Archive for Bonds – Page 7

04 Jun

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

By InvestMacro

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

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

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

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

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

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

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

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

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

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

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

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

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

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

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (98 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (65 percent) comes in as the next highest in the weekly strength scores.

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

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

 

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

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

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

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

Individual Bond Markets:

3-Month Eurodollars Futures:

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

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 98.0 percent. The commercials are Bearish-Extreme with a score of 3.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.6 percent.

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

 

30-Day Federal Funds Futures:

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

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

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

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.4 percent.

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

 

5-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.9 percent.

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

 

10-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -110,794 contracts in the data reported through Tuesday. This was a weekly lift of 47,285 contracts from the previous week which had a total of -158,079 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.9 percent. The commercials are Bullish with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.5 percent.

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

 

US Treasury Bonds Futures:

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

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

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

 

Ultra US Treasury Bonds Futures:

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

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
01 Jun

Treasury Bonds: How This Forecast is Playing Out

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

By Elliott Wave International

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

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

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

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

Fed Signals Low Rates Likely to Last Several Years

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

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

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

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

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

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

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

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

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

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

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

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

A Club EWI membership is also free.

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

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

Bonds Financial News
27 May

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

By InvestMacro

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

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

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

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

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

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

10-Year Bonds Speculator bets hit lowest level on record

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

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

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

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

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

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

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

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (86 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (71 percent) comes in as the next highest in the weekly strength scores.

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

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

 

US Treasury Bonds & Eurodollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (29 percent) and the Eurodollar (16 percent) lead the past six weeks trends for bonds.

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

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

Individual Bond Markets:

3-Month Eurodollars Futures:

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

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 86.3 percent. The commercials are Bearish-Extreme with a score of 14.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

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

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -88,495 contracts in the data reported through Tuesday. This was a weekly decrease of -20,924 contracts from the previous week which had a total of -67,571 net contracts.

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

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

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -890,202 contracts in the data reported through Tuesday. This was a weekly lowering of -36,627 contracts from the previous week which had a total of -853,575 net contracts.

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

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

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -934,069 contracts in the data reported through Tuesday. This was a weekly fall of -10,156 contracts from the previous week which had a total of -923,913 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.1 percent.

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

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -771,638 contracts in the data reported through Tuesday. This was a weekly reduction of -79,196 contracts from the previous week which had a total of -692,442 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 94.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.9 percent.

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -158,079 contracts in the data reported through Tuesday. This was a weekly increase of 28,348 contracts from the previous week which had a total of -186,427 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 12.2 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

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

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -43,236 contracts in the data reported through Tuesday. This was a weekly increase of 18,345 contracts from the previous week which had a total of -61,581 net contracts.

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

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

 

Ultra US Treasury Bonds Futures:

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

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

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
20 May
stock market investing

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

By InvestMacro

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (286,007 contracts) with the 10-Year Bonds (39,256 contracts), the Ultra 10-Year Bonds (25,171 contracts), the Eurodollar (18,226 contracts), the Ultra Treasury Bonds (11,539 contracts), the US Treasury Bonds (11,548 contracts), and the Fed Funds (7,746 contracts) also showing positive weeks.

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

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

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

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

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

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

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

 

Strength Scores led by SOFR 3-Months & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 3-Months (81 percent) and the Eurodollar (73 percent) lead the bond markets this week. The US Treasury Bonds (65 percent) comes in as the next highest in the weekly strength scores.

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

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

 

US Treasury Bonds & Eurodollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (22 percent) and the Eurodollar (16 percent) lead the past six weeks trends for bonds. The Fed Funds (10 percent) and the  are the next highest positive movers in the latest trends data.

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

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

Individual Bond Markets:

3-Month Eurodollars Futures:

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

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

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

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -166,821 contracts in the data reported through Tuesday. This was a weekly gain of 286,007 contracts from the previous week which had a total of -452,828 net contracts.

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

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

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week was a net position of -67,571 contracts in the data reported through Tuesday. This was a weekly lift of 7,746 contracts from the previous week which had a total of -75,317 net contracts.

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

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

 

2-Year Treasury Note Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.7 percent.

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

 

5-Year Treasury Note Futures:

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

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

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

 

10-Year Treasury Note Futures:

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

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

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

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -186,427 contracts in the data reported through Tuesday. This was a weekly lift of 25,171 contracts from the previous week which had a total of -211,598 net contracts.

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

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

 

US Treasury Bonds Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.5 percent. The commercials are Bearish-Extreme with a score of 10.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

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

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -388,980 contracts in the data reported through Tuesday. This was a weekly boost of 11,539 contracts from the previous week which had a total of -400,519 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.4 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.8 percent.

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

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
18 May

Long Live SOFR for Swaps

By Daniel Flaim, Managing Director, North America Interest Rate Derivatives

New York, New York | May 18, 2023 – It is officially the end of the line for LIBOR. After some 30+ years as “the world’s most important number,” and the last six years on an extended farewell tour, the London Interbank Offered Rate will officially be retired as a benchmark for U.S. dollar swaps transactions. CME Group completed its conversion to the Secured Overnight Financing Rate (SOFR) as the standard benchmark reference for over-the-counter (OTC) derivatives trades in April and LCH will complete its conversion containing U.S. dollar LIBOR vs. fixed interest rate swaps on May 20. By June, roughly $60 trillion in U.S. dollar contracts will be secured to SOFR.

Regulators first announced plans to phase out LIBOR in 2017, ushering in a protracted death march that saw the slow-but-steady migration away from the decades-old benchmark. Ultimately, the Alternative Reference Rates Committee (ARRC) selected SOFR as the overnight benchmark rate to use in certain new U.S. dollar derivatives and financial contracts, and the financial industry—including regulators, central banks, trading venues and other market participants—have spent the last several years getting ready for the transition.

Over the course of that multi-year migration, we’ve learned some important lessons:

Big and complicated problems can be solved when the industry sets its collective mind to something. This transition was no small feat but market participants and regulators quickly rallied together to organize and coordinate efforts ahead of upcoming target deadlines. The end result was a relatively smooth process thanks to solid preparation, decisive action and regular communications.

January 2022 was the moment of reckoning. Migration away from LIBOR was slow and steady before taking a drastic turn ahead of the January 2022 deadline for no new LIBOR origination. By February 2022, SOFR trading on Tradeweb made up 72% of all new risk, and across our business approximately 96% of our most active clients globally trading USD swaps were using SOFR.

This playbook can be utilized elsewhere. We have been pleased to see that the insights and lessons learned from the U.S. dollar LIBOR transition have already extended beyond our markets and into non-LIBOR jurisdictions, further illustrating the permanent impact this movement has had on our global markets.

Why LIBOR Was So Entrenched

Getting there was no small achievement. LIBOR didn’t earn its reputation as “the world’s most important number” for nothing. As the benchmark evolved over the last three decades, it’s been sliced and diced into multiple durations and both backward-looking and forward-looking rates that are used for everything from projecting market expectations for the cost of borrowing to the underlying benchmark for U.S. dollar swaps contracts. Financial technology also grew up around LIBOR, with virtually every piece of financial services software and nearly every financial model incorporating some link to the benchmark.

Thankfully, due to close collaboration between industry stakeholders including trading platforms, dealers and clients, clearinghouses and operators of order management systems, over the course of the transition period, this final step in the migration from LIBOR to SOFR in the swaps market is anticipated to be a smooth one.

Orderly Transition to a New Standard

In fact, much of the heavy lifting has already been done. As indicated in the chart below, the percentage of new U.S. dollar swaps trades benchmarked to SOFR and executed on the Tradeweb platform started to trend upward in August of 2021. That date followed the Commodity Futures Trading Commission’s (CFTC) Market Risk Advisory Committee (MRAC) SOFR First recommendation, which introduced a phased approach to the SOFR transition. In the following months, SOFR trading activity on the Tradeweb platform increased as clients began to offset their existing U.S. dollar LIBOR risk, with new SOFR activity reaching parity with LIBOR by January 2022, in response to the upcoming deadline which imposed restrictions on new use of U.S. dollar LIBOR. By February 2022, trading volume benchmarked to SOFR on the Tradeweb platform increased over 50% versus the previous month. In 2022 alone, we had nearly $21 trillion traded in SOFR on the platform.

Source: TW SEF, % of Delta, excluding basis and inflation swaps

Together, the steady forward march toward SOFR adoption for new trades, along with the industry’s diligent efforts to smooth the migration of existing contracts benchmarked to LIBOR, has helped pave the way for an incredibly orderly transition.

Following the success of the LIBOR transition in the U.S. dollar market, we’ve seen similar work being done in non-LIBOR jurisdictions, including Canada. Led by the Canadian Alternative Reference Rate Committee (CARR), Canada is shifting away from the benchmark Canadian Dollar Offered Rate (CDOR) to Canadian Overnight Repo Rate Average (CORRA) as the key Canadian interest rate benchmark. Globally, the LIBOR transition has served as a shining example of industry collaboration overcoming institutional inertia and debunking the myth that things need to be done a certain way just because that’s how they’ve always been done.

It took six years and there was no shortage of doubt and concern along the way, but the transition that the New York Federal Reserve called “arguably one of the most significant and complex challenges that financial markets will ever confront,” is about to be complete. It should come as a cause for celebration to the countless market participants who weren’t afraid to tweak the process, experiment with new standards and collaborate with peers to transform and modernize critical market infrastructure.

Now, as a result of this effort by so many parties, our markets are running smoothly and efficiently and we have proven once again how resilient and innovative our industry can be when we set our sights on a common goal. For our part at Tradeweb, we look forward to continuing to refine our workflows along with the some of the most accurate and timely pricing and reference data available to ensure our clients are operating in a transparent, efficient marketplace.

About Tradeweb Markets

Tradeweb Markets Inc. (Nasdaq: TW) is a leading, global operator of electronic marketplaces for rates, credit, equities and money markets. Founded in 1996, Tradeweb provides access to markets, data and analytics, electronic trading, straight-through-processing and reporting for more than 40 products to clients in the institutional, wholesale and retail markets. Advanced technologies developed by Tradeweb enhance price discovery, order execution and trade workflows while allowing for greater scale and helping to reduce risks in client trading operations. Tradeweb serves approximately 2,500 clients in more than 65 countries. On average, Tradeweb facilitated more than $1.1 trillion in notional value traded per day over the past four quarters. For more information, please go to www.tradeweb.com. 

Forward-Looking Statements

This release contains forward-looking statements within the meaning of the federal securities laws. Statements related to, among other things, our outlook and future performance, the industry and markets in which we operate, our expectations, beliefs, plans, strategies, objectives, prospects and assumptions and future events are forward-looking statements. We have based these forward-looking statements on our current expectations, assumptions, estimates and projections. While we believe these expectations, assumptions, estimates and projections are reasonable, such forward-looking statements are only predictions and involve known and unknown risks and uncertainties, many of which are beyond our control. These and other important factors, including those discussed under the heading “Risk Factors” in documents of Tradeweb Markets Inc. on file with or furnished to the SEC, may cause our actual results, performance or achievements to differ materially from those expressed or implied by these forward-looking statements. Given these risks and uncertainties, you are cautioned not to place undue reliance on such forward-looking statements. The forward-looking statements contained in this release are not guarantees of future performance and our actual results of operations, financial condition or liquidity, and the development of the industry and markets in which we operate, may differ materially from the forward-looking statements contained in this release. In addition, even if our results of operations, financial condition or liquidity, and events in the industry and markets in which we operate, are consistent with the forward-looking statements contained in this release, they may not be predictive of results or developments in future periods. Any forward-looking statement that we make in this release speaks only as of the date of such statement. Except as required by law, we do not undertake any obligation to update or revise, or to publicly announce any update or revision to, any of the forward-looking statements, whether as a result of new information, future events or otherwise, after the date of this release.

Bonds Finance Press Release Financial News
13 May
What is the Secured Overnight Financing Rate (SOFR)?

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

By InvestMacro

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

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

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

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 SOFR 3-Months (172,071 contracts) with the 10-Year Bonds (17,449 contracts), the US Treasury Bonds (16,285 contracts), the Ultra 10-Year Bonds (6,690 contracts) and the Eurodollar (257 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-116,409 contracts), the Fed Funds (-35,180 contracts), the 5-Year Bonds (-412 contracts) and the Ultra Treasury Bonds (-1,713 contracts) also seeing lower bets on the week.

Speculators drop 2-Year and 5-Year Bonds bets to record lows

Highlighting the COT bonds data is this week’s record bearish speculator positioning in both the 2-Year and the 5-Year bonds.

The large speculators in the 2-Year bonds sharply added to their bearish bets for a second straight week this week and for the third time in the past four weeks. Speculators have now added a total of -253,044 contracts to the bearish position over the past four weeks alone. This weakness in sentiment has pushed the overall bearish standing to the highest level on record at a total of -749,885 contracts, according to CFTC data that goes back to 1990. This record bearish position surpassed the previous one that was recently registered on February 14th at a total of -696,686 contracts.

The 5-Year Bond speculator positions have also dropped their bets to a record low position this week and have done so for three straight weeks in succession. The 5-Year speculators have added a whopping -353,430 contracts to their net positions over the past eight weeks. This week’s record bearish position is at a total of -910,642 contracts which is the all-time low dating back to 1988, according to the CFTC.

Despite these all-time lows in both the 2-Year and 5-Years positions, their respective futures prices have not followed lower. The 2-Year futures price closed this week at 103.05 and is almost 2 percent higher than the low that was reached in early March at 101.09. Meanwhile, the 5-Year futures price closed at 110.01 this week and is approximately 4.35 percent higher than the low that was hit in October at 105.14. Overall in the longer view, the 5-Year price is down by approximately 13 percent from the highs of 2021 while the 2-Year prices are down by about 6.5 percent from 2021.

The outlook for both of these bonds will depend very much on the path forward for the benchmark interest rate controlled by the US Federal Reserve and how the economy evolves. The latest forecast for the next Fed meeting shows a high likelihood of an interest rate pause (almost 85 percent per the CME Fed tool). This pause would be a positive for bond prices while if an economic recession does take place, bond prices would likely be a place for safe haven investments. A recession could also prompt a Fed interest rate cut (bond price positive). However, further upside in inflation and followed by more Fed hikes would be a negative for bonds. The US debt ceiling is also an outlier risk event coming up that needs to be kept in mind as well.

Data Snapshot of Bond Market Traders | Columns Legend
May-09-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar632,2420-55,1107358,41423-3,30499
FedFunds1,502,28147-75,31730104,07073-28,75335
2-Year3,007,292100-749,8850681,29110068,59489
Long T-Bond1,189,41454-73,129612,3551170,774100
10-Year4,510,018100-731,6982641,5959090,103100
5-Year5,086,319100-910,6420872,3029938,34092

 

Strength Scores led by Eurodollar & 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 Eurodollar (73 percent) and the US Treasury Bonds (61 percent) lead the bond markets this week. The SOFR 3-Months (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 (0 percent), the Ultra 10-Year Bonds (1 percent), the 10-Year Bonds (2 percent) and the Ultra US Treasury Bond (18.5 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (30.3 percent) vs Fed Funds previous week (34.7 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (13.9 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (1.9 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (1.4 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (60.8 percent) vs US Treasury Bond previous week (55.5 percent)
Ultra US Treasury Bond (18.5 percent) vs Ultra US Treasury Bond previous week (19.2 percent)
Eurodollar (72.6 percent) vs Eurodollar previous week (72.6 percent)
SOFR 3-Months (57.8 percent) vs SOFR 3-Months previous week (43.9 percent)

 

Eurodollar & 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 Eurodollar (15 percent) and the Fed Funds (12 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (9 percent) and the US Treasury Bond (6 percent) are the next positive movers in the latest trends data.

The SOFR 3-Months (-33 percent) and the 10-Year Bonds (-28 percent) lead the downside trend scores currently with the 2-Year Bonds (-27 percent) and the 5-Year Bonds (-23 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (11.5 percent) vs Fed Funds previous week (-1.9 percent)
2-Year Bond (-26.8 percent) vs 2-Year Bond previous week (-20.2 percent)
5-Year Bond (-22.7 percent) vs 5-Year Bond previous week (-27.7 percent)
10-Year Bond (-28.0 percent) vs 10-Year Bond previous week (-19.1 percent)
Ultra 10-Year Bond (-12.2 percent) vs Ultra 10-Year Bond previous week (-12.2 percent)
US Treasury Bond (5.9 percent) vs US Treasury Bond previous week (3.3 percent)
Ultra US Treasury Bond (9.0 percent) vs Ultra US Treasury Bond previous week (19.2 percent)
Eurodollar (14.7 percent) vs Eurodollar previous week (14.9 percent)
SOFR 3-Months (-32.9 percent) vs SOFR 3-Months previous week (-43.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -55,110 contracts in the data reported through Tuesday. This was a weekly advance of 257 contracts from the previous week which had a total of -55,367 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.6 percent. The commercials are Bearish with a score of 23.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.963.210.5
– Percent of Open Interest Shorts:33.653.911.1
– Net Position:-55,11058,414-3,304
– Gross Longs:157,203399,29766,638
– Gross Shorts:212,313340,88369,942
– Long to Short Ratio:0.7 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.623.198.5
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.7-18.038.2

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -452,828 contracts in the data reported through Tuesday. This was a weekly advance of 172,071 contracts from the previous week which had a total of -624,899 net contracts.

This 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 57.8 percent. The commercials are Bearish with a score of 42.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.362.70.4
– Percent of Open Interest Shorts:18.958.10.5
– Net Position:-452,828457,566-4,738
– Gross Longs:1,408,6336,178,97642,103
– Gross Shorts:1,861,4615,721,41046,841
– Long to Short Ratio:0.8 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.842.585.3
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-32.932.80.3

 

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 -75,317 contracts in the data reported through Tuesday. This was a weekly fall of -35,180 contracts from the previous week which had a total of -40,137 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 30.3 percent. The commercials are Bullish with a score of 72.5 percent and the small traders (not shown in chart) are Bearish with a score of 34.6 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.078.42.3
– Percent of Open Interest Shorts:9.071.54.2
– Net Position:-75,317104,070-28,753
– Gross Longs:59,3671,178,44734,793
– Gross Shorts:134,6841,074,37763,546
– Long to Short Ratio:0.4 to 11.1 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.372.534.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.5-8.5-45.8

 

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 -749,885 contracts in the data reported through Tuesday. This was a weekly lowering of -116,409 contracts from the previous week which had a total of -633,476 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.7 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.882.87.4
– Percent of Open Interest Shorts:33.860.25.1
– Net Position:-749,885681,29168,594
– Gross Longs:266,0702,490,414221,650
– Gross Shorts:1,015,9551,809,123153,056
– Long to Short Ratio:0.3 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.088.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.824.322.7

 

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 -910,642 contracts in the data reported through Tuesday. This was a weekly reduction of -412 contracts from the previous week which had a total of -910,230 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 99.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.5 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.481.57.1
– Percent of Open Interest Shorts:27.364.46.3
– Net Position:-910,642872,30238,340
– Gross Longs:477,7674,146,935361,166
– Gross Shorts:1,388,4093,274,633322,826
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.191.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.725.4-4.3

 

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 -731,698 contracts in the data reported through Tuesday. This was a weekly rise of 17,449 contracts from the previous week which had a total of -749,147 net contracts.

This 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 1.9 percent. The commercials are Bullish-Extreme with a score of 90.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.078.19.4
– Percent of Open Interest Shorts:26.363.97.4
– Net Position:-731,698641,59590,103
– Gross Longs:453,0773,522,275425,427
– Gross Shorts:1,184,7752,880,680335,324
– Long to Short Ratio:0.4 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.990.4100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.022.512.9

 

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 -211,598 contracts in the data reported through Tuesday. This was a weekly advance of 6,690 contracts from the previous week which had a total of -218,288 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.4 percent. The commercials are Bullish-Extreme with a score of 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.279.210.1
– Percent of Open Interest Shorts:21.962.214.4
– Net Position:-211,598283,856-72,258
– Gross Longs:154,3581,326,293169,295
– Gross Shorts:365,9561,042,437241,553
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.495.071.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.211.14.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -73,129 contracts in the data reported through Tuesday. This was a weekly increase of 16,285 contracts from the previous week which had a total of -89,414 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.8 percent. The commercials are Bearish-Extreme with a score of 11.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.576.815.4
– Percent of Open Interest Shorts:12.676.69.4
– Net Position:-73,1292,35570,774
– Gross Longs:76,938913,035182,961
– Gross Shorts:150,067910,680112,187
– Long to Short Ratio:0.5 to 11.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.811.4100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.9-6.90.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -400,519 contracts in the data reported through Tuesday. This was a weekly decrease of -1,713 contracts from the previous week which had a total of -398,806 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.5 percent. The commercials are Bullish with a score of 71.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.181.312.2
– Percent of Open Interest Shorts:33.558.08.1
– Net Position:-400,519340,88159,638
– Gross Longs:89,7061,188,568178,139
– Gross Shorts:490,225847,687118,501
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.571.999.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-11.71.6

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
29 Apr

Bonds Speculators push their 5-Year Bond bets to most bearish on record

By InvestMacro

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

The latest COT data is updated through Tuesday April 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 Fed Funds & 2-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (28,607 contracts) with the Fed Funds (28,111 contracts), the US Treasury Bonds (19,560 contracts), the Ultra 10-Year Bonds (15,667 contracts), the Eurodollar (8,395 contracts) and the Ultra Treasury Bonds (1,016 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-114,786 contracts), the SOFR 3-Months (-89,967 contracts) and the 10-Year Bonds (-60,180 contracts) seeing lower bets on the week.

Speculators push their 5-Year Bond bets to most bearish on record

Highlighting the COT bond’s data this week is the historic weakness in the 5-Year Bonds speculator net contracts. Large speculative 5-Year Bond positions dropped sharply this week by over -114,000 net contracts, marking the largest decline in 20 weeks and have now decreased in four out of the past six weeks. The 5-Year net positions have fallen by a total of -312,076 contracts over the past six-week period, going from a total of -557,212 contracts on March 14th to a total net position of -869,288 contracts this week.

This bearishness has pushed the net position to the most bearish level in history, according to CFTC data that goes back to 1988. The previous record bearish position was a total of -867,556 contracts that took place on August 7th of 2018 and coincided with an almost exact bottom in the 5-Year Bond futures price (see image below comparing the price on dates of record bearish levels).

The 5-Year Bond futures price has not followed along lately with the extreme bearishness of the speculators in this case and has potentially already bottomed with a low of 105.14 in October and a more recent dip to 106.02 in March. The 5-Year futures closed this week higher near the 109.24 level and about 3.25 percent higher than the most recent low in March. In terms of bond yields, the 5-Year yield is currently trading at the 3.48 percent level and also down from a recent high of 4.37 percent in March. Only time will tell if the 5-Year Bond price has bottomed (and yields have topped out) with the future paths of the US Federal Reserve and the US economy likely weighing heavily on the future direction.

Chart by TradingView
Data Snapshot of Bond Market Traders | Columns Legend
Apr-25-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar604,7220-42,8367352,68223-9,84697
FedFunds1,909,06781-90,60828103,00672-12,39867
2-Year2,719,44185-546,30719486,7577659,55084
Long T-Bond1,193,35855-97,3685326,6982070,670100
10-Year4,362,22290-740,2610685,2169555,04597
5-Year4,576,091100-869,2880837,20910032,07990

 

Strength Scores led by Eurodollar & 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 Eurodollar (73 percent) and the US Treasury Bonds (53 percent) lead the bond markets this week. The SOFR 3-Months (36 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the Ultra 10-Year Bonds (3 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.4 percent) vs Fed Funds previous week (25.0 percent)
2-Year Bond (19.2 percent) vs 2-Year Bond previous week (15.5 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.9 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (6.5 percent)
Ultra 10-Year Bond (3.3 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (52.9 percent) vs US Treasury Bond previous week (46.5 percent)
Ultra US Treasury Bond (19.6 percent) vs Ultra US Treasury Bond previous week (19.1 percent)
Eurodollar (72.9 percent) vs Eurodollar previous week (72.7 percent)
SOFR 3-Months (36.5 percent) vs SOFR 3-Months previous week (43.8 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (19 percent) and the US Treasury Bonds (17 percent) lead the past six weeks trends for bonds.

The 5-Year Bond (-32.3 percent) leads the downside trend scores currently with the SOFR 3-Months (-31 percent) and the 10-Year Bonds (-25 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.2 percent) vs Fed Funds previous week (15.2 percent)
2-Year Bond (-1.9 percent) vs 2-Year Bond previous week (5.5 percent)
5-Year Bond (-32.3 percent) vs 5-Year Bond previous week (-10.2 percent)
10-Year Bond (-25.3 percent) vs 10-Year Bond previous week (-13.5 percent)
Ultra 10-Year Bond (0.3 percent) vs Ultra 10-Year Bond previous week (-3.0 percent)
US Treasury Bond (17.1 percent) vs US Treasury Bond previous week (18.3 percent)
Ultra US Treasury Bond (19.4 percent) vs Ultra US Treasury Bond previous week (11.3 percent)
Eurodollar (15.9 percent) vs Eurodollar previous week (23.1 percent)
SOFR 3-Months (-31.3 percent) vs SOFR 3-Months previous week (43.8 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 -42,836 contracts in the data reported through Tuesday. This was a weekly lift of 8,395 contracts from the previous week which had a total of -51,231 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.9 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.862.29.5
– Percent of Open Interest Shorts:33.953.511.2
– Net Position:-42,83652,682-9,846
– Gross Longs:162,210375,92457,705
– Gross Shorts:205,046323,24267,551
– Long to Short Ratio:0.8 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.923.097.2
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.9-20.752.8

 

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 -716,355 contracts in the data reported through Tuesday. This was a weekly decrease of -89,967 contracts from the previous week which had a total of -626,388 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 36.5 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.5 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.264.00.4
– Percent of Open Interest Shorts:21.756.40.5
– Net Position:-716,355722,508-6,153
– Gross Longs:1,351,6486,105,24641,555
– Gross Shorts:2,068,0035,382,73847,708
– Long to Short Ratio:0.7 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.563.984.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.318.984.5

 

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 -90,608 contracts in the data reported through Tuesday. This was a weekly boost of 28,111 contracts from the previous week which had a total of -118,719 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.4 percent. The commercials are Bullish with a score of 72.4 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.779.72.2
– Percent of Open Interest Shorts:8.474.32.8
– Net Position:-90,608103,006-12,398
– Gross Longs:70,4411,520,81641,850
– Gross Shorts:161,0491,417,81054,248
– Long to Short Ratio:0.4 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.472.466.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.2-3.966.7

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week was a net position of -546,307 contracts in the data reported through Tuesday. This was a weekly increase of 28,607 contracts from the previous week which had a total of -574,914 net contracts.

This 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 19.2 percent. The commercials are Bullish with a score of 75.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.881.08.2
– Percent of Open Interest Shorts:29.963.16.0
– Net Position:-546,307486,75759,550
– Gross Longs:265,7112,203,465221,675
– Gross Shorts:812,0181,716,708162,125
– Long to Short Ratio:0.3 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.275.884.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-3.418.5

 

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 -869,288 contracts in the data reported through Tuesday. This was a weekly decline of -114,786 contracts from the previous week which had a total of -754,502 net contracts.

This 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 89.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.784.17.9
– Percent of Open Interest Shorts:25.765.87.2
– Net Position:-869,288837,20932,079
– Gross Longs:307,6403,846,432359,672
– Gross Shorts:1,176,9283,009,223327,593
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.089.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-32.327.516.4

 

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 -740,261 contracts in the data reported through Tuesday. This was a weekly decline of -60,180 contracts from the previous week which had a total of -680,081 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 95.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.9 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.979.49.2
– Percent of Open Interest Shorts:25.963.77.9
– Net Position:-740,261685,21655,045
– Gross Longs:389,7283,462,741400,768
– Gross Shorts:1,129,9892,777,525345,723
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.296.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.311.830.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week was a net position of -190,916 contracts in the data reported through Tuesday. This was a weekly advance of 15,667 contracts from the previous week which had a total of -206,583 net contracts.

This 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 3.3 percent. The commercials are Bullish-Extreme with a score of 91.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.010.0
– Percent of Open Interest Shorts:20.563.214.9
– Net Position:-190,916269,304-78,388
– Gross Longs:137,5311,281,853160,380
– Gross Shorts:328,4471,012,549238,768
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.391.967.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.311.5-32.6

 

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 -97,368 contracts in the data reported through Tuesday. This was a weekly advance of 19,560 contracts from the previous week which had a total of -116,928 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.9 percent. The commercials are Bearish with a score of 20.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.877.914.8
– Percent of Open Interest Shorts:15.075.78.8
– Net Position:-97,36826,69870,670
– Gross Longs:81,222929,608176,053
– Gross Shorts:178,590902,910105,383
– Long to Short Ratio:0.5 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.920.1100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.1-30.123.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -397,985 contracts in the data reported through Tuesday. This was a weekly rise of 1,016 contracts from the previous week which had a total of -399,001 net contracts.

This 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 19.6 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.882.012.0
– Percent of Open Interest Shorts:33.757.78.4
– Net Position:-397,985347,57550,410
– Gross Longs:83,0531,171,201170,666
– Gross Shorts:481,038823,626120,256
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.676.790.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.4-23.22.5

 

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
26 Apr
trading

Corporate Bonds: “The Next Shoe to Drop”

“The neckline has been broken over the last few days”

By Elliott Wave International

A “calamity” is likely ahead for corporate bonds, says our head of global research, Murray Gunn.

Some of Murray’s analysis involves the head and shoulders, a classic technical chart pattern. In case you’re unfamiliar with it, here’s an illustration along with an explanation from one of our past publications:

A head-and-shoulders is a reversal pattern that consists of three price extremes. Market technicians refer to [them] as the left shoulder, head, and right shoulder. …it takes a break of the neckline to confirm a reversal… [and it’s] not just a bearish reversal formation. Inverted head-and-shoulders mark bottoms.

With that in mind, here’s a chart and commentary which Murray provided for the April Global Market Perspective, a monthly Elliott Wave International publication which covers 50-plus financial markets:

The chart … shows the relative performance of corporate bonds, as proxied by the iShares iBoxx $ Investment Grade Corporate Bond ETF (ticker LQD) versus the iShares 7-10 Year Treasury Bond ETF (ticker IEF). A distinct Head and Shoulders pattern exists where the neckline has been broken over the last few days. The corporate bond market has held in reasonably well over the last year, but we fully expect this sector to be the next shoe to drop.

Don’t count on the ratings services to provide timely warnings. In the past, downgraded ratings have sometimes come only after most if not all the damage was done.

Remember Enron? The company still had an “investment grade” rating just four days before it collapsed. Ratings services also missed the 1995 debacle at Barings Bank. Olympia and York of Canada is another historical example: the largest real estate developer in the world at the time had a AA rating on its debt in 1991. Less than a year later, it went bankrupt.

Getting back to the present, Murray Gunn also notes:

When … corporate loans are re-set this year, there are going to be a few deep breaths being taken, and more than a fair share of tightened sphincters!

And, speaking of chart patterns of financial markets, another way to monitor the bond market is to use Elliott wave analysis.

If you’d like to delve into the details of this method of analysis, read Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior. Here’s a quote from the book:

If indeed markets are patterned, and if those patterns have a recognizable geometry, then regardless of the variations allowed, certain price and time relationships are likely to recur. In fact, experience shows that they do.

It is our practice to try to determine in advance where the next move will likely take the market. One advantage of setting a target is that it gives a sort of backdrop against which to monitor the market’s actual path. This way, you are alerted quickly when something is wrong and can shift your interpretation to a more appropriate one if the market does not do what you expect. The second advantage of choosing a target well in advance is that it prepares you psychologically for buying when others are selling out in despair, and selling when others are buying confidently in a euphoric environment.

If you’d like to read the entire online version of Elliott Wave Principle: Key to Market Behavior, you may do so for free once you become a member of Club EWI, the world’s largest Elliott wave educational community. A Club EWI membership is also free.

Join now by following this link: Elliott Wave Principle: Key to Market Behavior — get free and instant access.

This article was syndicated by Elliott Wave International and was originally published under the headline Corporate Bonds: “The Next Shoe to Drop”. 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
23 Apr

Bonds Speculators drop their 10-Year Treasury bets to a 237-week low

By InvestMacro

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

The latest COT data is updated through Tuesday April 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 5-Year Bonds & Eurodollar

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 Eurodollar (598,254 contracts) which, as noted last week, is being phased out and replaced by the Secured Overnight Financing Rate (SOFR 3-Months) contracts. The rise in Eurodollar bets was due to traders closing out their bearish positions while the SOFR 3-Months contracts saw a similar rise in bearish contracts this week.

The other markets with gains this week were the Fed Funds (48,557 contracts), the US Treasury Bonds (15,656 contracts), the 5-Year Bonds (7,479 contracts) and the Ultra Treasury Bonds (277 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-466,948 contracts) with the 2-Year Bonds (-78,073 contracts), the 10-Year Bonds (-41,044 contracts) and the Ultra 10-Year Bonds (-9,612 contracts) also registering lower bets on the week.

10-Year Bond Speculators drop bets to 237-week low

Highlighting the COT bond’s data this week is the weakness in the 10-Year Bonds speculator net contracts. Large speculative 10-Year Bond positions fell this week by over -40,000 net contracts and have declined for three straight weeks as well as in four out of the past five weeks. The 10-Year Bond net position has now seen a total of -172,715 contracts added to the existing bearish standing over this past five week period.

The 10-Year positions have now fallen (currently at -680,081 contracts) to the most bearish level since October 2nd of 2018, a span of 237 weeks from when the net position totaled -740,192 contracts.

Overall, the 10-Year speculator net positions have now been in a continuous bearish level for 80 straight weeks, dating back to October 12th of 2021 when the net position flipped from bullish to bearish. Since that time, the net position has steadily increased in bearishness (save for a couple of short pullbacks) as the sentiment for bonds has been decimated due to the US Federal Reserve raising their benchmark interest rate (to fight inflation). Despite the current outlook (Fed Rate Tool) that the Federal Reserve will likely only raise the interest rate one more time in May, speculators have continued to raise their bearish bets for the 10-Year.

The 10-Year front-month futures price, meanwhile, has not dropped back to the lowest levels of this cycle. The price closed at 114.15 this week and is almost 5 percent higher than the lows of October when prices dropped to the 108 levels.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-18-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar603,3100-51,2317347,522233,709100
FedFunds1,728,59466-118,71925130,56376-11,84468
2-Year2,642,31478-574,91416520,5588154,35682
Long T-Bond1,185,80254-116,9284746,2352770,693100
10-Year4,393,55992-680,0810638,7409041,34194
5-Year4,472,64299-754,5023716,6339337,86991

 

Strength Scores led by Eurodollar & 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 Eurodollar (73 percent) and the US Treasury Bonds (47 percent) lead the bond markets this week. The SOFR 3-Months (44 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the 5-Year Bonds (3 percent) and the 2-Year Bonds (16 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (25.0 percent) vs Fed Funds previous week (19.0 percent)
2-Year Bond (15.5 percent) vs 2-Year Bond previous week (25.5 percent)
5-Year Bond (3.0 percent) vs 5-Year Bond previous week (2.2 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (4.8 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (2.0 percent)
US Treasury Bond (46.5 percent) vs US Treasury Bond previous week (41.4 percent)
Ultra US Treasury Bond (19.1 percent) vs Ultra US Treasury Bond previous week (19.0 percent)
Eurodollar (72.7 percent) vs Eurodollar previous week (57.4 percent)
SOFR 3-Months (43.8 percent) vs SOFR 3-Months previous week (81.6 percent)

 

SOFR 3-Months & Eurodollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (44 percent) and the Eurodollar (23 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (18 percent) and are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-14 percent) and the 5-Year Bonds (-11 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (15.2 percent) vs Fed Funds previous week (0.5 percent)
2-Year Bond (5.5 percent) vs 2-Year Bond previous week (20.4 percent)
5-Year Bond (-11.2 percent) vs 5-Year Bond previous week (-12.4 percent)
10-Year Bond (-14.4 percent) vs 10-Year Bond previous week (-1.3 percent)
Ultra 10-Year Bond (-3.0 percent) vs Ultra 10-Year Bond previous week (1.1 percent)
US Treasury Bond (18.3 percent) vs US Treasury Bond previous week (14.4 percent)
Ultra US Treasury Bond (11.3 percent) vs Ultra US Treasury Bond previous week (9.9 percent)
Eurodollar (23.1 percent) vs Eurodollar previous week (9.0 percent)
SOFR 3-Months (43.8 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 reached a net position of -51,231 contracts in the data reported through Tuesday. This was a weekly lift of 598,254 contracts from the previous week which had a total of -649,485 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.7 percent. The commercials are Bearish with a score of 22.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:26.360.611.1
– Percent of Open Interest Shorts:34.852.710.5
– Net Position:-51,23147,5223,709
– Gross Longs:158,876365,30867,086
– Gross Shorts:210,107317,78663,377
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.722.9100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:23.1-27.252.0

 

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 reached a net position of -626,388 contracts in the data reported through Tuesday. This was a weekly lowering of -466,948 contracts from the previous week which had a total of -159,440 net contracts.

This 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 43.8 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.0 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.965.00.6
– Percent of Open Interest Shorts:20.558.30.6
– Net Position:-626,388627,991-1,603
– Gross Longs:1,301,6266,103,49354,601
– Gross Shorts:1,928,0145,475,50256,204
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.856.387.0
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.8-43.7-0.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -118,719 contracts in the data reported through Tuesday. This was a weekly rise of 48,557 contracts from the previous week which had a total of -167,276 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 25.0 percent. The commercials are Bullish with a score of 75.7 percent and the small traders (not shown in chart) are Bullish with a score of 67.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.179.72.4
– Percent of Open Interest Shorts:11.072.23.0
– Net Position:-118,719130,563-11,844
– Gross Longs:70,6941,377,90340,832
– Gross Shorts:189,4131,247,34052,676
– Long to Short Ratio:0.4 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.075.767.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.2-15.23.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -574,914 contracts in the data reported through Tuesday. This was a weekly decrease of -78,073 contracts from the previous week which had a total of -496,841 net contracts.

This 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 15.5 percent. The commercials are Bullish-Extreme with a score of 80.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.682.28.4
– Percent of Open Interest Shorts:30.462.56.3
– Net Position:-574,914520,55854,356
– Gross Longs:227,6522,173,300221,790
– Gross Shorts:802,5661,652,742167,434
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.580.681.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.5-11.518.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -754,502 contracts in the data reported through Tuesday. This was a weekly lift of 7,479 contracts from the previous week which had a total of -761,981 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.0 percent. The commercials are Bullish-Extreme with a score of 93.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.084.48.2
– Percent of Open Interest Shorts:22.968.47.4
– Net Position:-754,502716,63337,869
– Gross Longs:270,0633,775,123366,773
– Gross Shorts:1,024,5653,058,490328,904
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.093.391.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.2-1.931.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -680,081 contracts in the data reported through Tuesday. This was a weekly lowering of -41,044 contracts from the previous week which had a total of -639,037 net contracts.

This 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 90.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.878.39.0
– Percent of Open Interest Shorts:26.263.78.1
– Net Position:-680,081638,74041,341
– Gross Longs:473,0723,439,022395,955
– Gross Shorts:1,153,1532,800,282354,614
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.090.193.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.4-4.139.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -206,583 contracts in the data reported through Tuesday. This was a weekly lowering of -9,612 contracts from the previous week which had a total of -196,971 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 95.6 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.779.810.3
– Percent of Open Interest Shorts:21.562.015.3
– Net Position:-206,583286,593-80,010
– Gross Longs:140,1071,286,225166,166
– Gross Shorts:346,690999,632246,176
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.666.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.0-4.420.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -116,928 contracts in the data reported through Tuesday. This was a weekly boost of 15,656 contracts from the previous week which had a total of -132,584 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.5 percent. The commercials are Bearish with a score of 27.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.879.014.8
– Percent of Open Interest Shorts:15.775.18.9
– Net Position:-116,92846,23570,693
– Gross Longs:69,031936,757175,995
– Gross Shorts:185,959890,522105,302
– Long to Short Ratio:0.4 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.527.1100.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.3-39.840.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -399,001 contracts in the data reported through Tuesday. This was a weekly gain of 277 contracts from the previous week which had a total of -399,278 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.1 percent. The commercials are Bullish with a score of 76.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.582.511.9
– Percent of Open Interest Shorts:33.558.18.3
– Net Position:-399,001347,52151,480
– Gross Longs:78,0301,176,217169,143
– Gross Shorts:477,031828,696117,663
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.176.791.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-23.321.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
15 Apr

COT Bonds Speculators raise 3-Month SOFR bets as Eurodollars are phased out

By InvestMacro

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

The latest COT data is updated through Tuesday April 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 SOFR 3-Months & 5-Year Bonds

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

Leading the gains for the bond markets was the SOFR 3-Months (41,837 contracts) with the 5-Year Bonds (19,258 contracts), the Ultra Treasury Bonds (8,480 contracts) and the 2-Year Bonds (5,214 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-20,036 contracts), the 10-Year Bonds (-18,006 contracts), the Eurodollar (-2,166 contracts), the US Treasury Bonds (-2,938 contracts) and the Ultra 10-Year Bonds (-10,494 contracts) also registering lower bets on the week.

SOFR contracts to replace Eurodollar contracts this week

Highlighting the COT bond’s data this week is an important week for the Secured Overnight Financing Rate (3-Months) or SOFR contracts. The SOFR contracts are relatively new on the scene as these futures only started in 2020. The SOFR contracts are in the process of taking the place of the Eurodollar contracts as the Eurodollars are being phased out and this week marks the last week for traders to use the Eurodollars contracts. Going forward, the Eurodollars contracts will be converted into 3-Month SOFRs and we will cease to have a Eurodollars futures contract.

The Eurodollars were the most traded and the highest open interest contract in the futures market for many years because it was a way for investors to express a view on short-term interest rates based on the London Interbank Offered Rate (LIBOR). However, LIBOR was fraught with controversy as it was a survey based on banks and was caught up in a manipulation scandal in 2012. In that scandal, bank participants colluded to move the LIBOR rate higher or lower and use that to their advantage.

The SOFR has taken precedence because it is calculated using actually market data (provided by the NY Fed Bank) instead of survey data. The SOFR data is from the US Dollar Treasury overnight repurchase agreement (REPO) transactions which are essentially loans between banks that are backed and collateralized by Treasury securities.

The SOFR contracts now have the highest open interest levels with these contracts exceeding over 10 million in open interest in March. To read more on the SOFRs and how to imply the SOFR interest rate from the futures contracts, see here.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-11-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,630,6510-649,48557801,07341-151,58871
FedFunds1,624,73057-167,27619175,87581-8,59974
2-Year2,531,96968-496,84125460,4137236,42873
Long T-Bond1,179,82352-132,5844169,5083563,07695
10-Year4,275,29384-639,0370622,6618816,37687
5-Year4,446,56697-761,9812722,7029439,27992

 

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 (82 percent) and the Eurodollar (57 percent) lead the bond markets this week. The US Treasury Bonds (41 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 10-Year Bonds (0 percent) and the Ultra 10-Year Bonds (1 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 5-Year Bonds (2 percent) and the Ultra Treasury Bonds (19 percent).

Strength Statistics:
Fed Funds (19.0 percent) vs Fed Funds previous week (21.4 percent)
2-Year Bond (25.5 percent) vs 2-Year Bond previous week (24.8 percent)
5-Year Bond (2.2 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (2.2 percent)
Ultra 10-Year Bond (1.2 percent) vs Ultra 10-Year Bond previous week (3.4 percent)
US Treasury Bond (41.4 percent) vs US Treasury Bond previous week (42.4 percent)
Ultra US Treasury Bond (19.0 percent) vs Ultra US Treasury Bond previous week (15.4 percent)
Eurodollar (57.4 percent) vs Eurodollar previous week (57.4 percent)
SOFR 3-Months (81.6 percent) vs SOFR 3-Months previous week (78.2 percent)

 

SOFR 3-Months & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the SOFR 3-Months (54 percent) and the 2-Year Bonds (20 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (14 percent) and the 5-Year Bonds (-12 percent) are the next highest positive movers in the latest trends data.

The 10-Year Bonds (-1 percent) leads the downside trend scores currently with the Fed Funds (0 percent) and the Ultra 10-Year Bonds (1 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (0.5 percent) vs Fed Funds previous week (-7.1 percent)
2-Year Bond (20.4 percent) vs 2-Year Bond previous week (24.4 percent)
5-Year Bond (-12.4 percent) vs 5-Year Bond previous week (-20.8 percent)
10-Year Bond (-1.4 percent) vs 10-Year Bond previous week (-14.7 percent)
Ultra 10-Year Bond (1.2 percent) vs Ultra 10-Year Bond previous week (-9.8 percent)
US Treasury Bond (14.4 percent) vs US Treasury Bond previous week (8.2 percent)
Ultra US Treasury Bond (9.9 percent) vs Ultra US Treasury Bond previous week (-1.9 percent)
Eurodollar (9.0 percent) vs Eurodollar previous week (9.3 percent)
SOFR 3-Months (54.2 percent) vs SOFR 3-Months previous week (43.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week recorded a net position of -649,485 contracts in the data reported through Tuesday. This was a weekly reduction of -2,166 contracts from the previous week which had a total of -647,319 net contracts.

This 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 57.4 percent. The commercials are Bearish with a score of 40.7 percent and the small traders (not shown in chart) are Bullish with a score of 71.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.267.74.5
– Percent of Open Interest Shorts:20.350.47.7
– Net Position:-649,485801,073-151,588
– Gross Longs:288,6503,134,754207,022
– Gross Shorts:938,1352,333,681358,610
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.440.771.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-10.419.5

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -159,440 contracts in the data reported through Tuesday. This was a weekly advance of 41,837 contracts from the previous week which had a total of -201,277 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 81.6 percent. The commercials are Bearish-Extreme with a score of 18.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.157.70.5
– Percent of Open Interest Shorts:21.856.00.5
– Net Position:-159,440159,269171
– Gross Longs:1,920,6375,513,37548,102
– Gross Shorts:2,080,0775,354,10647,931
– Long to Short Ratio:0.9 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.618.388.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.2-55.04.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -167,276 contracts in the data reported through Tuesday. This was a weekly decline of -20,036 contracts from the previous week which had a total of -147,240 net contracts.

This 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 19.0 percent. The commercials are Bullish-Extreme with a score of 81.2 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.382.12.4
– Percent of Open Interest Shorts:12.671.32.9
– Net Position:-167,276175,875-8,599
– Gross Longs:37,1001,334,56938,360
– Gross Shorts:204,3761,158,69446,959
– Long to Short Ratio:0.2 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.081.274.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.5-1.314.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -496,841 contracts in the data reported through Tuesday. This was a weekly advance of 5,214 contracts from the previous week which had a total of -502,055 net contracts.

This 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 25.5 percent. The commercials are Bullish with a score of 72.0 percent and the small traders (not shown in chart) are Bullish with a score of 73.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.782.38.1
– Percent of Open Interest Shorts:28.464.26.7
– Net Position:-496,841460,41336,428
– Gross Longs:221,1392,084,824205,672
– Gross Shorts:717,9801,624,411169,244
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.572.073.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.4-25.79.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -761,981 contracts in the data reported through Tuesday. This was a weekly gain of 19,258 contracts from the previous week which had a total of -781,239 net contracts.

This 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 2.2 percent. The commercials are Bullish-Extreme with a score of 94.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.48.2
– Percent of Open Interest Shorts:24.267.27.3
– Net Position:-761,981722,70239,279
– Gross Longs:312,0763,708,958365,278
– Gross Shorts:1,074,0572,986,256325,999
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.294.091.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.41.925.4

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -639,037 contracts in the data reported through Tuesday. This was a weekly reduction of -18,006 contracts from the previous week which had a total of -621,031 net contracts.

This 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 88.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.879.78.7
– Percent of Open Interest Shorts:24.765.18.3
– Net Position:-639,037622,66116,376
– Gross Longs:418,0803,405,619371,253
– Gross Shorts:1,057,1172,782,958354,877
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.088.487.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.4-11.628.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -196,971 contracts in the data reported through Tuesday. This was a weekly fall of -10,494 contracts from the previous week which had a total of -186,477 net contracts.

This 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 1.2 percent. The commercials are Bullish-Extreme with a score of 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.981.19.7
– Percent of Open Interest Shorts:20.363.414.9
– Net Position:-196,971280,480-83,509
– Gross Longs:126,5171,290,288153,890
– Gross Shorts:323,4881,009,808237,399
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.294.364.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-4.910.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -132,584 contracts in the data reported through Tuesday. This was a weekly decrease of -2,938 contracts from the previous week which had a total of -129,646 net contracts.

This 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 41.4 percent. The commercials are Bearish with a score of 35.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.979.014.7
– Percent of Open Interest Shorts:17.273.19.4
– Net Position:-132,58469,50863,076
– Gross Longs:69,855932,461173,415
– Gross Shorts:202,439862,953110,339
– Long to Short Ratio:0.3 to 11.1 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.435.495.1
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.4-31.332.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -399,278 contracts in the data reported through Tuesday. This was a weekly rise of 8,480 contracts from the previous week which had a total of -407,758 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-Extreme with a score of 19.0 percent. The commercials are Bullish with a score of 77.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.583.011.3
– Percent of Open Interest Shorts:33.858.37.7
– Net Position:-399,278348,66950,609
– Gross Longs:78,0231,172,982159,503
– Gross Shorts:477,301824,313108,894
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.077.290.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.9-21.821.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

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