 percent) vs 10-Year Bond previous week (12.0 percent)
Ultra 10-Year Bond (-12.5 percent) vs Ultra 10-Year Bond previous week (-8.7 percent)
US Treasury Bond (-15.0 percent) vs US Treasury Bond previous week (-19.6 percent)
Ultra US Treasury Bond (-19.7 percent) vs Ultra US Treasury Bond previous week (-13.4 percent)
SOFR 3-Months (-8.7 percent) vs SOFR 3-Months previous week (-7.2 percent)

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of 143 contracts in the data reported through Tuesday. This was a weekly gain of 64,957 contracts from the previous week which had a total of -64,814 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 Bullish-Extreme with a score of 80.4 percent. The commercials are Bearish-Extreme with a score of 19.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.

Price Trend-Following Model: Weak Uptrend

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

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.860.00.3
– Percent of Open Interest Shorts:17.859.90.5
– Net Position:14316,229-16,372
– Gross Longs:1,745,2395,886,14928,054
– Gross Shorts:1,745,0965,869,92044,426
– Long to Short Ratio:1.0 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.419.578.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.78.33.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -158,794 contracts in the data reported through Tuesday. This was a weekly advance of 1,780 contracts from the previous week which had a total of -160,574 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.9 percent. The commercials are Bullish with a score of 71.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.3 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.473.72.3
– Percent of Open Interest Shorts:13.263.33.0
– Net Position:-158,794169,354-10,560
– Gross Longs:55,9951,197,27537,597
– Gross Shorts:214,7891,027,92148,157
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.971.470.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.9-5.01.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,146,046 contracts in the data reported through Tuesday. This was a weekly fall of -26,666 contracts from the previous week which had a total of -1,119,380 net contracts.

This 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 97.6 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.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.182.96.9
– Percent of Open Interest Shorts:40.653.94.3
– Net Position:-1,146,0461,050,94895,098
– Gross Longs:329,3863,010,134250,656
– Gross Shorts:1,475,4321,959,186155,558
– Long to Short Ratio:0.2 to 11.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.097.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.18.33.8

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,137,851 contracts in the data reported through Tuesday. This was a weekly lift of 7,638 contracts from the previous week which had a total of -1,145,489 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.6 percent. The commercials are Bullish-Extreme with a score of 99.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.3 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.685.47.2
– Percent of Open Interest Shorts:27.965.06.3
– Net Position:-1,137,8511,093,09044,761
– Gross Longs:352,5624,568,106383,631
– Gross Shorts:1,490,4133,475,016338,870
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.699.593.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.36.38.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -623,771 contracts in the data reported through Tuesday. This was a weekly gain of 5,790 contracts from the previous week which had a total of -629,561 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.0 percent. The commercials are Bullish-Extreme with a score of 83.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.7 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.480.18.5
– Percent of Open Interest Shorts:22.667.58.0
– Net Position:-623,771599,83623,935
– Gross Longs:443,9073,792,947402,493
– Gross Shorts:1,067,6783,193,111378,558
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.083.278.7
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.6-1.5-11.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -197,984 contracts in the data reported through Tuesday. This was a weekly fall of -12,817 contracts from the previous week which had a total of -185,167 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.1 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish with a score of 57.8 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:9.778.69.7
– Percent of Open Interest Shorts:21.061.915.1
– Net Position:-197,984292,592-94,608
– Gross Longs:170,2801,378,559169,328
– Gross Shorts:368,2641,085,967263,936
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.196.957.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.518.9-15.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -145,844 contracts in the data reported through Tuesday. This was a weekly lowering of -2,550 contracts from the previous week which had a total of -143,294 net contracts.

This 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 37.1 percent. The commercials are Bearish with a score of 44.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.477.915.0
– Percent of Open Interest Shorts:18.070.311.0
– Net Position:-145,84495,23950,605
– Gross Longs:80,250976,934188,398
– Gross Shorts:226,094881,695137,793
– Long to Short Ratio:0.4 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.144.685.3
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.012.48.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -444,625 contracts in the data reported through Tuesday. This was a weekly lowering of -5,228 contracts from the previous week which had a total of -439,397 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.5 percent. The commercials are Bullish-Extreme with a score of 95.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 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:5.282.811.6
– Percent of Open Interest Shorts:34.757.17.8
– Net Position:-444,625387,60657,019
– Gross Longs:77,7641,247,283175,105
– Gross Shorts:522,389859,677118,086
– Long to Short Ratio:0.1 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.595.691.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.722.64.5

 

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 Financial News
23 Jul

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

By InvestMacro

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

The latest COT data is updated through Tuesday July 18th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the 10-Year Bonds (5,576 contracts) with the Fed Funds (4,285 contracts) also having a positive week.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-101,216 contracts), the 2-Year Bonds (-47,680 contracts), 5-Year Bonds (-89,405 contracts), the US Treasury Bonds (-12,310 contracts), the Ultra 10-Year Bonds (-36,694 contracts) and the Ultra Treasury Bonds (-6,485 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jul-18-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,743,75593-64,8147671,65323-6,83984
FedFunds1,587,83854-160,57425171,10975-10,53570
2-Year3,654,98699-1,119,38001,019,100100100,280100
Long T-Bond1,248,00661-143,29438102,8994740,39578
10-Year4,746,65791-629,56121627,008862,55374
5-Year5,333,980100-1,145,48901,099,01410046,47594

 

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 (76 percent) and the US Treasury Bonds (38 percent) lead the bond markets this week. The Fed Funds (25 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 Treasury Bonds (5 percent) and the Ultra 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 (25.1 percent) vs Fed Funds previous week (24.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.9 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (7.2 percent)
10-Year Bond (21.4 percent) vs 10-Year Bond previous week (20.9 percent)
Ultra 10-Year Bond (6.7 percent) vs Ultra 10-Year Bond previous week (14.2 percent)
US Treasury Bond (38.0 percent) vs US Treasury Bond previous week (42.0 percent)
Ultra US Treasury Bond (4.6 percent) vs Ultra US Treasury Bond previous week (7.3 percent)
SOFR 3-Months (76.0 percent) vs SOFR 3-Months previous week (82.9 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (14 percent) and the 10-Year Bonds (12 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (-7 percent) and the are the next highest positive movers in the latest trends data.

The US Treasury Bonds (-20 percent) and the Ultra Treasury Bonds (-13 percent) leads the downside trend scores currently with the 2-Year Bonds (-13 percent) and the 5-Year Bonds (-10 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (13.5 percent) vs Fed Funds previous week (2.4 percent)
2-Year Bond (-13.2 percent) vs 2-Year Bond previous week (-8.4 percent)
5-Year Bond (-9.5 percent) vs 5-Year Bond previous week (-5.8 percent)
10-Year Bond (12.0 percent) vs 10-Year Bond previous week (20.9 percent)
Ultra 10-Year Bond (-8.7 percent) vs Ultra 10-Year Bond previous week (-7.7 percent)
US Treasury Bond (-19.6 percent) vs US Treasury Bond previous week (-23.1 percent)
Ultra US Treasury Bond (-13.4 percent) vs Ultra US Treasury Bond previous week (-13.7 percent)
SOFR 3-Months (-7.2 percent) vs SOFR 3-Months previous week (-0.5 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 -64,814 contracts in the data reported through Tuesday. This was a weekly lowering of -101,216 contracts from the previous week which had a total of 36,402 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.0 percent. The commercials are Bearish with a score of 23.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.1 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:17.460.40.3
– Percent of Open Interest Shorts:18.159.70.3
– Net Position:-64,81471,653-6,839
– Gross Longs:1,698,7095,884,63626,636
– Gross Shorts:1,763,5235,812,98333,475
– Long to Short Ratio:1.0 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.023.484.1
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.26.74.9

 

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 -160,574 contracts in the data reported through Tuesday. This was a weekly gain of 4,285 contracts from the previous week which had a total of -164,859 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 25.1 percent. The commercials are Bullish with a score of 75.0 percent and the small traders (not shown in chart) are Bullish with a score of 70.3 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.073.32.2
– Percent of Open Interest Shorts:14.162.52.8
– Net Position:-160,574171,109-10,535
– Gross Longs:63,8141,163,31434,331
– Gross Shorts:224,388992,20544,866
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.175.070.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-13.2-4.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,119,380 contracts in the data reported through Tuesday. This was a weekly decrease of -47,680 contracts from the previous week which had a total of -1,071,700 net contracts.

This 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 100.0 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:9.282.36.9
– Percent of Open Interest Shorts:39.954.44.2
– Net Position:-1,119,3801,019,100100,280
– Gross Longs:337,3313,008,318252,359
– Gross Shorts:1,456,7111,989,218152,079
– Long to Short Ratio:0.2 to 11.5 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.0100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.214.52.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,145,489 contracts in the data reported through Tuesday. This was a weekly decline of -89,405 contracts from the previous week which had a total of -1,056,084 net contracts.

This 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 93.8 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.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.785.17.1
– Percent of Open Interest Shorts:28.164.56.2
– Net Position:-1,145,4891,099,01446,475
– Gross Longs:355,9664,540,528376,738
– Gross Shorts:1,501,4553,441,514330,263
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.093.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.57.09.9

 

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 -629,561 contracts in the data reported through Tuesday. This was a weekly lift of 5,576 contracts from the previous week which had a total of -635,137 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.4 percent. The commercials are Bullish-Extreme with a score of 86.0 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 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:9.280.78.0
– Percent of Open Interest Shorts:22.567.58.0
– Net Position:-629,561627,0082,553
– Gross Longs:438,5673,828,697382,073
– Gross Shorts:1,068,1283,201,689379,520
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.486.074.1
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.0-7.0-12.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -185,167 contracts in the data reported through Tuesday. This was a weekly reduction of -36,694 contracts from the previous week which had a total of -148,473 net contracts.

This 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 6.7 percent. The commercials are Bullish-Extreme with a score of 92.2 percent and the small traders (not shown in chart) are Bullish with a score of 63.3 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.478.19.8
– Percent of Open Interest Shorts:21.062.614.6
– Net Position:-185,167270,572-85,405
– Gross Longs:180,7051,361,599170,041
– Gross Shorts:365,8721,091,027255,446
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.792.263.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.711.3-5.9

 

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 -143,294 contracts in the data reported through Tuesday. This was a weekly reduction of -12,310 contracts from the previous week which had a total of -130,984 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.0 percent. The commercials are Bearish with a score of 47.3 percent and the small traders (not shown in chart) are Bullish with a score of 77.8 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.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.378.414.5
– Percent of Open Interest Shorts:17.870.211.3
– Net Position:-143,294102,89940,395
– Gross Longs:79,100978,891181,270
– Gross Shorts:222,394875,992140,875
– Long to Short Ratio:0.4 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.047.377.8
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.621.8-0.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -439,397 contracts in the data reported through Tuesday. This was a weekly lowering of -6,485 contracts from the previous week which had a total of -432,912 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.6 percent. The commercials are Bullish-Extreme with a score of 90.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.3 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.482.611.7
– Percent of Open Interest Shorts:34.457.67.6
– Net Position:-439,397377,89461,503
– Gross Longs:81,2651,250,311176,653
– Gross Shorts:520,662872,417115,150
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.690.595.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.411.310.3

 

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 Financial News
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.

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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.

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