Archive for Bonds – Page 8

08 Apr

Bond Speculators boost their 5-Year Bond bearish bets to highest level since 2018

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 4th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year Bonds & Fed Funds

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 2-Year Bonds (23,422 contracts) with the Fed Funds (21,360 contracts) and the Ultra Treasury Bonds (14,018 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-154,078 contracts), the 10-Year Bonds (-149,453 contracts), the 5-Year Bonds (-98,884 contracts), the US Treasury Bonds (-38,247 contracts), the Eurodollar (-17,911 contracts) and the Ultra 10-Year Bonds (-34,673 contracts) also registering lower bets on the week.

Speculators boost their 5-Year Bond bearish bets to highest level since 2018

Highlighting the COT bond’s data this week is the renewed bearishness of the speculator positioning in the 5-Year Bonds contracts.

Large speculative positions for the 5-Year Bonds dropped sharply this week by the largest one-week amount of the past 17 weeks. Speculator bets have fallen for three straight weeks and in six out of the past seven weeks.

Prior to the past seven weeks, speculator bets had been improving and saw lessening bearish bets in seven out of the previous nine weeks that had brought the overall bearish level to a total of -589,391 contracts on February 14th. Since then a total of -191,848 contracts have been added back to the overall net bearish position – bringing this week’s total of -781,239 contracts to the most bearish standing since October 16th of 2018, a span dating back 233 weeks. The 5-Year Bond speculator positions have been in a continuous bearish position for the 84 consecutive weeks (since August 31st of 2021).

Despite the speculators bearishness this week, the 5-Year Bond futures price closed the week higher. The front month futures finished the week over the 110.20 level which marks the highest closing price since September and the 5-Year Bond futures have now risen for five out of the past six weeks.

Data Snapshot of Bond Market Traders | Columns Legend
Apr-04-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,684,5640-647,31957820,93841-173,61966
FedFunds1,577,22553-147,24021156,92779-9,68772
2-Year2,351,68252-502,05525483,1707518,88565
Long T-Bond1,193,58356-129,6464282,2814047,36584
10-Year4,263,19583-621,0311618,359882,67284
5-Year4,493,575100-781,2390754,9709826,26988

 

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 (78 percent) and the Eurodollar (57 percent) lead the bond markets this week. The US Treasury Bonds (42 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 (1 percent), the Ultra 10-Year Bonds (3 percent) and the Ultra Treasury Bonds (15 percent) came in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (21.4 percent) vs Fed Funds previous week (18.8 percent)
2-Year Bond (24.8 percent) vs 2-Year Bond previous week (21.8 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.3 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (19.3 percent)
Ultra 10-Year Bond (3.4 percent) vs Ultra 10-Year Bond previous week (10.6 percent)
US Treasury Bond (42.4 percent) vs US Treasury Bond previous week (54.8 percent)
Ultra US Treasury Bond (15.4 percent) vs Ultra US Treasury Bond previous week (9.4 percent)
Eurodollar (57.4 percent) vs Eurodollar previous week (57.9 percent)
SOFR 3-Months (78.2 percent) vs SOFR 3-Months previous week (90.7 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 (44 percent) and the 2-Year Bonds (24 percent) lead the past six weeks trends for bonds.

The 10-Year Bonds (-15 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-10 percent) and the Fed Funds (-7 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-7.1 percent) vs Fed Funds previous week (-6.9 percent)
2-Year Bond (24.4 percent) vs 2-Year Bond previous week (21.8 percent)
5-Year Bond (-20.8 percent) vs 5-Year Bond previous week (-10.6 percent)
10-Year Bond (-14.9 percent) vs 10-Year Bond previous week (11.3 percent)
Ultra 10-Year Bond (-9.8 percent) vs Ultra 10-Year Bond previous week (-6.4 percent)
US Treasury Bond (8.2 percent) vs US Treasury Bond previous week (30.5 percent)
Ultra US Treasury Bond (-1.9 percent) vs Ultra US Treasury Bond previous week (-1.9 percent)
Eurodollar (9.3 percent) vs Eurodollar previous week (10.3 percent)
SOFR 3-Months (43.9 percent) vs SOFR 3-Months previous week (40.2 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 -647,319 contracts in the data reported through Tuesday. This was a weekly decrease of -17,911 contracts from the previous week which had a total of -629,408 net contracts.

This 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 41.2 percent and the small traders (not shown in chart) are Bullish with a score of 66.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.967.65.1
– Percent of Open Interest Shorts:19.750.18.8
– Net Position:-647,319820,938-173,619
– Gross Longs:275,7243,168,706237,406
– Gross Shorts:923,0432,347,768411,025
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.441.266.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.3-10.417.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -201,277 contracts in the data reported through Tuesday. This was a weekly decline of -154,078 contracts from the previous week which had a total of -47,199 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.2 percent. The commercials are Bearish with a score of 22.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.2 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.157.90.9
– Percent of Open Interest Shorts:22.255.70.9
– Net Position:-201,277206,206-4,929
– Gross Longs:1,887,9735,451,41780,647
– Gross Shorts:2,089,2505,245,21185,576
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.222.185.2
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:43.9-43.1-5.6

 

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 -147,240 contracts in the data reported through Tuesday. This was a weekly lift of 21,360 contracts from the previous week which had a total of -168,600 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.4 percent. The commercials are Bullish with a score of 78.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:2.281.52.5
– Percent of Open Interest Shorts:11.671.63.1
– Net Position:-147,240156,927-9,687
– Gross Longs:35,2041,285,51338,653
– Gross Shorts:182,4441,128,58648,340
– Long to Short Ratio:0.2 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.478.972.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.16.310.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -502,055 contracts in the data reported through Tuesday. This was a weekly boost of 23,422 contracts from the previous week which had a total of -525,477 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 with a score of 24.8 percent. The commercials are Bullish with a score of 75.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.684.88.3
– Percent of Open Interest Shorts:26.964.37.5
– Net Position:-502,055483,17018,885
– Gross Longs:131,3691,994,892194,214
– Gross Shorts:633,4241,511,722175,329
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.875.364.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.4-24.7-8.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -781,239 contracts in the data reported through Tuesday. This was a weekly decrease of -98,884 contracts from the previous week which had a total of -682,355 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 97.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.284.48.2
– Percent of Open Interest Shorts:23.567.67.6
– Net Position:-781,239754,97026,269
– Gross Longs:276,4323,791,191366,353
– Gross Shorts:1,057,6713,036,221340,084
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.888.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.814.516.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -621,031 contracts in the data reported through Tuesday. This was a weekly decline of -149,453 contracts from the previous week which had a total of -471,578 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.9 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.680.78.8
– Percent of Open Interest Shorts:23.266.28.7
– Net Position:-621,031618,3592,672
– Gross Longs:366,7933,440,398374,033
– Gross Shorts:987,8242,822,039371,361
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.987.984.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.93.122.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -186,477 contracts in the data reported through Tuesday. This was a weekly decline of -34,673 contracts from the previous week which had a total of -151,804 net contracts.

This 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 3.4 percent. The commercials are Bullish-Extreme with a score of 94.0 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.880.310.8
– Percent of Open Interest Shorts:19.662.616.7
– Net Position:-186,477279,297-92,820
– Gross Longs:122,7711,268,053171,348
– Gross Shorts:309,248988,756264,168
– Long to Short Ratio:0.4 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.494.058.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.813.4-9.3

 

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 -129,646 contracts in the data reported through Tuesday. This was a weekly reduction of -38,247 contracts from the previous week which had a total of -91,399 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.4 percent. The commercials are Bearish with a score of 39.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.679.113.9
– Percent of Open Interest Shorts:17.472.39.9
– Net Position:-129,64682,28147,365
– Gross Longs:78,208944,657165,747
– Gross Shorts:207,854862,376118,382
– Long to Short Ratio:0.4 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.439.983.6
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.2-15.313.1

 

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 -407,758 contracts in the data reported through Tuesday. This was a weekly increase of 14,018 contracts from the previous week which had a total of -421,776 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.4 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.183.111.7
– Percent of Open Interest Shorts:34.058.17.8
– Net Position:-407,758353,31354,445
– Gross Longs:71,9161,171,667164,167
– Gross Shorts:479,674818,354109,722
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.479.494.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-5.115.1

 

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 Apr

Bonds Speculators raised their 10-Year Bond bets to best level in 11-weeks

By InvestMacro

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

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

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

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 10-Year Bonds (99,451 contracts) with the SOFR 3-Months (35,598 contracts), the Ultra Treasury Bonds (22,186 contracts), Eurodollar (8,563 contracts), US Treasury Bonds (8,014 contracts), and the Ultra 10-Year Bonds (6,322 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-144,248 contracts), the 2-Year Bonds (-61,280 contracts) and the 5-Year Bonds (-50,787 contracts) also having lower bets on the week.

10-Year Bond Speculator bets improve to best level in 11-weeks

Highlighting the COT bond’s data this week is the recent improvement of the speculator positioning in the 10-Year Bonds contracts. Large speculative positions for the 10-Year Bonds rose this week by the largest amount of the past 27 weeks and the weekly bets have now been higher in three out of the past five weeks as well as five out of the past seven weeks.

The 10-Year Bond speculator net positions, overall, have been in a continuous bearish position for the past 76 weeks (since October of 2021). The bearish bets have accelerated over the past year in conjunction with the Federal Reserve’s interest rate hiking campaign to tame inflation. The 10-Year Bonds spec position recently hit a 230-week low of -627,947 contracts on February 28th, marking the lowest level dating back to October of 2018 and potentially the low for this cycle.

Since then, the 10-Year Bond speculator positions have taken +156,369 contracts off of the bearish standing and leveled this week at a total of -471,578 contracts which marks the least bearish level of the past eleven weeks. The 10-Year Bond’s speculator strength score level remains depressed in a bearish-extreme standing of 19.3 percent (compared to its 3-year range) but its 6-week strength score trend has shown an improvement by 11.3 percent.

The 10-Year Bond futures price dipped this week after showing gains in the previous four straight weeks. The front month futures price closed at approximately the 114.30 level, just below its 50-day moving average but up over 4 percent from the 2023 low of 110.125.

Data Snapshot of Bond Market Traders | Columns Legend
Mar-28-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,708,9920-629,40858815,49941-186,09164
FedFunds1,779,64770-168,60019174,03381-5,43380
2-Year2,356,31852-525,47722504,3957821,08266
Long T-Bond1,201,69958-91,3995521,6861869,713100
10-Year4,127,91774-471,57819436,4976835,08192
5-Year4,378,90099-682,3556628,1788354,17796

 

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 (91 percent) and the Eurodollar (58 percent) lead the bond markets this week. The US Treasury Bonds (55 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (6 percent), the Ultra Treasury Bonds (9 percent), the Ultra 10-Year Bonds (11 percent), the Fed Funds (18.8 percent) and the 10-Year Bonds (19 percent) came in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (18.8 percent) vs Fed Funds previous week (36.6 percent)
2-Year Bond (21.8 percent) vs 2-Year Bond previous week (29.6 percent)
5-Year Bond (6.1 percent) vs 5-Year Bond previous week (12.2 percent)
10-Year Bond (19.3 percent) vs 10-Year Bond previous week (7.0 percent)
Ultra 10-Year Bond (10.6 percent) vs Ultra 10-Year Bond previous week (9.3 percent)
US Treasury Bond (54.8 percent) vs US Treasury Bond previous week (52.2 percent)
Ultra US Treasury Bond (9.4 percent) vs Ultra US Treasury Bond previous week (0.0 percent)
Eurodollar (57.9 percent) vs Eurodollar previous week (57.7 percent)
SOFR 3-Months (90.7 percent) vs SOFR 3-Months previous week (87.8 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 (40 percent) and the US Treasury Bonds (31 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (22 percent) are the next highest positive movers in the latest trends data.

The 5-Year Bond (-11.2 percent) and the Fed Funds (-7 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-6 percent) and the Ultra Treasury Bonds (-2 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-6.9 percent) vs Fed Funds previous week (5.2 percent)
2-Year Bond (21.8 percent) vs 2-Year Bond previous week (24.8 percent)
5-Year Bond (-11.2 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (11.3 percent) vs 10-Year Bond previous week (1.8 percent)
Ultra 10-Year Bond (-6.4 percent) vs Ultra 10-Year Bond previous week (-6.7 percent)
US Treasury Bond (30.5 percent) vs US Treasury Bond previous week (26.5 percent)
Ultra US Treasury Bond (-1.9 percent) vs Ultra US Treasury Bond previous week (-10.3 percent)
Eurodollar (10.3 percent) vs Eurodollar previous week (10.2 percent)
SOFR 3-Months (40.2 percent) vs SOFR 3-Months previous week (10.2 percent)

Individual Bond Markets:

Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week was a net position of -629,408 contracts in the data reported through Tuesday. This was a weekly rise of 8,563 contracts from the previous week which had a total of -637,971 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 Bullish with a score of 57.9 percent. The commercials are Bearish with a score of 41.1 percent and the small traders (not shown in chart) are Bullish with a score of 63.5 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.167.25.1
– Percent of Open Interest Shorts:20.449.99.0
– Net Position:-629,408815,499-186,091
– Gross Longs:332,4233,163,717238,646
– Gross Shorts:961,8312,348,218424,737
– Long to Short Ratio:0.3 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.941.163.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.3-11.013.2

 

Secured Overnight Financing Rate (SOFR 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 -47,199 contracts in the data reported through Tuesday. This was a weekly gain of 35,598 contracts from the previous week which had a total of -82,797 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 90.7 percent. The commercials are Bearish-Extreme with a score of 9.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.356.50.8
– Percent of Open Interest Shorts:21.856.00.8
– Net Position:-47,19952,561-5,362
– Gross Longs:2,001,1245,319,82773,750
– Gross Shorts:2,048,3235,267,26679,112
– Long to Short Ratio:1.0 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.79.684.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:40.2-39.6-3.5

 

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 -168,600 contracts in the data reported through Tuesday. This was a weekly fall of -144,248 contracts from the previous week which had a total of -24,352 net contracts.

This 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 18.8 percent. The commercials are Bullish-Extreme with a score of 81.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.581.71.9
– Percent of Open Interest Shorts:13.071.92.2
– Net Position:-168,600174,033-5,433
– Gross Longs:62,6641,454,31533,575
– Gross Shorts:231,2641,280,28239,008
– Long to Short Ratio:0.3 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.881.080.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.95.915.6

 

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 -525,477 contracts in the data reported through Tuesday. This was a weekly reduction of -61,280 contracts from the previous week which had a total of -464,197 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.8 percent. The commercials are Bullish with a score of 78.3 percent and the small traders (not shown in chart) are Bullish with a score of 65.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.785.28.3
– Percent of Open Interest Shorts:28.063.87.4
– Net Position:-525,477504,39521,082
– Gross Longs:133,3762,007,134196,052
– Gross Shorts:658,8531,502,739174,970
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.878.365.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.8-21.1-10.9

 

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 -682,355 contracts in the data reported through Tuesday. This was a weekly reduction of -50,787 contracts from the previous week which had a total of -631,568 net contracts.

This 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 82.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.882.58.6
– Percent of Open Interest Shorts:23.468.17.4
– Net Position:-682,355628,17854,177
– Gross Longs:343,2413,611,307377,097
– Gross Shorts:1,025,5962,983,129322,920
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.182.995.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.21.422.3

 

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 -471,578 contracts in the data reported through Tuesday. This was a weekly rise of 99,451 contracts from the previous week which had a total of -571,029 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.3 percent. The commercials are Bullish with a score of 68.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.478.69.2
– Percent of Open Interest Shorts:21.968.08.3
– Net Position:-471,578436,49735,081
– Gross Longs:430,5983,245,247379,666
– Gross Shorts:902,1762,808,750344,585
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.368.092.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-24.633.0

 

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 -151,804 contracts in the data reported through Tuesday. This was a weekly advance of 6,322 contracts from the previous week which had a total of -158,126 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.6 percent. The commercials are Bullish-Extreme with a score of 84.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.879.110.9
– Percent of Open Interest Shorts:18.564.216.1
– Net Position:-151,804232,397-80,593
– Gross Longs:136,4411,232,587170,563
– Gross Shorts:288,2451,000,190251,156
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.684.066.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.42.212.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week was a net position of -91,399 contracts in the data reported through Tuesday. This was a weekly boost of 8,014 contracts from the previous week which had a total of -99,413 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.8 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 100.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.876.614.4
– Percent of Open Interest Shorts:16.474.88.6
– Net Position:-91,39921,68669,713
– Gross Longs:105,219920,469172,685
– Gross Shorts:196,618898,783102,972
– Long to Short Ratio:0.5 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.818.3100.0
– Strength Index Reading (3 Year Range):BullishBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:30.5-51.136.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -421,776 contracts in the data reported through Tuesday. This was a weekly rise of 22,186 contracts from the previous week which had a total of -443,962 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.4 percent. The commercials are Bullish-Extreme with a score of 84.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.9 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.883.012.0
– Percent of Open Interest Shorts:34.657.47.9
– Net Position:-421,776363,69758,079
– Gross Longs:68,5401,175,863170,261
– Gross Shorts:490,316812,166112,182
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.484.597.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.9-3.311.3

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
26 Mar

COT Bonds Speculators boosting 2-Year Bond bets after record 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 March 21st and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

* This COT data is fully up-to-date after weeks of delays due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). The hacking incident had disrupted the ability for the CFTC to report large trader positions.

Weekly Speculator Changes led by 2-Year Bonds & Fed Funds

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

Leading the gains for the bond markets was the 2-Year Bonds (67,316 contracts) with the Fed Funds (64,355 contracts), US Treasury Bonds (50,579 contracts), the Ultra 10-Year Bonds (34,396 contracts) and the Eurodollar (23,399 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-74,356 contracts), the 10-Year Bonds (-63,663 contracts) and the Ultra Treasury Bonds (-436 contracts) also registering lower bets on the week.

2-Year Bonds bets rising after record low

Highlighting the COT bond’s data this week is the rapid improvement of the speculator positioning in the 2-Year Bonds. Large speculative positions for the 2-Year Bond rose this week for a fifth consecutive week and by a total of 232,489 contracts in just the past five weeks. The 2-Year Bond speculator positions hit an all-time record low of -696,686 net contracts on February 14th before starting this recent five-week positive streak that has taken the current net position down to -464,197 contracts. This week’s net position marks the least bearish level of the past nine weeks.

The 2-Year Bond futures price have rebounded sharply over the past month due to a combination of a banking crisis and the sentiment that the Federal Reserve will slow or pause the pace of interest rate increases. According to the CME FedWatch Tool at the current time, traders expect the Fed to raise interest rates by 25 basis points in May but as the calendar progresses, traders are starting to forecast that the Fed will be cutting rates before the end of this year. Rate cuts would positively effect the bonds markets and especially the 2-Year as it is heavily influenced by Fed policy on the shorter end of the yield curve. This week the 2-Year Bond futures price closed near 103.29 and at the highest close since September.

Data Snapshot of Bond Market Traders | Columns Legend
Mar-21-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar4,779,1040-637,97158833,86942-195,89861
FedFunds1,847,79276-24,3523730,57864-6,22679
2-Year2,314,66449-464,19730444,0967020,10165
Long T-Bond1,235,09767-99,4135243,6172655,796100
10-Year4,155,76476-571,0297540,0677930,96291
5-Year4,350,30297-631,56812626,445835,12382

 

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 (58 percent) and the US Treasury Bonds (52 percent) lead the bond markets this week. The Fed Funds (37 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra Treasury Bonds (0 percent), the 10-Year Bonds (7 percent) and the Ultra 10-Year Bonds (9 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (36.6 percent) vs Fed Funds previous week (28.7 percent)
2-Year Bond (29.6 percent) vs 2-Year Bond previous week (21.1 percent)
5-Year Bond (12.2 percent) vs 5-Year Bond previous week (21.2 percent)
10-Year Bond (7.0 percent) vs 10-Year Bond previous week (14.9 percent)
Ultra 10-Year Bond (9.3 percent) vs Ultra 10-Year Bond previous week (2.1 percent)
US Treasury Bond (52.2 percent) vs US Treasury Bond previous week (35.8 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (0.2 percent)
Eurodollar (57.7 percent) vs Eurodollar previous week (57.1 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (27 percent) and the 2-Year Bonds (25 percent) lead the past six weeks trends for bonds. The Eurodollar (10 percent) is the next highest positive movers in the latest trends data.

The Ultra Treasury Bonds (-10 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-7 percent) following next with a lower trend score.

Strength Trend Statistics:
Fed Funds (5.2 percent) vs Fed Funds previous week (-8.5 percent)
2-Year Bond (24.8 percent) vs 2-Year Bond previous week (5.8 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (21.2 percent)
10-Year Bond (1.8 percent) vs 10-Year Bond previous week (5.9 percent)
Ultra 10-Year Bond (-6.7 percent) vs Ultra 10-Year Bond previous week (-12.5 percent)
US Treasury Bond (26.5 percent) vs US Treasury Bond previous week (16.0 percent)
Ultra US Treasury Bond (-10.3 percent) vs Ultra US Treasury Bond previous week (-4.3 percent)
Eurodollar (10.2 percent) vs Eurodollar previous week (9.4 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 -637,971 contracts in the data reported through Tuesday. This was a weekly lift of 23,399 contracts from the previous week which had a total of -661,370 net contracts.

This 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 57.7 percent. The commercials are Bearish with a score of 41.5 percent and the small traders (not shown in chart) are Bullish with a score of 61.3 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.066.85.3
– Percent of Open Interest Shorts:20.449.49.4
– Net Position:-637,971833,869-195,898
– Gross Longs:334,8193,193,023251,700
– Gross Shorts:972,7902,359,154447,598
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.741.561.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.2-10.59.9

 

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 -24,352 contracts in the data reported through Tuesday. This was a weekly gain of 64,355 contracts from the previous week which had a total of -88,707 net contracts.

This 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 36.6 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.876.62.2
– Percent of Open Interest Shorts:10.174.92.6
– Net Position:-24,35230,578-6,226
– Gross Longs:161,9001,414,73841,466
– Gross Shorts:186,2521,384,16047,692
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.663.678.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.2-5.78.5

 

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 -464,197 contracts in the data reported through Tuesday. This was a weekly advance of 67,316 contracts from the previous week which had a total of -531,513 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.6 percent. The commercials are Bullish with a score of 69.7 percent and the small traders (not shown in chart) are Bullish with a score of 65.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.384.68.1
– Percent of Open Interest Shorts:26.465.57.3
– Net Position:-464,197444,09620,101
– Gross Longs:146,5301,959,237188,296
– Gross Shorts:610,7271,515,141168,195
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.669.765.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:24.8-24.0-12.2

 

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 -631,568 contracts in the data reported through Tuesday. This was a weekly lowering of -74,356 contracts from the previous week which had a total of -557,212 net contracts.

This 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 82.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.982.47.7
– Percent of Open Interest Shorts:23.568.07.6
– Net Position:-631,568626,4455,123
– Gross Longs:389,0003,586,593335,724
– Gross Shorts:1,020,5682,960,148330,601
– Long to Short Ratio:0.4 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.282.782.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-1.4-6.8

 

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 -571,029 contracts in the data reported through Tuesday. This was a weekly reduction of -63,663 contracts from the previous week which had a total of -507,366 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.0 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.180.19.0
– Percent of Open Interest Shorts:22.967.18.2
– Net Position:-571,029540,06730,962
– Gross Longs:379,1043,329,656372,551
– Gross Shorts:950,1332,789,589341,589
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.079.391.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.8-12.724.9

 

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 -158,126 contracts in the data reported through Tuesday. This was a weekly boost of 34,396 contracts from the previous week which had a total of -192,522 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.3 percent. The commercials are Bullish-Extreme with a score of 81.0 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.711.2
– Percent of Open Interest Shorts:19.863.815.0
– Net Position:-158,126218,538-60,412
– Gross Longs:153,8051,224,366176,050
– Gross Shorts:311,9311,005,828236,462
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.381.078.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.7-3.929.6

 

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 -99,413 contracts in the data reported through Tuesday. This was a weekly gain of 50,579 contracts from the previous week which had a total of -149,992 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.2 percent. The commercials are Bearish with a score of 26.2 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:8.377.713.7
– Percent of Open Interest Shorts:16.474.29.2
– Net Position:-99,41343,61755,796
– Gross Longs:102,678959,632169,332
– Gross Shorts:202,091916,015113,536
– Long to Short Ratio:0.5 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.226.2100.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.5-36.216.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week was a net position of -443,962 contracts in the data reported through Tuesday. This was a weekly fall of -436 contracts from the previous week which had a total of -443,526 net contracts.

This 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 98.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.484.611.0
– Percent of Open Interest Shorts:35.557.17.4
– Net Position:-443,962391,92752,035
– Gross Longs:62,3081,206,968157,069
– Gross Shorts:506,270815,041105,034
– Long to Short Ratio:0.1 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.191.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.34.614.8

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
11 Mar

Bonds COT Charts: February 21st data shows Speculator bets led by 10-Year Bonds & US Treasury Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday February 21st and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

*** This data is still a few weeks behind the current data because the CFTC up-to-date data has been delayed due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). This hack of ION has created a problem for the large trader positions to be reported and reconciled. The CFTC has back-filled some data over the past few weeks and will get the data back up to date in the coming weeks.

Weekly Speculator Changes led by 10-Year Bonds & US Treasury Bonds

The COT bond market speculator bets were higher through February 21st as six out of the eight bond markets we cover had higher positioning while the other two markets had lower speculator contracts.

Leading the gains for the bond markets was the 10-Year Bonds (62,275 contracts) with the US Treasury Bonds (30,404 contracts), the Fed Funds (22,320 contracts), the Ultra Treasury Bonds (14,048 contracts), Eurodollar (24,267 contracts) and the 2-Year Bonds (3,194 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-18,345 contracts) and the 5-Year Bonds (-9,858 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Feb-21-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,785,4340-1,008,528351,260,81664-252,28849
FedFunds1,810,07473-90,02429104,96973-14,94544
2-Year2,884,05371-693,4920657,11610036,37668
Long T-Bond1,307,31786-154,81634125,2855529,53186
10-Year4,335,63488-500,66011590,35792-89,69759
5-Year4,387,85184-599,24916631,38184-32,13272

 

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 (35 percent) and the US Treasury Bonds (34 percent) led the bond markets through February 21st. The Fed Funds (29 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), 2-Year Bonds (0 percent), 10-Year Bonds (11 percent), Ultra US Treasury Bond (13.4 percent) and the 5-Year Bond (16.1 percent) came in at the lowest strength levels and were in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (28.5 percent) vs Fed Funds previous week (25.8 percent)
2-Year Bond (0.4 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (16.1 percent) vs 5-Year Bond previous week (17.3 percent)
10-Year Bond (11.1 percent) vs 10-Year Bond previous week (3.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (4.4 percent)
US Treasury Bond (34.2 percent) vs US Treasury Bond previous week (24.3 percent)
Ultra US Treasury Bond (13.4 percent) vs Ultra US Treasury Bond previous week (7.1 percent)
Eurodollar (34.6 percent) vs Eurodollar previous week (34.1 percent)

 

Fed Funds & 5-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Fed Funds (3 percent) and the 5-Year Bonds (3 percent) led the past six weeks trends for bonds through February 21st. The Eurodollar (1 percent) is the next highest positive movers in the latest trends data.

The 2-Year Bonds (-30 percent) leads the downside trend scores currently with the Ultra Treasury Bonds (-14 percent) and the 10-Year Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (2.8 percent) vs Fed Funds previous week (-0.5 percent)
2-Year Bond (-30.3 percent) vs 2-Year Bond previous week (-22.3 percent)
5-Year Bond (2.9 percent) vs 5-Year Bond previous week (7.7 percent)
10-Year Bond (-11.6 percent) vs 10-Year Bond previous week (-23.4 percent)
Ultra 10-Year Bond (-10.0 percent) vs Ultra 10-Year Bond previous week (-2.0 percent)
US Treasury Bond (0.8 percent) vs US Treasury Bond previous week (-5.2 percent)
Ultra US Treasury Bond (-14.2 percent) vs Ultra US Treasury Bond previous week (-23.4 percent)
Eurodollar (0.9 percent) vs Eurodollar previous week (-0.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing the week came in at a net position of -1,008,528 contracts in the data reported through Tuesday February 21st. This was a weekly advance of 24,267 contracts from the previous week which had a total of -1,032,795 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.6 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.767.84.6
– Percent of Open Interest Shorts:27.146.18.9
– Net Position:-1,008,5281,260,816-252,288
– Gross Longs:561,3433,925,149263,818
– Gross Shorts:1,569,8712,664,333516,106
– Long to Short Ratio:0.4 to 11.5 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.663.748.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.90.0-10.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing the week came in at a net position of -90,024 contracts in the data reported through Tuesday February 21st. This was a weekly increase of 22,320 contracts from the previous week which had a total of -112,344 net contracts.

The 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 28.5 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.175.02.0
– Percent of Open Interest Shorts:13.169.22.9
– Net Position:-90,024104,969-14,945
– Gross Longs:146,3861,357,91036,925
– Gross Shorts:236,4101,252,94151,870
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.572.644.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.8-2.95.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing the week came in at a net position of -693,492 contracts in the data reported through Tuesday February 21st. This was a weekly increase of 3,194 contracts from the previous week which had a total of -696,686 net contracts.

The 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 0.4 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 68.3 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.779.411.3
– Percent of Open Interest Shorts:30.856.610.0
– Net Position:-693,492657,11636,376
– Gross Longs:193,9282,288,617325,019
– Gross Shorts:887,4201,631,501288,643
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.4100.068.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.328.114.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing the week came in at a net position of -599,249 contracts in the data reported through TuesdayFebruary 21st. This was a weekly decrease of -9,858 contracts from the previous week which had a total of -589,391 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.1 percent. The commercials are Bullish-Extreme with a score of 83.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.2 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.680.59.2
– Percent of Open Interest Shorts:21.266.29.9
– Net Position:-599,249631,381-32,132
– Gross Longs:331,3293,534,403401,556
– Gross Shorts:930,5782,903,022433,688
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.183.972.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.9-3.00.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing the week came in at a net position of -500,660 contracts in the data reported through Tuesday February 21st. This was a weekly rise of 62,275 contracts from the previous week which had a total of -562,935 net contracts.

The 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 11.1 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 58.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.09.8
– Percent of Open Interest Shorts:21.363.411.9
– Net Position:-500,660590,357-89,697
– Gross Longs:423,1673,337,222425,774
– Gross Shorts:923,8272,746,865515,471
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.191.658.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.612.0-3.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing the week came in at a net position of -139,776 contracts in the data reported through Tuesday February 21st. This was a weekly decline of -18,345 contracts from the previous week which had a total of -121,431 net contracts.

The 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 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 75.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.774.713.2
– Percent of Open Interest Shorts:18.660.918.1
– Net Position:-139,776216,868-77,092
– Gross Longs:152,3551,175,266207,505
– Gross Shorts:292,131958,398284,597
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.075.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.06.011.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing the week came in at a net position of -154,816 contracts in the data reported through Tuesday February 21st. This was a weekly boost of 30,404 contracts from the previous week which had a total of -185,220 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.2 percent. The commercials are Bullish with a score of 55.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.674.315.5
– Percent of Open Interest Shorts:18.564.713.2
– Net Position:-154,816125,28529,531
– Gross Longs:86,475971,509202,158
– Gross Shorts:241,291846,224172,627
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.255.386.1
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.8-1.61.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing the week came in at a net position of -403,372 contracts in the data reported through Tuesday February 21st. This was a weekly lift of 14,048 contracts from the previous week which had a total of -417,420 net contracts.

The week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 13.4 percent. The commercials are Bullish-Extreme with a score of 85.4 percent and the small traders (not shown in chart) are Bullish with a score of 68.3 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.481.812.0
– Percent of Open Interest Shorts:32.357.69.4
– Net Position:-403,372363,97439,398
– Gross Longs:81,1671,228,622180,433
– Gross Shorts:484,539864,648141,035
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):13.485.468.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.212.55.5

 

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
10 Mar

Fed hawks won’t be satisfied with cooler February jobs report: deVere CEO

By George Prior

Even a cooler jobs report on Friday is unlikely to stop the Federal Reserve hiking interest rates further on March 22, warns the CEO and founder of one of the world’s largest independent financial advisory, asset management and fintech organizations.

The warning from Nigel Green of deVere Group comes as domestic and global financial markets hold their breath for the monthly US jobs report published on Friday 8:30 a.m. ET by the US Bureau of Labor Statistics.

He says: “This jobs report is being closely watched by investors around the world, after January’s gave analysts a massive surprise. It revealed the US economy had added more than half a million jobs and unemployment had fallen to a level not seen in more than five decades.

“All eyes are now on the February jobs data. We expect the US to have added around 225,000 in new jobs last month and the unemployment rate to remain at a 54-year low of 3.4%.

As this represents a cooling of the labor market, will the Fed impose only a quarter-point rate hike on March 22, rather than a half-point one?

“I doubt it,” says the deVere CEO. “Even a cooler jobs report on Friday is unlikely to stop the Federal Reserve hiking interest rates further later this month.

“Fed Chair Jerome Powell has been clear that officials are looking at ‘totality’ of the data. A couple of milder jobs reports won’t cut it for the central bank – especially following January’s bumper gains.  A drop of even 100,000 new jobs would not be enough to satisfy the Fed.

“We would need to have several months of weakening employment in order for the Fed to respond by taking its foot off the gas on rates.

“As such, we expect a half-point rate hike on March 22. Markets are set to tumble as a result.”

Whilst inflation remains a major headwind, Nigel Green says that investors should “remain alive to other metrics” in investment decision-making.

When costs are going up, investors should increasingly be looking at a company’s ability to maintain margin, he notes.

“Investors should be paying close attention to margin because it can indicate how well a company is managing costs and competing in its industry.

“It can also impact a corporation’s ability to invest in growth opportunities or pay dividends to shareholders.”

In a recent media note, the deVere chief said that sectors that can maintain margin, despite inflation and interest rate hikes are likely to include healthcare, luxury goods, energy and agriculture.

“A cooler February jobs report is not going to satisfy the Fed hawks, so investors must expect higher for longer rates and may need to rebalance their portfolios as a result.”

About:

deVere Group is one of the world’s largest independent advisors of specialist global financial solutions to international, local mass affluent, and high-net-worth clients.  It has a network of offices across the world, over 80,000 clients and $12bn under advisement.

Bonds Economics & Fundamentals Financial News
07 Mar

Fed’s Powell warns of higher rates, investors urged not to forget other metrics

By George Prior

Federal Reserve Chair Jerome Powell’s high-stakes appearance before Congress should act as a reminder to investors to consider other metrics besides inflation and interest rates, says the CEO and founder of one of the world’s largest independent financial advisory, asset management and fintech organizations.

The observation from deVere Group’s Nigel Green follows the US central bank chief telling lawmakers on Tuesday that it will likely raise interest rates more than expected amid strong economic data and that it is prepared to move more aggressively if the “totality” of fresh reports suggests stronger measures are needed to tame inflation.

In a hearing before the Senate Banking Committee, Mr Powell said: “The latest economic data have come in stronger than expected, which suggests that the ultimate level of interest rates is likely to be higher than previously anticipated… If the totality of the data were to indicate that faster tightening is warranted, we would be prepared to increase the pace of rate hikes.”

Following the hearing, Nigel Green noted: “Investors were looking for clues from Powell as to whether he favours another 25-basis point rate increase at the next Federal Open Market Committee meeting, or if he might consider a heftier 50-basis point increase.

“The Fed chair was perhaps more hawkish than many analysts had expected, and stocks tumbled after he warned that interest rates could remain higher for longer.”

He continues: “Despite the hawkish tone, when in the decision-making process, I remind investors that even though there’s still a way to go, we’re likely closer than we have been to getting back to the central bank’s target and would urge them to focus more on earnings and margin than on inflation and interest rate news.

“If you’re serious about building wealth, you should be looking at sectors and companies that can maintain margin despite inflation and interest rate hikes.

“Margin is an often overlooked yet important metric for investors to consider when evaluating investment opportunities. It can provide insight into the company’s profitability, efficiency, and competitive advantages, and can impact investor sentiment and stock prices.”

In this environment of higher rates for longer than had previously been anticipated, some companies are going to find it difficult to maintain margin and, as we have recently seen, are failing to report earnings as had been expected.

“In other words, if costs are going up firms can’t maintain margin, so that company is unlikely to be a good investment until things change,” noted the deVere CEO in a recent media note.

He identified four key sectors that he expects to be resilient in this current environment.

“We’re looking at sectors that can maintain margin, despite inflation and interest rate hikes. These include healthcare, luxury goods, energy and agriculture.

“Healthcare is a robust sector as people will always need to stay healthy – this has come into focus more than ever since the pandemic. Also, despite wider market volatility, there’s strong earnings potential due to ageing populations and other demographic changes. Plus, healthcare is becoming increasingly tech-driven, which offers fresh opportunities.”

He went on to say: “Luxury goods can maintain margin due to the inherent aspirational ‘elite and exclusive’ aspect of the sector.

“We’ll look at energy because there’s a shortage of energy in the world right now.

“Agriculture is another one as populations in emerging markets around the world are eating more meat. As they eat more meat, there needs to be more grain produced.”

As ever, it’s critical that investors ensure their portfolios are suitably diversified across asset classes, sectors, currencies and regions so as to make the most of the considerable opportunities that will inevitably present themselves.

Following Powell’s appearance on Capitol Hill on Tuesday, Nigel Green concludes: “Of course, investors shouldn’t dismiss the Fed’s signals about future rate hikes, but they must also consider other investment metrics too, in particular, margin.”

About:

deVere Group is one of the world’s largest independent advisors of specialist global financial solutions to international, local mass affluent, and high-net-worth clients.  It has a network of more than 70 offices across the world, over 80,000 clients and $12bn under advisement

Bonds Economics & Fundamentals Opinions
25 Feb

COT Bonds: January 31st data shows Speculators cut back on their bond bets

By InvestMacro

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

The latest COT data is updated through Tuesday January 31st and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

*** This data is almost a month old because the CFTC up-to-date data has been delayed due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). This hack of ION has created a problem for the large trader positions to be reported and reconciled. The CFTC states that they will be back-filling the data over the next couple weeks and will get the data back up to date.

Weekly Speculator Changes led by Fed Funds

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

Leading the gains for the bond markets was the Fed Funds with a gain of 15,702 contracts.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-100,142 contracts), the 5-Year Bonds (-94,219 contracts), Ultra Treasury Bonds (-17,997 contracts), Ultra 10-Year Bonds (-7,222 contracts), US Treasury Bonds (-3,260 contracts), the Eurodollar (-12,402 contracts) and the 10-Year Bonds (-13,650 contracts) also registering lower bets through January 31st.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-31-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,879,9180-1,026,275341,226,67963-200,40460
FedFunds1,889,65279-20,1283750,48766-30,3590
2-Year2,428,70329-577,1651552,8829424,28363
Long T-Bond1,226,43048-199,07620172,8357226,24173
10-Year4,151,85375-555,4710623,94396-68,47264
5-Year4,177,91961-732,9560722,9459410,01184

 

Strength Scores led by Fed Funds & 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 Fed Funds (37 percent) and the Eurodollar (34 percent) led the bond markets for that week. The US Treasury Bonds (20 percent) came in as the next highest in the weekly strength scores.

On the downside, the Ultra Treasury Bonds (0 percent), 5-Year Bonds (0 percent), Ultra 10-Year Bonds (0 percent), 10-Year Bond (0.0 percent), 2-Year Bond (1.4 percent) and the US Treasury Bond (19.8 percent) came in with the lowest strength levels and all were in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (37.1 percent) vs Fed Funds previous week (35.2 percent)
2-Year Bond (1.4 percent) vs 2-Year Bond previous week (16.2 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (11.4 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (1.9 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.8 percent)
US Treasury Bond (19.8 percent) vs US Treasury Bond previous week (20.9 percent)
Ultra US Treasury Bond (0.0 percent) vs Ultra US Treasury Bond previous week (8.0 percent)
Eurodollar (34.3 percent) vs Eurodollar previous week (34.5 percent)

 

Fed Funds & 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 Fed Funds (8 percent) and the Eurodollar (2 percent) led the past six weeks trends for bonds.

The Ultra Treasury Bonds (-32 percent) led the downside trend scores with the 10-Year Bonds (-32 percent) and the US Treasury Bonds (-19 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (8.1 percent) vs Fed Funds previous week (4.7 percent)
2-Year Bond (-10.5 percent) vs 2-Year Bond previous week (6.6 percent)
5-Year Bond (-8.5 percent) vs 5-Year Bond previous week (6.4 percent)
10-Year Bond (-32.4 percent) vs 10-Year Bond previous week (-22.4 percent)
Ultra 10-Year Bond (-5.8 percent) vs Ultra 10-Year Bond previous week (-6.0 percent)
US Treasury Bond (-18.8 percent) vs US Treasury Bond previous week (-25.7 percent)
Ultra US Treasury Bond (-31.9 percent) vs Ultra US Treasury Bond previous week (-21.5 percent)
Eurodollar (1.6 percent) vs Eurodollar previous week (11.1 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing for the week recorded a net position of -1,026,275 contracts in the data reported through Tuesday January 31st. This was a weekly fall of -12,402 contracts from the previous week which had a total of -1,013,873 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.3 percent. The commercials are Bullish with a score of 63.1 percent and the small traders (not shown in chart) are Bullish with a score of 60.4 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.268.44.9
– Percent of Open Interest Shorts:25.647.68.3
– Net Position:-1,026,2751,226,679-200,404
– Gross Longs:480,3574,023,635289,015
– Gross Shorts:1,506,6322,796,956489,419
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.363.160.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.6-1.83.7

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing for the week recorded a net position of -20,128 contracts in the data reported. This was a weekly advance of 15,702 contracts from the previous week which had a total of -35,830 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.1 percent. The commercials are Bullish with a score of 66.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.875.91.8
– Percent of Open Interest Shorts:10.973.33.4
– Net Position:-20,12850,487-30,359
– Gross Longs:185,3581,435,04234,298
– Gross Shorts:205,4861,384,55564,657
– Long to Short Ratio:0.9 to 11.0 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.166.00.0
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.1-5.1-55.8

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing for the week recorded a net position of -577,165 contracts in the data reported. This was a weekly decline of -100,142 contracts from the previous week which had a total of -477,023 net contracts.

This 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 94.3 percent and the small traders (not shown in chart) are Bullish with a score of 62.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.783.58.2
– Percent of Open Interest Shorts:30.560.77.2
– Net Position:-577,165552,88224,283
– Gross Longs:163,8602,027,636198,658
– Gross Shorts:741,0251,474,754174,375
– Long to Short Ratio:0.2 to 11.4 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.494.362.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.56.612.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing for the week recorded a net position of -732,956 contracts in the data reported. This was a weekly decrease of -94,219 contracts from the previous week which had a total of -638,737 net contracts.

This 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 94.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.484.78.1
– Percent of Open Interest Shorts:22.967.47.9
– Net Position:-732,956722,94510,011
– Gross Longs:224,9853,538,717340,298
– Gross Shorts:957,9412,815,772330,287
– Long to Short Ratio:0.2 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.094.283.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.50.617.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing for the week recorded a net position of -555,471 contracts in the data reported. This was a weekly decrease of -13,650 contracts from the previous week which had a total of -541,821 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 Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 96.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.979.88.4
– Percent of Open Interest Shorts:22.264.810.1
– Net Position:-555,471623,943-68,472
– Gross Longs:367,7333,313,634349,227
– Gross Shorts:923,2042,689,691417,699
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.096.063.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-32.423.79.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing for the week recorded a net position of -133,133 contracts in the data reported. This was a weekly fall of -7,222 contracts from the previous week which had a total of -125,911 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 60.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.278.410.4
– Percent of Open Interest Shorts:19.362.417.3
– Net Position:-133,133233,431-100,298
– Gross Longs:148,7411,144,072152,412
– Gross Shorts:281,874910,641252,710
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.060.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.89.8-9.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing for the week recorded a net position of -199,076 contracts in the data reported. This was a weekly fall of -3,260 contracts from the previous week which had a total of -195,816 net contracts.

This 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 19.8 percent. The commercials are Bullish with a score of 72.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.4 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.880.314.1
– Percent of Open Interest Shorts:21.066.211.9
– Net Position:-199,076172,83526,241
– Gross Longs:58,575984,869172,662
– Gross Shorts:257,651812,034146,421
– Long to Short Ratio:0.2 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.872.273.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.823.6-6.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing for the week recorded a net position of -433,360 contracts in the data reported. This was a weekly fall of -17,997 contracts from the previous week which had a total of -415,363 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.485.211.2
– Percent of Open Interest Shorts:33.358.08.5
– Net Position:-433,360393,87839,482
– Gross Longs:48,9541,234,463162,321
– Gross Shorts:482,314840,585122,839
– Long to Short Ratio:0.1 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.066.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.939.8-8.5

 

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
29 Jan

COT Bonds Speculators cut back on Eurodollar bearish bets for 10th time in 11 weeks

By InvestMacro

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

The latest COT data is updated through Tuesday January 24th 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 & 5-Year Bonds

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

Leading the gains for the bond markets was the Fed Funds (50,405 contracts) with the 5-Year Bonds (41,918 contracts), the Eurodollar (39,979 contracts), the 10-Year Bonds (3,236 contracts), and the Ultra 10-Year Bonds (410 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra Treasury Bonds (-29,935 contracts), the US Treasury Bonds (-3,423 contracts) and the 2-Year Bonds (-14,352 contracts) also registering lower bets on the week.

Highlighting the COT bond’s data this week is the continued improvement of the speculator positioning in the Eurodollar. Large speculative positions for the Eurodollar rose this week by almost +40,000 contracts and have now improved (or become less bearish) in ten out of the past eleven weeks. This recent improvement has taken +1,098,777 contracts off of the overall bearish position, going from a total bearish net position of -2,112,650 contracts on November 8th to this week’s total net position of -1,013,873 contracts (an improvement of approximately 50 percent).

Eurodollar futures contracts are one of the largest futures markets and are essentially a bet on short-term interest rates. As Eurodollar prices fall, the implied interest rises (and vice versa) and at this moment, the price of Eurodollar futures is approximately 95.00 for an implied interest rate of 5.00 percent.

The decrease in the bearish positioning of speculators suggests that traders are anticipating a possible peak has happened in the short-term interest rates. This is likely due to falling inflation and anticipation of the US Federal Reserve slowing their interest rate hikes.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,949,5631-1,013,873341,212,77263-198,89961
FedFunds1,798,64172-35,8303561,84767-26,0170
2-Year2,416,61529-477,02316454,8817922,14262
Long T-Bond1,235,75850-195,81621155,7106640,10684
10-Year4,124,38173-541,8210598,83993-57,01867
5-Year4,162,62861-638,7377633,820844,91782

 

Strength Scores led by Fed Funds & 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 Fed Funds (35 percent) and the Eurodollar (34 percent) lead the bond markets this week. The US Treasury Bonds (21 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 Ultra Treasury Bonds (5 percent), the 5-Year Bond (6.7 percent) and the 2-Year Bond (16.2 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (35.2 percent) vs Fed Funds previous week (29.0 percent)
2-Year Bond (16.2 percent) vs 2-Year Bond previous week (18.3 percent)
5-Year Bond (6.7 percent) vs 5-Year Bond previous week (1.4 percent)
10-Year Bond (0.4 percent) vs 10-Year Bond previous week (0.0 percent)
Ultra 10-Year Bond (0.1 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (20.9 percent) vs US Treasury Bond previous week (22.0 percent)
Ultra US Treasury Bond (4.8 percent) vs Ultra US Treasury Bond previous week (18.6 percent)
Eurodollar (34.5 percent) vs Eurodollar previous week (33.8 percent)

 

Eurodollar & 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 Eurodollar (11 percent) and the 2-Year Bonds (7 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (7 percent) is the next highest positive movers in the latest trends data.

The US Treasury Bonds (-26 percent) leads the downside trend scores currently with the 10-Year Bonds (-23 percent) and the Ultra Treasury Bonds (-22 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (4.7 percent) vs Fed Funds previous week (-0.9 percent)
2-Year Bond (6.6 percent) vs 2-Year Bond previous week (10.7 percent)
5-Year Bond (6.7 percent) vs 5-Year Bond previous week (-2.8 percent)
10-Year Bond (-22.8 percent) vs 10-Year Bond previous week (-24.2 percent)
Ultra 10-Year Bond (-6.1 percent) vs Ultra 10-Year Bond previous week (-4.8 percent)
US Treasury Bond (-25.7 percent) vs US Treasury Bond previous week (-25.1 percent)
Ultra US Treasury Bond (-22.2 percent) vs Ultra US Treasury Bond previous week (-6.3 percent)
Eurodollar (11.1 percent) vs Eurodollar previous week (10.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week totaled a net position of -1,013,873 contracts in the data reported through Tuesday. This was a weekly boost of 39,979 contracts from the previous week which had a total of -1,053,852 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 34.5 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bullish with a score of 60.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.868.55.0
– Percent of Open Interest Shorts:25.848.18.3
– Net Position:-1,013,8731,212,772-198,899
– Gross Longs:522,8814,073,591295,903
– Gross Shorts:1,536,7542,860,819494,802
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.562.860.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.1-11.37.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week totaled a net position of -35,830 contracts in the data reported through Tuesday. This was a weekly advance of 50,405 contracts from the previous week which had a total of -86,235 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.2 percent. The commercials are Bullish with a score of 67.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.775.41.8
– Percent of Open Interest Shorts:11.772.03.2
– Net Position:-35,83061,847-26,017
– Gross Longs:174,4661,356,28931,773
– Gross Shorts:210,2961,294,44257,790
– Long to Short Ratio:0.8 to 11.0 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.267.40.0
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.7-2.6-45.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -477,023 contracts in the data reported through Tuesday. This was a weekly lowering of -14,352 contracts from the previous week which had a total of -462,671 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.2 percent. The commercials are Bullish with a score of 79.5 percent and the small traders (not shown in chart) are Bullish with a score of 61.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.781.68.6
– Percent of Open Interest Shorts:27.562.87.7
– Net Position:-477,023454,88122,142
– Gross Longs:186,7401,972,486207,471
– Gross Shorts:663,7631,517,605185,329
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.279.561.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.6-9.78.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week totaled a net position of -638,737 contracts in the data reported through Tuesday. This was a weekly rise of 41,918 contracts from the previous week which had a total of -680,655 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.7 percent. The commercials are Bullish-Extreme with a score of 84.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.283.88.5
– Percent of Open Interest Shorts:21.668.68.4
– Net Position:-638,737633,8204,917
– Gross Longs:259,9783,489,305354,429
– Gross Shorts:898,7152,855,485349,512
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.784.182.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-15.924.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -541,821 contracts in the data reported through Tuesday. This was a weekly boost of 3,236 contracts from the previous week which had a total of -545,057 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.4 percent. The commercials are Bullish-Extreme with a score of 93.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.780.38.7
– Percent of Open Interest Shorts:21.865.710.1
– Net Position:-541,821598,839-57,018
– Gross Longs:359,1773,310,111360,007
– Gross Shorts:900,9982,711,272417,025
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.493.066.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.814.79.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week totaled a net position of -125,911 contracts in the data reported through Tuesday. This was a weekly lift of 410 contracts from the previous week which had a total of -126,321 net contracts.

This 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 0.1 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.777.510.5
– Percent of Open Interest Shorts:19.262.916.6
– Net Position:-125,911216,769-90,858
– Gross Longs:158,9141,148,114155,215
– Gross Shorts:284,825931,345246,073
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.195.966.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.15.51.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -195,816 contracts in the data reported through Tuesday. This was a weekly reduction of -3,423 contracts from the previous week which had a total of -192,393 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.9 percent. The commercials are Bullish with a score of 66.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.4 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.280.914.5
– Percent of Open Interest Shorts:20.068.311.2
– Net Position:-195,816155,71040,106
– Gross Longs:51,4631,000,159178,920
– Gross Shorts:247,279844,449138,814
– Long to Short Ratio:0.2 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.966.184.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.728.3-0.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -415,363 contracts in the data reported through Tuesday. This was a weekly lowering of -29,935 contracts from the previous week which had a total of -385,428 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.8 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 73.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.884.411.7
– Percent of Open Interest Shorts:32.958.88.2
– Net Position:-415,363365,21550,148
– Gross Longs:53,8211,203,706166,548
– Gross Shorts:469,184838,491116,400
– Long to Short Ratio:0.1 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.8100.073.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.230.9-5.1

 

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
21 Jan

Bonds Speculators increased 10-Year Treasury Bearish Bets to 222-week high

By InvestMacro

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

The latest COT data is updated through Tuesday January 17th 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 & Eurodollar

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

Leading the gains for the bond markets was the Fed Funds (26,095 contracts) with the Eurodollar (1,683 contracts) also seeing positive a week.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-133,699 contracts), the 5-Year Bonds (-57,504 contracts), the US Treasury Bonds (-35,008 contracts), the 2-Year Bonds (-6,620 contracts), the Ultra Treasury Bonds (-14,022 contracts) and the Ultra 10-Year Bonds (-28,051 contracts) also registering lower bets on the week.

Highlighting the COT bonds data is the sharp decline in the 10-Year Treasury Bond speculator positioning. The 10-Year Bond large speculator positions fell this week by a total of -133,699 contracts and have now dropped for four consecutive weeks. The speculator bets have declined in six out of the past seven weeks as well. These last four weeks alone have added a total of -228,114 bearish contracts to the overall bearish position of -545,057 contracts. This weakness has driven the current speculator level to the most bearish point of the past 222 weeks, dating back to October 15th of 2018.

Despite the current speculator sentiment, the 10-Year Bond prices have been edging a little higher since hitting a multi-year low in October. The 10-Year interest rate (rates rise as bond prices fall) is sitting around 3.50 percent currently after peaking in October at just above 4.33 percent.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-17-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar5,891,2380-1,053,852341,265,09864-211,24658
FedFunds1,645,77959-86,23529105,58373-19,34812
2-Year2,335,96725-462,67118452,0427910,62957
Long T-Bond1,222,14147-192,39322170,9327221,46170
10-Year4,018,10766-545,0570615,85595-70,79863
5-Year4,159,39260-680,6551689,57390-8,91879

 

Strength Scores led by Eurodollar & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (34 percent) and the Fed Funds (29 percent) lead the bond markets this week. The Ultra Treasury Bonds (23 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 (1 percent) and 2-Year Bond (18.3 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (29.0 percent) vs Fed Funds previous week (25.8 percent)
vs 2-Year Bond previous week (19.3 percent)
5-Year Bond (1.4 percent) vs 5-Year Bond previous week (8.7 percent)
10-Year Bond (0.0 percent) vs 10-Year Bond previous week (18.4 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (7.0 percent)
US Treasury Bond (22.0 percent) vs US Treasury Bond previous week (33.4 percent)
Ultra US Treasury Bond (23.0 percent) vs Ultra US Treasury Bond previous week (29.1 percent)
Eurodollar (33.8 percent) vs Eurodollar previous week (33.7 percent)

 

Eurodollar & 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 Eurodollar (11 percent) and the 2-Year Bonds (11 percent) lead the past six weeks trends for bonds. The Fed Funds (-1 percent) is the next highest positive movers in the latest trends data.

The US Treasury Bonds (-25 percent) leads the downside trend scores currently with the 10-Year Bonds (-24 percent) and the Ultra Treasury Bonds (-6 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-0.9 percent) vs Fed Funds previous week (-9.8 percent)
2-Year Bond (10.7 percent) vs 2-Year Bond previous week (10.7 percent)
5-Year Bond (-2.8 percent) vs 5-Year Bond previous week (-11.9 percent)
10-Year Bond (-24.2 percent) vs 10-Year Bond previous week (-15.8 percent)
Ultra 10-Year Bond (-4.8 percent) vs Ultra 10-Year Bond previous week (-4.8 percent)
US Treasury Bond (-25.1 percent) vs US Treasury Bond previous week (-17.4 percent)
Ultra US Treasury Bond (-6.0 percent) vs Ultra US Treasury Bond previous week (7.9 percent)
Eurodollar (10.9 percent) vs Eurodollar previous week (12.0 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 -1,053,852 contracts in the data reported through Tuesday. This was a weekly gain of 1,683 contracts from the previous week which had a total of -1,055,535 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.8 percent. The commercials are Bullish with a score of 63.8 percent and the small traders (not shown in chart) are Bullish with a score of 58.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.768.95.1
– Percent of Open Interest Shorts:25.647.58.7
– Net Position:-1,053,8521,265,098-211,246
– Gross Longs:452,2734,061,161299,890
– Gross Shorts:1,506,1252,796,063511,136
– Long to Short Ratio:0.3 to 11.5 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.863.858.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.9-12.119.6

 

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 -86,235 contracts in the data reported through Tuesday. This was a weekly increase of 26,095 contracts from the previous week which had a total of -112,330 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.0 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 11.8 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.274.71.8
– Percent of Open Interest Shorts:15.468.33.0
– Net Position:-86,235105,583-19,348
– Gross Longs:167,3851,229,49730,086
– Gross Shorts:253,6201,123,91449,434
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.072.711.8
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.92.2-30.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -462,671 contracts in the data reported through Tuesday. This was a weekly reduction of -6,620 contracts from the previous week which had a total of -456,051 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.3 percent. The commercials are Bullish with a score of 79.0 percent and the small traders (not shown in chart) are Bullish with a score of 56.8 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.781.78.7
– Percent of Open Interest Shorts:27.562.48.3
– Net Position:-462,671452,04210,629
– Gross Longs:179,8981,909,141204,038
– Gross Shorts:642,5691,457,099193,409
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.379.056.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.7-11.82.7

 

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 -680,655 contracts in the data reported through Tuesday. This was a weekly lowering of -57,504 contracts from the previous week which had a total of -623,151 net contracts.

This 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 90.4 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.385.18.2
– Percent of Open Interest Shorts:21.768.58.4
– Net Position:-680,655689,573-8,918
– Gross Longs:220,6503,538,627341,784
– Gross Shorts:901,3052,849,054350,702
– Long to Short Ratio:0.2 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.490.478.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.8-9.128.2

 

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 -545,057 contracts in the data reported through Tuesday. This was a weekly decrease of -133,699 contracts from the previous week which had a total of -411,358 net contracts.

This 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 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.380.69.0
– Percent of Open Interest Shorts:21.965.310.7
– Net Position:-545,057615,855-70,798
– Gross Longs:334,0223,237,951360,271
– Gross Shorts:879,0792,622,096431,069
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.063.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.215.810.2

 

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 -126,321 contracts in the data reported through Tuesday. This was a weekly reduction of -28,051 contracts from the previous week which had a total of -98,270 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 97.9 percent and the small traders (not shown in chart) are Bullish with a score of 61.8 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.378.410.0
– Percent of Open Interest Shorts:18.763.516.6
– Net Position:-126,321224,640-98,319
– Gross Longs:155,6131,178,847150,997
– Gross Shorts:281,934954,207249,316
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.961.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.89.0-10.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -192,393 contracts in the data reported through Tuesday. This was a weekly fall of -35,008 contracts from the previous week which had a total of -157,385 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.0 percent. The commercials are Bullish with a score of 71.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.281.314.0
– Percent of Open Interest Shorts:20.067.412.3
– Net Position:-192,393170,93221,461
– Gross Longs:51,842994,046171,647
– Gross Shorts:244,235823,114150,186
– Long to Short Ratio:0.2 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.071.669.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.128.6-2.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -385,428 contracts in the data reported through Tuesday. This was a weekly reduction of -14,022 contracts from the previous week which had a total of -371,406 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.0 percent. The commercials are Bullish-Extreme with a score of 81.9 percent and the small traders (not shown in chart) are Bullish with a score of 67.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.583.711.5
– Percent of Open Interest Shorts:31.559.78.4
– Net Position:-385,428342,09243,336
– Gross Longs:64,1091,193,027163,472
– Gross Shorts:449,537850,935120,136
– Long to Short Ratio:0.1 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.081.967.4
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.012.9-8.6

 

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
14 Jan

COT Bonds Speculators reduced their 2-Year & 5-Year Bonds bearish bets this week

By InvestMacro

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

The latest COT data is updated through Tuesday January 10th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the 2-Year Bonds (65,457 contracts) with the 5-Year Bonds (29,768 contracts), Ultra 10-Year Bonds (15,087 contracts) and the US Treasury Bonds (11,873 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Eurodollar (-71,774 contracts), the 10-Year Bonds (-27,756 contracts), the Ultra Treasury Bonds (-6,512 contracts) and the Fed Funds (-3,929 contracts) also recording lower bets on the week.

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

The 2-Year Bond large speculator positions trimmed their bearish bets for a second straight week and for the sixth time in the past eight weeks. This improvement comes after speculators pushed their positioning to an all-time bearish low of -586,270 contracts on November 15th. Since that record low, speculators have taken off a total of 130,219 contracts from the bearish standing.

The 5-Year Bond speculator positions have also improved recently with four straight weeks of decreasing bearish levels. The 5-Year speculator positions had recently fallen to 216-week low of -691,537 contracts on December 13th which marked the most bearish level since October of 2023. Since then, bets have gained by +68,386 contracts in the past four weeks.

Despite the recent improvements, both the 2-Year and 5-Year speculator levels continue to remain strongly bearish in this rising rate economic environment that also currently has yield curve inversions all over the total US bonds yield curve. However, there is the potential that both recent significant lows (in 2-Year and 5-Year) could be seen as bearish sentiment peaks if inflation data continues to moderate and the US Federal Reserve decides to scale back on their interest rate hikes.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-10-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar6,013,9891-1,055,535341,258,80464-203,26960
FedFunds1,527,14549-112,33026129,04476-16,71419
2-Year2,319,89725-456,05119452,472793,57954
Long T-Bond1,184,96640-157,38533129,7345727,65175
10-Year3,894,93857-411,35810488,45480-77,09662
5-Year4,095,32857-623,1519657,64487-34,49372

 

Strength Scores led by Eurodollar & Ultra Treasury Bonds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (34 percent) and the Ultra Treasury Bonds (34 percent) lead the bond markets this week. The US Treasury Bonds (33 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (4 percent), the 5-Year Bonds (9 percent), the 10-Year Bonds (10 percent) and the 2-Year Bond (19 percent) come in as the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (25.8 percent) vs Fed Funds previous week (26.2 percent)
2-Year Bond (19.3 percent) vs 2-Year Bond previous week (9.6 percent)
5-Year Bond (8.7 percent) vs 5-Year Bond previous week (4.9 percent)
10-Year Bond (9.9 percent) vs 10-Year Bond previous week (14.1 percent)
Ultra 10-Year Bond (3.9 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (33.4 percent) vs US Treasury Bond previous week (29.5 percent)
Ultra US Treasury Bond (33.7 percent) vs Ultra US Treasury Bond previous week (36.3 percent)
Eurodollar (33.7 percent) vs Eurodollar previous week (35.0 percent)

 

Eurodollar & 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 Eurodollar (12 percent) and the 2-Year Bonds (11 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (7 percent) is the next highest positive mover in the latest trends data.

The 10-Year Bonds (-17 percent) and the US Treasury Bonds (-17 percent) lead the downside trend scores currently with the 5-Year Bonds (-12 percent) following next for lower trend scores.

Strength Trend Statistics:
Fed Funds (-9.8 percent) vs Fed Funds previous week (-14.8 percent)
2-Year Bond (10.7 percent) vs 2-Year Bond previous week (6.7 percent)
5-Year Bond (-11.9 percent) vs 5-Year Bond previous week (-16.4 percent)
10-Year Bond (-17.4 percent) vs 10-Year Bond previous week (-9.5 percent)
Ultra 10-Year Bond (-4.9 percent) vs Ultra 10-Year Bond previous week (-2.1 percent)
US Treasury Bond (-17.4 percent) vs US Treasury Bond previous week (-25.6 percent)
Ultra US Treasury Bond (7.3 percent) vs Ultra US Treasury Bond previous week (4.9 percent)
Eurodollar (12.0 percent) vs Eurodollar previous week (15.5 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 -1,055,535 contracts in the data reported through Tuesday. This was a weekly lowering of -71,774 contracts from the previous week which had a total of -983,761 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.7 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bullish with a score of 59.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.569.95.1
– Percent of Open Interest Shorts:25.048.98.5
– Net Position:-1,055,5351,258,804-203,269
– Gross Longs:450,8804,201,292306,594
– Gross Shorts:1,506,4152,942,488509,863
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.763.659.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.0-12.38.7

 

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 -112,330 contracts in the data reported through Tuesday. This was a weekly decrease of -3,929 contracts from the previous week which had a total of -108,401 net contracts.

This 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 25.8 percent. The commercials are Bullish with a score of 75.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.4 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.776.82.0
– Percent of Open Interest Shorts:16.068.33.1
– Net Position:-112,330129,044-16,714
– Gross Longs:132,1841,172,81431,131
– Gross Shorts:244,5141,043,77047,845
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.875.519.4
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.810.4-18.4

 

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 -456,051 contracts in the data reported through Tuesday. This was a weekly boost of 65,457 contracts from the previous week which had a total of -521,508 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 19.3 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.6 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.580.18.6
– Percent of Open Interest Shorts:29.260.68.4
– Net Position:-456,051452,4723,579
– Gross Longs:220,7011,857,300199,092
– Gross Shorts:676,7521,404,828195,513
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):19.379.153.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.7-10.1-2.3

 

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 -623,151 contracts in the data reported through Tuesday. This was a weekly gain of 29,768 contracts from the previous week which had a total of -652,919 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.7 percent. The commercials are Bullish-Extreme with a score of 86.8 percent and the small traders (not shown in chart) are Bullish with a score of 71.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.884.88.0
– Percent of Open Interest Shorts:21.068.78.8
– Net Position:-623,151657,644-34,493
– Gross Longs:235,9683,471,933326,120
– Gross Shorts:859,1192,814,289360,613
– Long to Short Ratio:0.3 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.786.871.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.94.415.0

 

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 -411,358 contracts in the data reported through Tuesday. This was a weekly lowering of -27,756 contracts from the previous week which had a total of -383,602 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.9 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish with a score of 61.8 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.179.59.0
– Percent of Open Interest Shorts:19.766.911.0
– Net Position:-411,358488,454-77,096
– Gross Longs:355,9893,095,025350,630
– Gross Shorts:767,3472,606,571427,726
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.979.961.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.415.3-3.4

 

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 -98,270 contracts in the data reported through Tuesday. This was a weekly lift of 15,087 contracts from the previous week which had a total of -113,357 net contracts.

This 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 3.9 percent. The commercials are Bullish-Extreme with a score of 89.9 percent and the small traders (not shown in chart) are Bullish with a score of 63.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.678.69.9
– Percent of Open Interest Shorts:17.465.316.4
– Net Position:-98,270193,388-95,118
– Gross Longs:153,2961,138,679142,921
– Gross Shorts:251,566945,291238,039
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.989.963.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.98.7-9.8

 

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 -157,385 contracts in the data reported through Tuesday. This was a weekly advance of 11,873 contracts from the previous week which had a total of -169,258 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.4 percent. The commercials are Bullish with a score of 56.9 percent and the small traders (not shown in chart) are Bullish with a score of 74.5 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.779.014.6
– Percent of Open Interest Shorts:18.968.012.3
– Net Position:-157,385129,73427,651
– Gross Longs:66,962935,742173,392
– Gross Shorts:224,347806,008145,741
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.456.974.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.422.4-7.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -371,406 contracts in the data reported through Tuesday. This was a weekly reduction of -6,512 contracts from the previous week which had a total of -364,894 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.7 percent. The commercials are Bullish with a score of 79.1 percent and the small traders (not shown in chart) are Bullish with a score of 59.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.583.711.5
– Percent of Open Interest Shorts:31.059.69.1
– Net Position:-371,406338,40932,997
– Gross Longs:63,9171,176,415161,277
– Gross Shorts:435,323838,006128,280
– Long to Short Ratio:0.1 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.779.159.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.33.7-20.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
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