Archive for Bonds – Page 9

07 Jan

COT Bonds Speculators increased their 2-Year Bond & Eurodollar 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 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year Bond & Eurodollar

The COT bond market speculator bets were mixed evenly 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 (29,137 contracts) with the Eurodollar (6,950 contracts), Ultra Treasury Bonds (4,009 contracts) and the 5-Year Bonds (2,609 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-39,393 contracts), the Ultra 10-Year Bonds (-30,091 contracts), the US Treasury Bonds (-18,194 contracts) and the Fed Funds (-14,154 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Jan-03-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar6,012,5431-983,761351,179,50662-195,74561
FedFunds1,306,51830-108,40126119,44074-11,03932
2-Year2,219,81220-521,50810524,93890-3,43051
Long T-Bond1,198,42542-169,25830142,6766126,58274
10-Year3,851,09154-383,60214467,44377-83,84160
5-Year4,213,26263-652,9195709,05893-56,13966

 

Strength Scores led by Ultra Treasury Bonds & 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 Ultra Treasury Bonds (36 percent) and the Eurodollar (35 percent) lead the bond markets this week. The US Treasury Bonds (30 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent) comes in at the lowest strength level currently followed by the 5-Year Bonds (5 percent), the 2-Year Bonds (10 percent) and the 10-Year Bonds (14.1 percent). These markets are all in Extreme-Bearish territory with scores below 20 percent.

Strength Statistics:
Fed Funds (26.2 percent) vs Fed Funds previous week (28.0 percent)
2-Year Bond (9.6 percent) vs 2-Year Bond previous week (5.3 percent)
5-Year Bond (4.9 percent) vs 5-Year Bond previous week (4.6 percent)
10-Year Bond (14.1 percent) vs 10-Year Bond previous week (20.1 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (7.8 percent)
US Treasury Bond (29.5 percent) vs US Treasury Bond previous week (35.4 percent)
Ultra US Treasury Bond (36.3 percent) vs Ultra US Treasury Bond previous week (34.7 percent)
Eurodollar (35.0 percent) vs Eurodollar previous week (34.9 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 (16 percent) and the 2-Year Bonds (7 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (5 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 5-Year Bonds (-16 percent) and the Fed Funds (-15 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-14.8 percent) vs Fed Funds previous week (-8.4 percent)
2-Year Bond (6.7 percent) vs 2-Year Bond previous week (5.3 percent)
5-Year Bond (-16.4 percent) vs 5-Year Bond previous week (-13.7 percent)
10-Year Bond (-9.5 percent) vs 10-Year Bond previous week (-0.2 percent)
Ultra 10-Year Bond (-2.1 percent) vs Ultra 10-Year Bond previous week (-1.1 percent)
US Treasury Bond (-25.6 percent) vs US Treasury Bond previous week (-17.4 percent)
Ultra US Treasury Bond (4.9 percent) vs Ultra US Treasury Bond previous week (3.6 percent)
Eurodollar (15.5 percent) vs Eurodollar previous week (18.0 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 -983,761 contracts in the data reported through Tuesday. This was a weekly gain of 6,950 contracts from the previous week which had a total of -990,711 net contracts.

This week’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 35.0 percent. The commercials are Bullish with a score of 62.2 percent and the small traders (not shown in chart) are Bullish with a score of 61.4 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.369.15.1
– Percent of Open Interest Shorts:24.649.58.4
– Net Position:-983,7611,179,506-195,745
– Gross Longs:497,4284,154,503307,951
– Gross Shorts:1,481,1892,974,997503,696
– Long to Short Ratio:0.3 to 11.4 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.062.261.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.5-16.518.7

 

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 -108,401 contracts in the data reported through Tuesday. This was a weekly decline of -14,154 contracts from the previous week which had a total of -94,247 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.2 percent. The commercials are Bullish with a score of 74.4 percent and the small traders (not shown in chart) are Bearish with a score of 31.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.479.12.5
– Percent of Open Interest Shorts:15.770.03.4
– Net Position:-108,401119,440-11,039
– Gross Longs:97,1281,033,78432,892
– Gross Shorts:205,529914,34443,931
– Long to Short Ratio:0.5 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.274.431.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.814.9-7.0

 

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 -521,508 contracts in the data reported through Tuesday. This was a weekly advance of 29,137 contracts from the previous week which had a total of -550,645 net contracts.

This week’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 9.6 percent. The commercials are Bullish-Extreme with a score of 90.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.5 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.081.28.7
– Percent of Open Interest Shorts:31.557.58.8
– Net Position:-521,508524,938-3,430
– Gross Longs:178,4371,801,839192,701
– Gross Shorts:699,9451,276,901196,131
– Long to Short Ratio:0.3 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.690.150.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-9.06.4

 

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 -652,919 contracts in the data reported through Tuesday. This was a weekly gain of 2,609 contracts from the previous week which had a total of -655,528 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.9 percent. The commercials are Bullish-Extreme with a score of 92.7 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.984.37.5
– Percent of Open Interest Shorts:22.467.58.9
– Net Position:-652,919709,058-56,139
– Gross Longs:290,2213,553,482317,117
– Gross Shorts:943,1402,844,424373,256
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.992.765.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.412.35.7

 

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 -383,602 contracts in the data reported through Tuesday. This was a weekly decline of -39,393 contracts from the previous week which had a total of -344,209 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.1 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.578.08.9
– Percent of Open Interest Shorts:20.565.811.1
– Net Position:-383,602467,443-83,841
– Gross Longs:405,7813,003,300343,068
– Gross Shorts:789,3832,535,857426,909
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.177.460.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.512.3-9.7

 

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 -113,357 contracts in the data reported through Tuesday. This was a weekly lowering of -30,091 contracts from the previous week which had a total of -83,266 net contracts.

This week’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 93.1 percent and the small traders (not shown in chart) are Bullish with a score of 65.6 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.778.510.9
– Percent of Open Interest Shorts:17.664.117.4
– Net Position:-113,357205,988-92,631
– Gross Longs:137,5641,117,231154,908
– Gross Shorts:250,921911,243247,539
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.093.165.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.12.5-1.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week totaled a net position of -169,258 contracts in the data reported through Tuesday. This was a weekly reduction of -18,194 contracts from the previous week which had a total of -151,064 net contracts.

This week’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 29.5 percent. The commercials are Bullish with a score of 61.5 percent and the small traders (not shown in chart) are Bullish with a score of 73.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.580.314.2
– Percent of Open Interest Shorts:18.768.412.0
– Net Position:-169,258142,67626,582
– Gross Longs:54,314962,504170,139
– Gross Shorts:223,572819,828143,557
– Long to Short Ratio:0.2 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.561.573.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.634.7-14.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -364,894 contracts in the data reported through Tuesday. This was a weekly rise of 4,009 contracts from the previous week which had a total of -368,903 net contracts.

This week’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 36.3 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bullish with a score of 69.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.683.411.8
– Percent of Open Interest Shorts:30.460.88.5
– Net Position:-364,894319,17545,719
– Gross Longs:65,2621,180,797166,521
– Gross Shorts:430,156861,622120,802
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.368.969.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.9-2.2-6.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
17 Dec

COT Bonds Speculators Weekly Changes led by Eurodollar & 2-Year Bonds

By InvestMacro

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

The latest COT data is updated through Tuesday December 13th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Eurodollar & 2-Year Bonds

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

Leading the gains for the bond markets was the Eurodollar (29,641 contracts) with the 2-Year Bonds (12,741 contracts), Ultra 10-Year Bonds (5,481 contracts), Fed Funds (4,973 contracts) and the Ultra Treasury Bonds (4,605 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-32,931 contracts), the 10-Year Bonds (-7,232 contracts) and the US Treasury Bonds (-1,377 contracts).

Some Highlights of this week’s bonds data:

  • 5-Year Bonds bets fell again this week and dropped to the most bearish level in 216-weeks, dating back to October of 2018.
  • Eurodollar bets and futures prices have been improving steadily since hitting recent lows in August
  • 2-Year Bond speculator positions have improved in three out of the past four weeks since falling to a record low bearish position on November 15th
  • The 10-Year Bond speculator bets have fallen for two straight weeks and the overall position is at the most bearish level since August 30th at a total of -376,438 contracts
Data Snapshot of Bond Market Traders | Columns Legend
Dec-13-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,223,6270-1,614,221231,847,03774-232,81653
FedFunds1,402,58238-73,8943083,13070-9,23636
2-Year2,202,60419-521,79910519,176892,62353
Long T-Bond1,185,52140-116,7384776,2663840,47285
10-Year3,822,24452-376,43815474,93078-98,49257
5-Year4,114,02158-691,5370774,022100-82,48558

 

Strength Scores led by US Treasury Bonds & 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 US Treasury Bonds (47 percent) continues to lead the bond markets and is the only market close to the 50 percent or 3-Year midpoint.

On the downside, the 5-Year Bonds (0 percent), Ultra 10-Year Bonds (2 percent), 2-Year Bonds (10 percent) and the 10-Year Bond (15.2 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (30.5 percent) vs Fed Funds previous week (29.9 percent)
2-Year Bond (9.6 percent) vs 2-Year Bond previous week (7.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (4.2 percent)
10-Year Bond (15.2 percent) vs 10-Year Bond previous week (16.3 percent)
Ultra 10-Year Bond (2.4 percent) vs Ultra 10-Year Bond previous week (1.0 percent)
US Treasury Bond (46.6 percent) vs US Treasury Bond previous week (47.0 percent)
Ultra US Treasury Bond (35.4 percent) vs Ultra US Treasury Bond previous week (33.5 percent)
Eurodollar (23.4 percent) vs Eurodollar previous week (22.9 percent)

 

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

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra Treasury Bonds (9 percent) and the Eurodollar (6 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-20 percent) leads the downside trend scores currently with the 2-Year Bonds (-12.5 percent) and the 10-Year Bonds (-12 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-7.0 percent) vs Fed Funds previous week (-18.7 percent)
2-Year Bond (-12.5 percent) vs 2-Year Bond previous week (-27.4 percent)
5-Year Bond (-19.6 percent) vs 5-Year Bond previous week (-25.0 percent)
10-Year Bond (-11.9 percent) vs 10-Year Bond previous week (-18.5 percent)
Ultra 10-Year Bond (-4.7 percent) vs Ultra 10-Year Bond previous week (-7.2 percent)
US Treasury Bond (-7.0 percent) vs US Treasury Bond previous week (-12.6 percent)
Ultra US Treasury Bond (8.6 percent) vs Ultra US Treasury Bond previous week (-8.5 percent)
Eurodollar (6.2 percent) vs Eurodollar previous week (4.7 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -1,614,221 contracts in the data reported through Tuesday. This was a weekly boost of 29,641 contracts from the previous week which had a total of -1,643,862 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.4 percent. The commercials are Bullish with a score of 74.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.469.34.9
– Percent of Open Interest Shorts:29.843.78.1
– Net Position:-1,614,2211,847,037-232,816
– Gross Longs:534,8135,006,987353,101
– Gross Shorts:2,149,0343,159,950585,917
– Long to Short Ratio:0.2 to 11.6 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.474.153.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.2-6.67.5

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -73,894 contracts in the data reported through Tuesday. This was a weekly lift of 4,973 contracts from the previous week which had a total of -78,867 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.5 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bearish with a score of 36.1 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.677.52.5
– Percent of Open Interest Shorts:13.971.63.1
– Net Position:-73,89483,130-9,236
– Gross Longs:121,1741,087,39834,439
– Gross Shorts:195,0681,004,26843,675
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.570.036.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.06.411.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -521,799 contracts in the data reported through Tuesday. This was a weekly increase of 12,741 contracts from the previous week which had a total of -534,540 net contracts.

This week’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 9.6 percent. The commercials are Bullish-Extreme with a score of 89.2 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.880.68.3
– Percent of Open Interest Shorts:32.557.08.2
– Net Position:-521,799519,1762,623
– Gross Longs:193,8121,774,593183,713
– Gross Shorts:715,6111,255,417181,090
– Long to Short Ratio:0.3 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.689.253.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.58.313.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -691,537 contracts in the data reported through Tuesday. This was a weekly lowering of -32,931 contracts from the previous week which had a total of -658,606 net contracts.

This week’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 58.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.67.4
– Percent of Open Interest Shorts:22.766.79.4
– Net Position:-691,537774,022-82,485
– Gross Longs:241,3453,519,766304,790
– Gross Shorts:932,8822,745,744387,275
– Long to Short Ratio:0.3 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.058.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.616.32.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -376,438 contracts in the data reported through Tuesday. This was a weekly decrease of -7,232 contracts from the previous week which had a total of -369,206 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.2 percent. The commercials are Bullish with a score of 78.3 percent and the small traders (not shown in chart) are Bullish with a score of 56.7 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.98.8
– Percent of Open Interest Shorts:21.764.411.4
– Net Position:-376,438474,930-98,492
– Gross Longs:452,1272,938,306336,813
– Gross Shorts:828,5652,463,376435,305
– Long to Short Ratio:0.5 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.278.356.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.915.6-12.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -101,471 contracts in the data reported through Tuesday. This was a weekly lift of 5,481 contracts from the previous week which had a total of -106,952 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.4 percent. The commercials are Bullish-Extreme with a score of 90.3 percent and the small traders (not shown in chart) are Bullish with a score of 64.9 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.411.0
– Percent of Open Interest Shorts:18.962.817.6
– Net Position:-101,471195,085-93,614
– Gross Longs:169,2951,094,617158,109
– Gross Shorts:270,766899,532251,723
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.490.364.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.78.7-10.5

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -116,738 contracts in the data reported through Tuesday. This was a weekly fall of -1,377 contracts from the previous week which had a total of -115,361 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 46.6 percent. The commercials are Bearish with a score of 37.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.179.214.9
– Percent of Open Interest Shorts:14.972.711.4
– Net Position:-116,73876,26640,472
– Gross Longs:60,004938,513176,212
– Gross Shorts:176,742862,247135,740
– Long to Short Ratio:0.3 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):46.637.884.7
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.04.18.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -367,168 contracts in the data reported through Tuesday. This was a weekly lift of 4,605 contracts from the previous week which had a total of -371,773 net contracts.

This week’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 35.4 percent. The commercials are Bullish with a score of 64.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.283.711.6
– Percent of Open Interest Shorts:29.962.07.7
– Net Position:-367,168310,75856,410
– Gross Longs:59,9081,194,785165,771
– Gross Shorts:427,076884,027109,361
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.464.578.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.6-13.33.4

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
10 Dec

COT Bonds Speculators drop 5-Year Treasury bets to 215-week low

By InvestMacro

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

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

5-Year, 10-Year drops lead the Weekly Speculator Changes

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

Leading the weekly gains for the bond markets was the Eurodollar (65,490 contracts) with the Ultra US Bond (17,631 contracts) also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the 5-Year Bond (-129,257 contracts) with the 10-Year Bond (-72,434 contracts), the Fed Funds (-46,249 contracts), the Ultra 10-Year (-27,703 contracts), the Long US Bond (-11,444 contracts) and the 2-Year Bond (-6,362 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the further decrease in speculator positions for the 5-Year Bonds market. The large speculator position in 5-Year Bonds futures fell this week by the largest one-week amount (-129,257 contracts) since February and have now dropped for the third time out of the past four weeks (a total decline of -159,151 contracts over last 4-week period). This weakness in speculator bets for the 5-Year Bond has brought the overall level to its most bearish point of the past 215 weeks. The last time the 5-Year Bond bets were this bearish was October 23rd of 2018 with a total of -773,639 contracts at that time. Despite the speculator weakness, the 5-Year Bond future prices have come off their November lows and touched their highest level since September this week.

Data Snapshot of Bond Market Traders | Columns Legend
Dec-06-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,263,6700-1,643,862231,944,03176-300,16938
FedFunds1,323,02831-78,8673087,74571-8,87837
2-Year2,109,98815-534,5408529,893914,64754
Long T-Bond1,170,66337-115,3614790,7004324,66172
10-Year3,775,43149-369,20616483,14979-113,94353
5-Year4,130,32259-658,6060770,224100-111,61850

 

Strength Scores led by US Treasury Bond

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) show that the US Treasury Bond (47.0 percent) leads the bonds category.

On the downside, the 5-Year Bond (0.0 percent), the Ultra 10-Year Bond (1.0 percent), the 2-Year Bond (7.7 percent) and the 10-Year Bond (16.3 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish levels (below 20 percent).

Strength Statistics:
Fed Funds (29.9 percent) vs Fed Funds previous week (35.6 percent)
2-Year Bond (7.7 percent) vs 2-Year Bond previous week (8.6 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (17.1 percent)
10-Year Bond (16.3 percent) vs 10-Year Bond previous week (27.3 percent)
Ultra 10-Year Bond (1.0 percent) vs Ultra 10-Year Bond previous week (8.2 percent)
US Treasury Bond (47.0 percent) vs US Treasury Bond previous week (50.8 percent)
Ultra US Treasury Bond (33.5 percent) vs Ultra US Treasury Bond previous week (26.3 percent)
Eurodollar (22.9 percent) vs Eurodollar previous week (21.7 percent)

Eurodollar tops Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (4.7 percent) leads the past six weeks trends for bonds this week and is the only positive mover in the latest trends data.

The 2-Year Bond (-27.4 percent), the 5-Year Bond (-26.1 percent), the Fed Funds (-18.7 percent) and the 10-Year Bond (-18.5 percent) lead the downside trend scores this week.

Strength Trend Statistics:
Fed Funds (-18.7 percent) vs Fed Funds previous week (-7.7 percent)
2-Year Bond (-27.4 percent) vs 2-Year Bond previous week (-28.6 percent)
5-Year Bond (-26.1 percent) vs 5-Year Bond previous week (-5.5 percent)
10-Year Bond (-18.5 percent) vs 10-Year Bond previous week (2.5 percent)
Ultra 10-Year Bond (-7.2 percent) vs Ultra 10-Year Bond previous week (-0.7 percent)
US Treasury Bond (-12.6 percent) vs US Treasury Bond previous week (-5.7 percent)
Ultra US Treasury Bond (-8.5 percent) vs Ultra US Treasury Bond previous week (-14.2 percent)
Eurodollar (4.7 percent) vs Eurodollar previous week (6.8 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 -1,643,862 contracts in the data reported through Tuesday. This was a weekly rise of 65,490 contracts from the previous week which had a total of -1,709,352 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 with a score of 22.9 percent. The commercials are Bullish with a score of 75.8 percent and the small traders (not shown in chart) are Bearish with a score of 38.4 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.669.44.9
– Percent of Open Interest Shorts:30.242.69.0
– Net Position:-1,643,8621,944,031-300,169
– Gross Longs:548,9985,041,684353,408
– Gross Shorts:2,192,8603,097,653653,577
– Long to Short Ratio:0.3 to 11.6 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.975.838.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.7-1.0-43.2

 

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 -78,867 contracts in the data reported through Tuesday. This was a weekly reduction of -46,249 contracts from the previous week which had a total of -32,618 net contracts.

This week’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 29.9 percent. The commercials are Bullish with a score of 70.5 percent and the small traders (not shown in chart) are Bearish with a score of 37.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.778.62.3
– Percent of Open Interest Shorts:14.671.92.9
– Net Position:-78,86787,745-8,878
– Gross Longs:114,6991,039,30330,010
– Gross Shorts:193,566951,55838,888
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.970.537.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.718.5-3.5

 

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 -534,540 contracts in the data reported through Tuesday. This was a weekly reduction of -6,362 contracts from the previous week which had a total of -528,178 net contracts.

This week’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 7.7 percent. The commercials are Bullish-Extreme with a score of 90.8 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.182.08.3
– Percent of Open Interest Shorts:33.556.98.1
– Net Position:-534,540529,8934,647
– Gross Longs:171,7601,730,674174,708
– Gross Shorts:706,3001,200,781170,061
– Long to Short Ratio:0.2 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.790.854.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-27.416.434.1

 

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 -658,606 contracts in the data reported through Tuesday. This was a weekly decline of -129,257 contracts from the previous week which had a total of -529,349 net contracts.

This week’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 50.4 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.585.67.3
– Percent of Open Interest Shorts:21.567.010.1
– Net Position:-658,606770,224-111,618
– Gross Longs:229,0013,537,413303,580
– Gross Shorts:887,6072,767,189415,198
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.050.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.125.5-7.5

 

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 -369,206 contracts in the data reported through Tuesday. This was a weekly decrease of -72,434 contracts from the previous week which had a total of -296,772 net contracts.

This week’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 16.3 percent. The commercials are Bullish with a score of 79.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.277.28.9
– Percent of Open Interest Shorts:21.064.411.9
– Net Position:-369,206483,149-113,943
– Gross Longs:423,9942,914,741336,179
– Gross Shorts:793,2002,431,592450,122
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.379.353.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.522.1-15.4

 

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 -106,952 contracts in the data reported through Tuesday. This was a weekly lowering of -27,703 contracts from the previous week which had a total of -79,249 net contracts.

This week’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 1.0 percent. The commercials are Bullish-Extreme with a score of 88.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.2 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.177.911.4
– Percent of Open Interest Shorts:17.764.517.2
– Net Position:-106,952189,505-82,553
– Gross Longs:142,2631,099,122160,187
– Gross Shorts:249,215909,617242,740
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.088.972.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.27.8-1.9

 

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 -115,361 contracts in the data reported through Tuesday. This was a weekly decrease of -11,444 contracts from the previous week which had a total of -103,917 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 47.0 percent. The commercials are Bearish with a score of 42.9 percent and the small traders (not shown in chart) are Bullish with a score of 72.2 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.779.514.8
– Percent of Open Interest Shorts:14.671.712.7
– Net Position:-115,36190,70024,661
– Gross Longs:55,349930,571173,282
– Gross Shorts:170,710839,871148,621
– Long to Short Ratio:0.3 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.042.972.2
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.615.3-3.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -371,773 contracts in the data reported through Tuesday. This was a weekly lift of 17,631 contracts from the previous week which had a total of -389,404 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.5 percent. The commercials are Bullish with a score of 68.3 percent and the small traders (not shown in chart) are Bullish with a score of 76.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:3.983.811.8
– Percent of Open Interest Shorts:30.061.58.0
– Net Position:-371,773317,92953,844
– Gross Longs:56,2721,193,551168,437
– Gross Shorts:428,045875,622114,593
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.568.376.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.55.88.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
03 Dec

COT Bonds Speculators trim their Eurodollar bearish bets

By InvestMacro

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

The latest COT data is updated through Tuesday November 29th 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 Eurodollar & 2-Year Bond

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

Leading the weekly gains for the bond markets was the Eurodollar (115,943 contracts) with the 2-Year Bond (38,817 contracts), the Ultra 10-Year (25,883 contracts) and the 10-Year Bond (24,484 contracts) also showing positive weeks.

The bond markets leading the weekly declines in speculator bets this week was the Fed Funds (-44,174 contracts) with the Long US Bond (-13,433 contracts), the Ultra US Bond (-12,393 contracts), and the 5-Year Bond (-5,695 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the continued decrease in speculator bearish positions for the Eurodollar market. The large speculator position in Eurodollar futures fell this week for the third straight week and for the eighth time out of the past eleven weeks. This recent trimming of the bearish position has shaved off a total of 1,167,970 contracts – going from a total of -2,877,322 contracts on September 13th to this week’s total of -1,709,352 contracts.

Eurodollar contracts are a bet on short-term interest rates where more bullish bets equal a bet on lower interest rates while more bearish bets means speculators are looking for higher interest rates. The Eurodollar speculator contracts hit a bearish peak on August 9th at a total of -2,885,979 contracts and since then speculators have reduced their bearish bets in eleven out of those sixteen weeks.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-29-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,234,8010-1,709,352221,952,15276-242,80051
FedFunds1,641,59558-32,6183642,97365-10,35533
2-Year2,099,11715-528,1789519,516898,66256
Long T-Bond1,197,68142-103,9175166,8513437,06682
10-Year3,897,38358-296,77227359,62065-62,84865
5-Year4,303,41969-529,3495618,52289-89,17357

 

US Treasury Bond tops Strength Scores

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) show that the US Treasury Bond (50.8 percent) leads the bonds category and is the only market above its three-year midpoint (above 50 percent).

On the downside, the 5-Year Bond (5.5 percent), the Ultra 10-Year Bond (8.2 percent) and the 2-Year Bond (8.6 percent) come in at the lowest strength levels currently and are all in bearish extreme positions (below 20 percent).

Strength Statistics:
Fed Funds (35.6 percent) vs Fed Funds previous week (41.0 percent)
2-Year Bond (8.6 percent) vs 2-Year Bond previous week (2.9 percent)
5-Year Bond (5.5 percent) vs 5-Year Bond previous week (6.3 percent)
10-Year Bond (27.3 percent) vs 10-Year Bond previous week (23.6 percent)
Ultra 10-Year Bond (8.2 percent) vs Ultra 10-Year Bond previous week (1.5 percent)
US Treasury Bond (50.8 percent) vs US Treasury Bond previous week (55.1 percent)
Ultra US Treasury Bond (26.3 percent) vs Ultra US Treasury Bond previous week (31.4 percent)
Eurodollar (21.7 percent) vs Eurodollar previous week (19.5 percent)

Strength Trends led by Eurodollar & 10-Year Treasury Bond

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (6.8 percent) leads the past six weeks trends for bonds this week. The 10-Year Bond (2.5 percent) is the only other positive mover in the latest trends data.

The 2-Year Bond (-28.6 percent) leads the downside trend scores currently while the next markets with lower trend scores were the Ultra US Treasury Bond (-14.2 percent) and the Fed Funds (-7.7 percent).

Strength Trend Statistics:
Fed Funds (-7.7 percent) vs Fed Funds previous week (1.3 percent)
2-Year Bond (-28.6 percent) vs 2-Year Bond previous week (-31.6 percent)
5-Year Bond (-6.3 percent) vs 5-Year Bond previous week (-6.0 percent)
10-Year Bond (2.5 percent) vs 10-Year Bond previous week (2.9 percent)
Ultra 10-Year Bond (-0.7 percent) vs Ultra 10-Year Bond previous week (-7.6 percent)
US Treasury Bond (-5.7 percent) vs US Treasury Bond previous week (-2.2 percent)
Ultra US Treasury Bond (-14.2 percent) vs Ultra US Treasury Bond previous week (-10.9 percent)
Eurodollar (6.8 percent) vs Eurodollar previous week (5.9 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -1,709,352 contracts in the data reported through Tuesday. This was a weekly rise of 115,943 contracts from the previous week which had a total of -1,825,295 net contracts.

This week’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 21.7 percent. The commercials are Bullish with a score of 76.0 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.268.65.0
– Percent of Open Interest Shorts:30.841.68.3
– Net Position:-1,709,3521,952,152-242,800
– Gross Longs:520,5474,964,242360,091
– Gross Shorts:2,229,8993,012,090602,891
– Long to Short Ratio:0.2 to 11.6 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.776.051.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.8-6.3-3.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -32,618 contracts in the data reported through Tuesday. This was a weekly reduction of -44,174 contracts from the previous week which had a total of 11,556 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.6 percent. The commercials are Bullish with a score of 65.1 percent and the small traders (not shown in chart) are Bearish with a score of 33.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.275.01.9
– Percent of Open Interest Shorts:13.272.32.5
– Net Position:-32,61842,973-10,355
– Gross Longs:184,2731,230,56730,497
– Gross Shorts:216,8911,187,59440,852
– Long to Short Ratio:0.8 to 11.0 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.665.133.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.77.7-4.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -528,178 contracts in the data reported through Tuesday. This was a weekly gain of 38,817 contracts from the previous week which had a total of -566,995 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.6 percent. The commercials are Bullish-Extreme with a score of 89.2 percent and the small traders (not shown in chart) are Bullish with a score of 55.9 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.481.08.9
– Percent of Open Interest Shorts:32.656.38.5
– Net Position:-528,178519,5168,662
– Gross Longs:156,2491,700,306186,732
– Gross Shorts:684,4271,180,790178,070
– Long to Short Ratio:0.2 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.689.255.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.617.434.5

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -529,349 contracts in the data reported through Tuesday. This was a weekly fall of -5,695 contracts from the previous week which had a total of -523,654 net contracts.

This week’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 5.5 percent. The commercials are Bullish-Extreme with a score of 88.7 percent and the small traders (not shown in chart) are Bullish with a score of 56.6 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.482.47.2
– Percent of Open Interest Shorts:19.768.09.3
– Net Position:-529,349618,522-89,173
– Gross Longs:316,9863,544,108309,862
– Gross Shorts:846,3352,925,586399,035
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.588.756.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.33.92.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -296,772 contracts in the data reported through Tuesday. This was a weekly rise of 24,484 contracts from the previous week which had a total of -321,256 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.3 percent. The commercials are Bullish with a score of 64.6 percent and the small traders (not shown in chart) are Bullish with a score of 65.1 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.075.49.0
– Percent of Open Interest Shorts:19.766.210.6
– Net Position:-296,772359,620-62,848
– Gross Longs:469,0722,939,872351,940
– Gross Shorts:765,8442,580,252414,788
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.364.665.1
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.5-1.4-1.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -79,249 contracts in the data reported through Tuesday. This was a weekly gain of 25,883 contracts from the previous week which had a total of -105,132 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.2 percent. The commercials are Bullish-Extreme with a score of 81.2 percent and the small traders (not shown in chart) are Bullish with a score of 73.7 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.577.011.7
– Percent of Open Interest Shorts:16.365.317.6
– Net Position:-79,249159,553-80,304
– Gross Longs:142,5881,050,386159,395
– Gross Shorts:221,837890,833239,699
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.281.273.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.72.1-3.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -103,917 contracts in the data reported through Tuesday. This was a weekly decrease of -13,433 contracts from the previous week which had a total of -90,484 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.8 percent. The commercials are Bearish with a score of 34.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.078.815.2
– Percent of Open Interest Shorts:12.673.212.1
– Net Position:-103,91766,85137,066
– Gross Longs:47,371943,291182,448
– Gross Shorts:151,288876,440145,382
– Long to Short Ratio:0.3 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.834.482.0
– Strength Index Reading (3 Year Range):BullishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.74.93.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -389,404 contracts in the data reported through Tuesday. This was a weekly lowering of -12,393 contracts from the previous week which had a total of -377,011 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.3 percent. The commercials are Bullish with a score of 75.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.4 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.182.711.9
– Percent of Open Interest Shorts:30.460.38.0
– Net Position:-389,404331,41257,992
– Gross Longs:60,2281,222,893175,631
– Gross Shorts:449,632891,481117,639
– Long to Short Ratio:0.1 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.375.479.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.211.510.7

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Opinions
20 Nov

Bonds Speculator’s bearish bets surge to push 2-Year Bond positions to 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 November 15th 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 Eurodollar & 2-Year Bond

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

Leading the weekly gains for the bond markets was the Eurodollar (145,719 contracts) with the Ultra US Bond (4,465 contracts) also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the 2-Year Bond (-102,997 contracts) with the 10-Year Bond (-59,962 contracts), the Fed Funds (-48,469 contracts), the 5-Year Bond (-48,163 contracts), the Long US Bond (-6,956 contracts) and the Ultra 10-Year (-2,545 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the 2-Year Bond position that continues to see the bearish bets pile up. Large speculators sharply added to their bearish positioning this week by a total of -102,997 contracts and marking the largest one-week bearish gain since February. Overall, bearish bets have risen for the past four straight weeks and for five out of the past six weeks. The bearish position has now risen by a total of -250,758 contracts over just the past four weeks.

This continued weakness for the 2-Year has pushed the overall net position standing to the lowest on record for a third straight week with this week’s standing totaling -586,270 contracts, according to CFTC data going back to 1990.

The 2-Year Bond futures price has continued to be in a steep downtrend but has trended a bit higher in the past week off its recent low touched on November 4th at 101.19.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-15-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,670,6960-1,966,931172,232,77781-265,84646
FedFunds1,488,04342-26,2853632,82264-6,53743
2-Year2,261,04222-586,2700590,806100-4,53650
Long T-Bond1,199,68743-97,6815378,7453918,93668
10-Year4,015,83366-343,02120405,12970-62,10865
5-Year4,333,91270-547,6183632,20790-84,58958

 

Strength Scores led by US Treasury Bond

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) show that the US Treasury Bond (52.8 percent) leads the bonds category and is the only bond market above the 50 percent level (3-Year Midpoint).

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level and currently at the bottom of its 3-Year range. The 5-Year Bond (2.7 percent), the Ultra 10-Year Bond (8.2 percent) and the Eurodollar (16.9 percent) join the 2-Year Bond with scores in bearish extreme positions (below 20 percent).

Strength Statistics:
Fed Funds (36.4 percent) vs Fed Funds previous week (42.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (15.3 percent)
5-Year Bond (2.7 percent) vs 5-Year Bond previous week (10.0 percent)
10-Year Bond (20.3 percent) vs 10-Year Bond previous week (29.4 percent)
Ultra 10-Year Bond (8.2 percent) vs Ultra 10-Year Bond previous week (8.9 percent)
US Treasury Bond (52.8 percent) vs US Treasury Bond previous week (55.1 percent)
Ultra US Treasury Bond (31.1 percent) vs Ultra US Treasury Bond previous week (29.3 percent)
Eurodollar (16.9 percent) vs Eurodollar previous week (14.2 percent)

10-Year Bond lead the Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the 10-Year Bond (3.6 percent) leads the past six weeks trends for bonds this week. The Eurodollar (2.2 percent), the US Treasury Bond (1.9 percent) and the Ultra 10-Year Bond (0.8 percent) fill out the other positive movers in the latest trends data.

The 2-Year Bond (-41.6 percent) leads the downside trend scores currently with a steep drop while the next markets with lower trend scores was the 5-Year Bond (-9.8 percent) followed by the Fed Funds (-2.4 percent).

Strength Trend Statistics:
Fed Funds (-2.4 percent) vs Fed Funds previous week (-9.9 percent)
2-Year Bond (-41.6 percent) vs 2-Year Bond previous week (-24.2 percent)
5-Year Bond (-9.8 percent) vs 5-Year Bond previous week (-8.7 percent)
10-Year Bond (3.6 percent) vs 10-Year Bond previous week (12.5 percent)
Ultra 10-Year Bond (0.8 percent) vs Ultra 10-Year Bond previous week (-4.4 percent)
US Treasury Bond (1.9 percent) vs US Treasury Bond previous week (1.9 percent)
Ultra US Treasury Bond (-0.4 percent) vs Ultra US Treasury Bond previous week (-0.1 percent)
Eurodollar (2.2 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 this week totaled a net position of -1,966,931 contracts in the data reported through Tuesday. This was a weekly lift of 145,719 contracts from the previous week which had a total of -2,112,650 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 16.9 percent. The commercials are Bullish-Extreme with a score of 81.0 percent and the small traders (not shown in chart) are Bearish with a score of 45.9 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.367.95.2
– Percent of Open Interest Shorts:32.938.88.7
– Net Position:-1,966,9312,232,777-265,846
– Gross Longs:559,9465,207,904402,188
– Gross Shorts:2,526,8772,975,127668,034
– Long to Short Ratio:0.2 to 11.8 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.981.045.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.2-2.0-2.1

 

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 -26,285 contracts in the data reported through Tuesday. This was a weekly lowering of -48,469 contracts from the previous week which had a total of 22,184 net contracts.

This week’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 36.4 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bearish with a score of 43.0 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.175.62.6
– Percent of Open Interest Shorts:11.873.43.0
– Net Position:-26,28532,822-6,537
– Gross Longs:149,6931,124,42138,519
– Gross Shorts:175,9781,091,59945,056
– Long to Short Ratio:0.9 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.463.943.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.41.029.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week totaled a net position of -586,270 contracts in the data reported through Tuesday. This was a weekly fall of -102,997 contracts from the previous week which had a total of -483,273 net contracts.

This week’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 50.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.582.28.3
– Percent of Open Interest Shorts:32.456.18.5
– Net Position:-586,270590,806-4,536
– Gross Longs:146,3331,859,038187,082
– Gross Shorts:732,6031,268,232191,618
– Long to Short Ratio:0.2 to 11.5 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.050.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-41.629.637.5

 

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 -547,618 contracts in the data reported through Tuesday. This was a weekly decline of -48,163 contracts from the previous week which had a total of -499,455 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.7 percent. The commercials are Bullish-Extreme with a score of 90.3 percent and the small traders (not shown in chart) are Bullish with a score of 57.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.183.87.2
– Percent of Open Interest Shorts:19.869.29.1
– Net Position:-547,618632,207-84,589
– Gross Longs:309,3733,632,210310,934
– Gross Shorts:856,9913,000,003395,523
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.790.357.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.80.915.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week totaled a net position of -343,021 contracts in the data reported through Tuesday. This was a weekly lowering of -59,962 contracts from the previous week which had a total of -283,059 net contracts.

This week’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 20.3 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bullish with a score of 65.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.876.19.4
– Percent of Open Interest Shorts:20.366.011.0
– Net Position:-343,021405,129-62,108
– Gross Longs:472,2883,054,508379,476
– Gross Shorts:815,3092,649,379441,584
– Long to Short Ratio:0.6 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.370.065.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.6-1.4-2.9

 

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 -79,073 contracts in the data reported through Tuesday. This was a weekly decrease of -2,545 contracts from the previous week which had a total of -76,528 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.2 percent. The commercials are Bullish-Extreme with a score of 87.6 percent and the small traders (not shown in chart) are Bullish with a score of 57.3 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.679.99.6
– Percent of Open Interest Shorts:15.366.717.1
– Net Position:-79,073184,254-105,181
– Gross Longs:133,9711,114,722133,372
– Gross Shorts:213,044930,468238,553
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.287.657.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.84.2-12.9

 

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 -97,681 contracts in the data reported through Tuesday. This was a weekly fall of -6,956 contracts from the previous week which had a total of -90,725 net contracts.

This 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 52.8 percent. The commercials are Bearish with a score of 38.7 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:4.879.314.5
– Percent of Open Interest Shorts:12.972.813.0
– Net Position:-97,68178,74518,936
– Gross Longs:57,233951,931174,421
– Gross Shorts:154,914873,186155,485
– Long to Short Ratio:0.4 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.838.767.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.9-2.30.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -377,708 contracts in the data reported through Tuesday. This was a weekly increase of 4,465 contracts from the previous week which had a total of -382,173 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.1 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bullish with a score of 73.8 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.381.511.4
– Percent of Open Interest Shorts:31.659.78.0
– Net Position:-377,708326,61751,091
– Gross Longs:94,5401,217,889170,609
– Gross Shorts:472,248891,272119,518
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.172.973.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.43.5-4.6

 

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 Nov

COT Bonds Speculators raised their Fed Funds & 5-Year Bond bets last week

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 COT release was delayed due to a Federal Holiday last week.

The latest COT data is updated through Tuesday November 8th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Fed Funds & 5-Year Bond

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

Leading the weekly gains for the bond markets was the Fed Funds (39,189 contracts) and the 5-Year Bond (37,532 contracts) with the 10-Year Bond (15,257 contracts), the Ultra 10-Year (6,903 contracts), the Ultra US Bond (5,993 contracts) and the Long US Bond (4,580 contracts) also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the Eurodollar (-161,954 contracts) with the 2-Year Bond (-45,488 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-08-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,973,3511-2,112,650142,359,93283-247,28250
FedFunds1,490,6834222,18442-14,21058-7,97439
2-Year2,205,57319-483,2730505,582100-22,30942
Long T-Bond1,207,90544-90,7255558,2563132,46978
10-Year4,030,77067-283,05929349,82463-66,76564
5-Year4,281,32067-499,45510612,34688-112,89150

 

US Treasury Bond led the Strength Scores

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 US Treasury Bond (55.1 percent) led the bonds category.

On the downside, the 2-Year Bond (0.0 percent), Ultra 10-Year Bond (8.9 percent), 5-Year Bond (10.0 percent) and the Eurodollar (14.2 percent) came in at the lowest strength levels and were all in an extreme bearish level (below 20 percent).

Strength Statistics:
Fed Funds (42.4 percent) vs Fed Funds previous week (37.5 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (8.0 percent)
5-Year Bond (10.0 percent) vs 5-Year Bond previous week (4.3 percent)
10-Year Bond (29.4 percent) vs 10-Year Bond previous week (27.1 percent)
Ultra 10-Year Bond (8.9 percent) vs Ultra 10-Year Bond previous week (7.1 percent)
US Treasury Bond (55.1 percent) vs US Treasury Bond previous week (53.6 percent)
Ultra US Treasury Bond (29.3 percent) vs Ultra US Treasury Bond previous week (26.9 percent)
Eurodollar (14.2 percent) vs Eurodollar previous week (17.2 percent)

Strength Trends led by 10-Year Bond last week

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bond (12.5 percent) led the past six weeks trends for bonds. The US Treasury Bond (1.9 percent) and the Eurodollar (0.9 percent) were the other positive movers in the latest trends data.

The 2-Year Bond (-28.6 percent) led the downside trend scores while the next market with lower trend scores was the Fed Funds (-9.9 percent) followed by the 5-Year Bond (-8.7 percent).

Strength Trend Statistics:
Fed Funds (-9.9 percent) vs Fed Funds previous week (-5.1 percent)
2-Year Bond (-28.6 percent) vs 2-Year Bond previous week (-16.7 percent)
5-Year Bond (-8.7 percent) vs 5-Year Bond previous week (-6.5 percent)
10-Year Bond (12.5 percent) vs 10-Year Bond previous week (-10.4 percent)
Ultra 10-Year Bond (-4.4 percent) vs Ultra 10-Year Bond previous week (-14.2 percent)
US Treasury Bond (1.9 percent) vs US Treasury Bond previous week (1.4 percent)
Ultra US Treasury Bond (-0.1 percent) vs Ultra US Treasury Bond previous week (-9.1 percent)
Eurodollar (0.9 percent) vs Eurodollar previous week (5.0 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 -2,112,650 contracts in the data reported through Tuesday. This was a weekly decline of -161,954 contracts from the previous week which had a total of -1,950,696 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.2 percent. The commercials are Bullish-Extreme with a score of 83.2 percent and the small traders (not shown in chart) are Bullish with a score of 50.0 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.168.66.1
– Percent of Open Interest Shorts:32.639.09.2
– Net Position:-2,112,6502,359,932-247,282
– Gross Longs:487,2735,471,608485,753
– Gross Shorts:2,599,9233,111,676733,035
– Long to Short Ratio:0.2 to 11.8 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.283.250.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.9-1.01.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of 22,184 contracts in the data reported through Tuesday. This was a weekly gain of 39,189 contracts from the previous week which had a total of -17,005 net contracts.

This week’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 Bullish with a score of 58.2 percent and the small traders (not shown in chart) are Bearish with a score of 39.3 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.473.02.2
– Percent of Open Interest Shorts:9.973.92.8
– Net Position:22,184-14,210-7,974
– Gross Longs:169,7431,087,83633,025
– Gross Shorts:147,5591,102,04640,999
– Long to Short Ratio:1.2 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.458.239.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.98.820.6

 

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 -483,273 contracts in the data reported through Tuesday. This was a weekly decrease of -45,488 contracts from the previous week which had a total of -437,785 net contracts.

This week’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 Bearish with a score of 42.1 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.481.28.2
– Percent of Open Interest Shorts:30.358.29.3
– Net Position:-483,273505,582-22,309
– Gross Longs:184,4791,790,012181,777
– Gross Shorts:667,7521,284,430204,086
– Long to Short Ratio:0.3 to 11.4 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.042.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.613.937.2

 

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 -499,455 contracts in the data reported through Tuesday. This was a weekly rise of 37,532 contracts from the previous week which had a total of -536,987 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 10.0 percent. The commercials are Bullish-Extreme with a score of 87.9 percent and the small traders (not shown in chart) are Bullish with a score of 50.1 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.183.87.6
– Percent of Open Interest Shorts:18.869.510.3
– Net Position:-499,455612,346-112,891
– Gross Longs:305,0683,588,425327,034
– Gross Shorts:804,5232,976,079439,925
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.087.950.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.75.53.5

 

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 -283,059 contracts in the data reported through Tuesday. This was a weekly boost of 15,257 contracts from the previous week which had a total of -298,316 net contracts.

This week’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 29.4 percent. The commercials are Bullish with a score of 63.4 percent and the small traders (not shown in chart) are Bullish with a score of 64.2 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.475.69.1
– Percent of Open Interest Shorts:19.467.010.7
– Net Position:-283,059349,824-66,765
– Gross Longs:499,4303,049,134366,261
– Gross Shorts:782,4892,699,310433,026
– Long to Short Ratio:0.6 to 11.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.463.464.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.5-7.1-5.2

 

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 -76,528 contracts in the data reported through Tuesday. This was a weekly gain of 6,903 contracts from the previous week which had a total of -83,431 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.9 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bullish with a score of 76.5 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.579.710.9
– Percent of Open Interest Shorts:14.068.716.4
– Net Position:-76,528152,582-76,054
– Gross Longs:117,6921,103,138151,341
– Gross Shorts:194,220950,556227,395
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.979.476.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.4-2.216.8

 

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 -90,725 contracts in the data reported through Tuesday. This was a weekly boost of 4,580 contracts from the previous week which had a total of -95,305 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.1 percent. The commercials are Bearish with a score of 31.4 percent and the small traders (not shown in chart) are Bullish with a score of 78.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.778.514.8
– Percent of Open Interest Shorts:13.273.712.1
– Net Position:-90,72558,25632,469
– Gross Longs:68,339948,677178,648
– Gross Shorts:159,064890,421146,179
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.131.478.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.9-3.63.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -382,173 contracts in the data reported through Tuesday. This was a weekly rise of 5,993 contracts from the previous week which had a total of -388,166 net contracts.

This week’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 29.3 percent. The commercials are Bullish with a score of 73.7 percent and the small traders (not shown in chart) are Bullish with a score of 76.2 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.081.911.9
– Percent of Open Interest Shorts:32.159.58.3
– Net Position:-382,173328,09054,083
– Gross Longs:88,2041,200,247175,022
– Gross Shorts:470,377872,157120,939
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.373.776.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.1-4.16.6

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
06 Nov

COT Bonds Speculators drop their 2-Year Bond bets to record low level

By InvestMacro

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

The latest COT data is updated through Tuesday November 1st 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 lower by Fed Funds, 2-Year & 5-Year

The COT bond market speculator bets were lower across the board this week as all eight of the bond markets we cover had lower positioning this week.

The bond markets leading the weekly declines in speculator bets this week were the Fed Funds (-89,356 contracts), the 2-Year Bond (-88,189 contracts) and the 5-Year Bond (-75,242 contracts) with the Eurodollar (-54,038 contracts), the 10-Year Bond (-50,568 contracts), the Ultra US Bond (-37,144 contracts), the Long US Bond (-18,746 contracts) and the Ultra 10-Year (-4,085 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the historic weakness of the 2-Year Bond speculators positioning. Large speculators dropped their bets this week for a second straight week and by the largest weekly amount since May with this week’s decline numbering -88,189 contracts. The sentiment drop has now brought the overall 2-Year Bond speculator standing to its lowest level on record at a total of -437,785 contracts, eclipsing the previous record low of -417,237 contracts registered on December 11th of 2018.

The bond markets overall were on the defensive this week as the US Federal Reserve raised their benchmark interest rate by 75 basis points for the fourth straight meeting. The 2-Year Bond, being near the short end of the yield curve, is especially sensitive to the rate change. The 2-Year front month futures price decreased to the lowest level since 2007 this week while the yield for the 2-Year hit above 5 percent (yields rise as prices fall), the highest threshold since 2007 as well.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-01-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar7,921,8650-1,950,696172,217,45781-266,76146
FedFunds1,364,70332-17,0053830,79664-13,79125
2-Year2,234,14820-437,7850464,387100-26,60240
Long T-Bond1,193,68742-95,3055464,9063430,39977
10-Year3,952,20561-298,31627343,55463-45,23869
5-Year4,140,76059-536,9874629,89790-92,91056

 

Strength Scores led by US Treasury Bond

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) show that the US Treasury Bond (53.6 percent) leads the bonds category this week. The Fed Funds (37.5 percent) comes in as the next highest bonds market in strength scores but is down from 48.6 percent from last week.

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level currently and is followed by the 5-Year Bond (4.3 percent), the Ultra 10-Year Bond (7.1 percent) and the Eurodollar (17.2 percent). All four of these markets currently are in bearish extreme positioning compared to the past three years of speculator positions with scores below 20 percent.

Strength Statistics:
Fed Funds (37.5 percent) vs Fed Funds previous week (48.6 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (16.8 percent)
5-Year Bond (4.3 percent) vs 5-Year Bond previous week (15.7 percent)
10-Year Bond (27.1 percent) vs 10-Year Bond previous week (34.8 percent)
Ultra 10-Year Bond (7.1 percent) vs Ultra 10-Year Bond previous week (8.2 percent)
US Treasury Bond (53.6 percent) vs US Treasury Bond previous week (59.7 percent)
Ultra US Treasury Bond (26.9 percent) vs Ultra US Treasury Bond previous week (42.0 percent)
Eurodollar (17.2 percent) vs Eurodollar previous week (18.2 percent)

Eurodollar & US Treasury Bond show positive Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the Eurodollar (5.0 percent) leads the past six weeks trends for bonds this week. The US Treasury Bond (1.4 percent) is the only other positive mover in the latest trends data.

The 2-Year Bond (-18.1 percent) leads the downside trend scores currently followed by the Ultra 10-Year Bond (-14.2 percent), 10-Year Bond (-10.4 percent), the Ultra US Treasury Bond (-9.1 percent) and the 5-Year Bond (-6.5 percent).

Strength Trend Statistics:
Fed Funds (-5.1 percent) vs Fed Funds previous week (3.0 percent)
2-Year Bond (-18.1 percent) vs 2-Year Bond previous week (1.6 percent)
5-Year Bond (-6.5 percent) vs 5-Year Bond previous week (9.0 percent)
10-Year Bond (-10.4 percent) vs 10-Year Bond previous week (16.0 percent)
Ultra 10-Year Bond (-14.2 percent) vs Ultra 10-Year Bond previous week (-18.9 percent)
US Treasury Bond (1.4 percent) vs US Treasury Bond previous week (6.0 percent)
Ultra US Treasury Bond (-9.1 percent) vs Ultra US Treasury Bond previous week (-1.8 percent)
Eurodollar (5.0 percent) vs Eurodollar previous week (18.1 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -1,950,696 contracts in the data reported through Tuesday. This was a weekly reduction of -54,038 contracts from the previous week which had a total of -1,896,658 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.2 percent. The commercials are Bullish-Extreme with a score of 80.7 percent and the small traders (not shown in chart) are Bearish with a score of 45.7 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.467.74.7
– Percent of Open Interest Shorts:32.139.78.1
– Net Position:-1,950,6962,217,457-266,761
– Gross Longs:589,4715,361,762371,189
– Gross Shorts:2,540,1673,144,305637,950
– Long to Short Ratio:0.2 to 11.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.280.745.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.0-5.24.3

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of -17,005 contracts in the data reported through Tuesday. This was a weekly decline of -89,356 contracts from the previous week which had a total of 72,351 net contracts.

This week’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 37.5 percent. The commercials are Bullish with a score of 63.6 percent and the small traders (not shown in chart) are Bearish with a score of 24.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.373.51.8
– Percent of Open Interest Shorts:11.671.22.8
– Net Position:-17,00530,796-13,791
– Gross Longs:140,9201,002,68925,091
– Gross Shorts:157,925971,89338,882
– Long to Short Ratio:0.9 to 11.0 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.563.624.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.15.8-17.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -437,785 contracts in the data reported through Tuesday. This was a weekly decline of -88,189 contracts from the previous week which had a total of -349,596 net contracts.

This week’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 Bearish with a score of 40.2 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.482.07.6
– Percent of Open Interest Shorts:27.061.28.8
– Net Position:-437,785464,387-26,602
– Gross Longs:164,9821,831,669169,031
– Gross Shorts:602,7671,367,282195,633
– Long to Short Ratio:0.3 to 11.3 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.040.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.14.930.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -536,987 contracts in the data reported through Tuesday. This was a weekly decrease of -75,242 contracts from the previous week which had a total of -461,745 net contracts.

This week’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 4.3 percent. The commercials are Bullish-Extreme with a score of 90.1 percent and the small traders (not shown in chart) are Bullish with a score of 55.5 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.186.07.6
– Percent of Open Interest Shorts:18.170.89.8
– Net Position:-536,987629,897-92,910
– Gross Longs:213,1793,559,701313,942
– Gross Shorts:750,1662,929,804406,852
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.390.155.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.5-1.214.5

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -298,316 contracts in the data reported through Tuesday. This was a weekly fall of -50,568 contracts from the previous week which had a total of -247,748 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 27.1 percent. The commercials are Bullish with a score of 62.7 percent and the small traders (not shown in chart) are Bullish with a score of 69.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.976.59.1
– Percent of Open Interest Shorts:19.567.810.2
– Net Position:-298,316343,554-45,238
– Gross Longs:471,1663,021,952357,967
– Gross Shorts:769,4822,678,398403,205
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.162.769.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.40.116.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -83,431 contracts in the data reported through Tuesday. This was a weekly decline of -4,085 contracts from the previous week which had a total of -79,346 net contracts.

This week’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 7.1 percent. The commercials are Bullish-Extreme with a score of 81.6 percent and the small traders (not shown in chart) are Bullish with a score of 75.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.980.411.0
– Percent of Open Interest Shorts:13.968.816.6
– Net Position:-83,431161,124-77,693
– Gross Longs:109,5131,118,917153,574
– Gross Shorts:192,944957,793231,267
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.181.675.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.22.330.2

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of -95,305 contracts in the data reported through Tuesday. This was a weekly lowering of -18,746 contracts from the previous week which had a total of -76,559 net contracts.

This 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 53.6 percent. The commercials are Bearish with a score of 33.8 percent and the small traders (not shown in chart) are Bullish with a score of 76.7 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.679.214.3
– Percent of Open Interest Shorts:13.673.711.7
– Net Position:-95,30564,90630,399
– Gross Longs:67,408945,230170,536
– Gross Shorts:162,713880,324140,137
– Long to Short Ratio:0.4 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.633.876.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.4-5.07.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -388,166 contracts in the data reported through Tuesday. This was a weekly lowering of -37,144 contracts from the previous week which had a total of -351,022 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.9 percent. The commercials are Bullish with a score of 77.8 percent and the small traders (not shown in chart) are Bullish with a score of 74.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.982.611.4
– Percent of Open Interest Shorts:32.759.47.8
– Net Position:-388,166335,89252,274
– Gross Longs:85,6811,198,023165,861
– Gross Shorts:473,847862,131113,587
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.977.874.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.13.013.5

 

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
04 Nov

Why Investors in U.S. Treasuries Face Major Risk

Rising rates will be “disastrous” for governments, other debtors and creditors

By Elliott Wave International

The market for U.S. Treasuries is the biggest bond market in the world, and it appears that potentially big trouble may be afoot.

Earlier this month, none other than the U.S. Treasury Secretary herself (Janet Yellen) acknowledged …

… “a loss of adequate liquidity in the [U.S. government debt] market.”

Then, in a statement last week, Bank of America strategists expressed concerns about …

… “large scale forced selling [of U.S. Treasuries].”

No wonder other analysts and traders have voiced worries about U.S. Treasuries being a potential key factor in the next financial crisis.

It may interest you to know that Elliott Wave International has been ahead of this developing story.

In April of this year, The Elliott Wave Theorist, a monthly publication which provides analysis of financial markets and major cultural trends, showed this amazing chart and said:

Because of the 39-year symmetry in this picture and the unprecedented arrival of negative interest rates, we have been adamant that interest rates bottomed in 2020. Sure enough, they have been rising since. … Rising interest rates will be disastrous for governments and other debtors as well as for creditors who hold long term bonds.

Fast forward to the Oct. 21, 2022 U.S. Short Term Update, a thrice weekly Elliott Wave International publication which provides near-term analysis of major U.S. financial markets, which noted:

[U.S. Treasury long bond futures] are collapsing, as rates shoot higher. The yield on … 10-year treasury paper pushed to 4.34%, its highest level in 15 years. Bond investors are being absolutely crushed.

Of course, when bond yields rise, prices fall.

The question now is: Is the rise in yields almost over or do they have a lot further to go?

Well, an Oct. 21 Reuters article said:

Some investors believe Treasury yields are close to peaking. …

All financial markets have countertrend moves and it’s certainly possible that one is ahead for U.S. Treasuries.

Yet, what’s important to know is the main trend.

You can get a handle on the main trend of U.S. Treasuries by employing the Elliott wave model.

If you’re unfamiliar with Elliott wave analysis, or need a refresher, a great resource is Frost & Prechter’s Wall Street classic, Elliott Wave Principle: Key to Market Behavior. Here’s a quote from the book:

In markets, progress ultimately takes the form of five waves of a specific structure. Three of these waves, which are labeled 1, 3 and 5, actually effect the directional movement. They are separated by two countertrend interruptions, which are labeled 2 and 4. The two interruptions are apparently a requisite for overall directional movement to occur.

[R.N.] Elliott noted three consistent aspects of the five-wave form. They are: Wave 2 never moves beyond the start of wave 1; wave 3 is never the shortest wave; wave 4 never enters the price territory of wave 1.

If you’d like to read more about the Elliott wave model, here’s some good news: You can access the online version of Elliott Wave Principle: Key to Market Behavior for free once you become a member of Club EWI, the world’s largest Elliott wave educational community.

Club EWI is free to join and members enjoy complimentary access to a wealth of Elliott wave resources on financial markets, investing and trading, including videos and articles from Elliott Wave International analysts.

Just follow this link to get started: Elliott Wave Principle: Key to Market Behavior — get free and instant access.

This article was syndicated by Elliott Wave International and was originally published under the headline Why Investors in U.S. Treasuries Face Major Risk. EWI is the world’s largest market forecasting firm. Its staff of full-time analysts led by Chartered Market Technician Robert Prechter provides 24-hour-a-day market analysis to institutional and private investors around the world.

Bonds Financial News
30 Oct

Bonds Weekly Speculator Bets led by Eurodollar and 10-Year Bond

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 October 25th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Eurodollar and 10-Year Bond

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

Leading the weekly gains for the bond markets was the Eurodollar (180,417 contracts) with the 10-Year Bond (65,690 contracts), the Fed Funds (42,830 contracts), the 5-Year Bond (25,832 contracts), the Long US Bond (9,780 contracts) and the Ultra US Bond (3,496 contracts)also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the 2-Year Bond (-14,084 contracts) with the Ultra 10-Year (-2,695 contracts) also realizing lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-25-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,016,2420-1,896,658182,000,71977-104,06182
FedFunds1,710,3956072,35149-64,83852-7,51341
2-Year2,133,13515-349,59612421,36396-71,76720
Long T-Bond1,223,91448-76,5596047,9042828,65575
10-Year3,929,01060-247,74835296,69257-48,94468
5-Year4,087,74856-461,74516546,15780-84,41258

 

Strength Scores led by US Long Treasury Bond

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 US Treasury Bond (59.7 percent) continues to lead the bonds category this week.

On the downside, the Ultra 10-Year Bond (8.2 percent), the 2-Year Bond (11.7 percent), 5-Year Bond (15.7 percent) and the Eurodollar (18.2 percent) come in at the lowest strength levels currently and are all in bearish extreme positions (below 20 percent).

Strength Statistics:
Fed Funds (48.6 percent) vs Fed Funds previous week (43.3 percent)
2-Year Bond (11.7 percent) vs 2-Year Bond previous week (14.5 percent)
5-Year Bond (15.7 percent) vs 5-Year Bond previous week (11.8 percent)
10-Year Bond (34.8 percent) vs 10-Year Bond previous week (24.8 percent)
Ultra 10-Year Bond (8.2 percent) vs Ultra 10-Year Bond previous week (8.9 percent)
US Treasury Bond (59.7 percent) vs US Treasury Bond previous week (56.5 percent)
Ultra US Treasury Bond (42.0 percent) vs Ultra US Treasury Bond previous week (40.6 percent)
Eurodollar (18.2 percent) vs Eurodollar previous week (14.9 percent)

Eurodollar leads the weekly Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (18.1 percent) leads the past six weeks trends for bonds. The 10-Year Bond (16.0 percent), the 5-Year Bond (9.0 percent)and the US Treasury Bond (6.0 percent) fill out the next top movers in the latest trends data.

The Ultra 10-Year Bond (-18.9 percent) leads the downside trend scores currently while the next market with lower trend scores was the Ultra US Treasury Bond (-1.8 percent).

Strength Trend Statistics:
Fed Funds (3.0 percent) vs Fed Funds previous week (1.3 percent)
2-Year Bond (1.7 percent) vs 2-Year Bond previous week (-1.8 percent)
5-Year Bond (9.0 percent) vs 5-Year Bond previous week (2.8 percent)
10-Year Bond (16.0 percent) vs 10-Year Bond previous week (9.6 percent)
Ultra 10-Year Bond (-18.9 percent) vs Ultra 10-Year Bond previous week (-14.0 percent)
US Treasury Bond (6.0 percent) vs US Treasury Bond previous week (-0.4 percent)
Ultra US Treasury Bond (-1.8 percent) vs Ultra US Treasury Bond previous week (1.2 percent)
Eurodollar (18.1 percent) vs Eurodollar previous week (13.0 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 -1,896,658 contracts in the data reported through Tuesday. This was a weekly advance of 180,417 contracts from the previous week which had a total of -2,077,075 net contracts.

This week’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 18.2 percent. The commercials are Bullish with a score of 76.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.6 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.065.87.2
– Percent of Open Interest Shorts:31.640.98.5
– Net Position:-1,896,6582,000,719-104,061
– Gross Longs:638,4845,275,368577,900
– Gross Shorts:2,535,1423,274,649681,961
– Long to Short Ratio:0.3 to 11.6 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.276.981.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.1-21.854.1

 

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 72,351 contracts in the data reported through Tuesday. This was a weekly advance of 42,830 contracts from the previous week which had a total of 29,521 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.6 percent. The commercials are Bullish with a score of 52.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.068.81.6
– Percent of Open Interest Shorts:11.772.62.1
– Net Position:72,351-64,838-7,513
– Gross Longs:273,1291,177,28227,698
– Gross Shorts:200,7781,242,12035,211
– Long to Short Ratio:1.4 to 10.9 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.652.040.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.0-3.818.6

 

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 -349,596 contracts in the data reported through Tuesday. This was a weekly reduction of -14,084 contracts from the previous week which had a total of -335,512 net contracts.

This week’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 11.7 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish with a score of 20.0 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.183.17.5
– Percent of Open Interest Shorts:23.563.410.9
– Net Position:-349,596421,363-71,767
– Gross Longs:151,5171,773,452159,922
– Gross Shorts:501,1131,352,089231,689
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.795.720.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.7-2.92.8

 

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 -461,745 contracts in the data reported through Tuesday. This was a weekly rise of 25,832 contracts from the previous week which had a total of -487,577 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.7 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish with a score of 57.9 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.17.8
– Percent of Open Interest Shorts:17.271.89.9
– Net Position:-461,745546,157-84,412
– Gross Longs:239,3133,479,211320,339
– Gross Shorts:701,0582,933,054404,751
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.779.957.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-15.919.5

 

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 -247,748 contracts in the data reported through Tuesday. This was a weekly increase of 65,690 contracts from the previous week which had a total of -313,438 net contracts.

This week’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 34.8 percent. The commercials are Bullish with a score of 57.1 percent and the small traders (not shown in chart) are Bullish with a score of 68.4 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.576.89.3
– Percent of Open Interest Shorts:17.969.310.5
– Net Position:-247,748296,692-48,944
– Gross Longs:453,6433,019,262363,812
– Gross Shorts:701,3912,722,570412,756
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.857.168.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.0-19.714.4

 

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 -79,346 contracts in the data reported through Tuesday. This was a weekly lowering of -2,695 contracts from the previous week which had a total of -76,651 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 8.2 percent. The commercials are Bullish-Extreme with a score of 81.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.281.210.9
– Percent of Open Interest Shorts:12.969.716.6
– Net Position:-79,346159,023-79,677
– Gross Longs:100,0261,124,960150,789
– Gross Shorts:179,372965,937230,466
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.281.174.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.911.318.8

 

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 -76,559 contracts in the data reported through Tuesday. This was a weekly increase of 9,780 contracts from the previous week which had a total of -86,339 net contracts.

This 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 59.7 percent. The commercials are Bearish with a score of 27.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.3 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.978.014.0
– Percent of Open Interest Shorts:13.274.111.7
– Net Position:-76,55947,90428,655
– Gross Longs:84,406954,865171,735
– Gross Shorts:160,965906,961143,080
– Long to Short Ratio:0.5 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.727.775.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.0-6.60.2

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week totaled a net position of -351,022 contracts in the data reported through Tuesday. This was a weekly rise of 3,496 contracts from the previous week which had a total of -354,518 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.0 percent. The commercials are Bullish with a score of 62.5 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.681.611.3
– Percent of Open Interest Shorts:30.760.58.3
– Net Position:-351,022307,02144,001
– Gross Longs:95,6301,185,802164,658
– Gross Shorts:446,652878,781120,657
– Long to Short Ratio:0.2 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.062.568.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.8-1.96.5

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
23 Oct

Eurodollar, Fed Funds & 10-Year Bonds lead Weekly COT Speculator Changes

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 October 18th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Eurodollar, Fed Funds & 10-Year lead Weekly Speculator Changes

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

Leading the weekly gains for the bond markets was the Eurodollar (66,141 contracts) with the Fed Funds (28,633 contracts), the 10-Year Bond (26,725 contracts) and the 2-Year Bond (18,174 contracts) also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the Ultra US Bond (-4,286 contracts) with the 5-Year Bond (-3,657 contracts), the Long US Bond (-2,547 contracts) and the Ultra 10-Year (-880 contracts) also registering lower bets on the week.

 

Data Snapshot of Bond Market Traders | Columns Legend
Oct-18-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar8,072,6700-2,077,075152,305,87582-228,80054
FedFunds1,649,0785329,52143-20,82757-8,69437
2-Year2,046,00112-335,51215404,18192-68,66921
Long T-Bond1,219,64547-86,3395653,1483033,19179
10-Year3,843,16454-313,43825371,57766-58,13966
5-Year4,000,02751-487,57712586,83985-99,26254

 

Strength Scores led by US Treasury Bond

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 US Treasury Bond (56.5 percent) leads the bonds category for the week and is the only market above 50 percent or above the 3-Year midpoint.

On the downside, the Ultra 10-Year Bond (8.9 percent), 5-Year Bond (11.8 percent), 2-Year Bond (14.5 percent) and the Eurodollar (14.9 percent) came in at the lowest strength levels and are all in extreme bearish levels (below 20 percent).

Strength Statistics:
Fed Funds (43.3 percent) vs Fed Funds previous week (39.7 percent)
2-Year Bond (14.5 percent) vs 2-Year Bond previous week (10.8 percent)
5-Year Bond (11.8 percent) vs 5-Year Bond previous week (12.3 percent)
10-Year Bond (24.8 percent) vs 10-Year Bond previous week (20.7 percent)
Ultra 10-Year Bond (8.9 percent) vs Ultra 10-Year Bond previous week (9.1 percent)
US Treasury Bond (56.5 percent) vs US Treasury Bond previous week (57.3 percent)
Ultra US Treasury Bond (40.6 percent) vs Ultra US Treasury Bond previous week (42.3 percent)
Eurodollar (14.9 percent) vs Eurodollar previous week (13.7 percent)

Eurodollar & 10-Year Bond top the Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (13.0 percent) leads the past six weeks trends for bonds this week. The 10-Year Bond (9.6 percent), the 5-Year Bond (2.8 percent), Fed Funds (1.3 percent) and the Ultra US Treasury Bond (1.2 percent) fill out the other positive movers in the latest trends data.

The Ultra 10-Year Bond (-14.0 percent) leads the downside trend scores currently while the next markets with lower trend scores were the 2-Year Bond (-1.8 percent) and the US Treasury Bond (-0.4 percent).

Strength Trend Statistics:
Fed Funds (1.3 percent) vs Fed Funds previous week (-10.4 percent)
2-Year Bond (-1.8 percent) vs 2-Year Bond previous week (-14.6 percent)
5-Year Bond (2.8 percent) vs 5-Year Bond previous week (12.3 percent)
10-Year Bond (9.6 percent) vs 10-Year Bond previous week (15.2 percent)
Ultra 10-Year Bond (-14.0 percent) vs Ultra 10-Year Bond previous week (-15.0 percent)
US Treasury Bond (-0.4 percent) vs US Treasury Bond previous week (-4.9 percent)
Ultra US Treasury Bond (1.2 percent) vs Ultra US Treasury Bond previous week (2.3 percent)
Eurodollar (13.0 percent) vs Eurodollar previous week (13.2 percent)

Individual Bond Markets:

3-Month Eurodollars Futures:

 

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week came in at a net position of -2,077,075 contracts in the data reported through Tuesday. This was a weekly lift of 66,141 contracts from the previous week which had a total of -2,143,216 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.9 percent. The commercials are Bullish-Extreme with a score of 82.3 percent and the small traders (not shown in chart) are Bullish with a score of 54.1 percent.

3-Month Eurodollars StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.168.54.8
– Percent of Open Interest Shorts:33.940.07.6
– Net Position:-2,077,0752,305,875-228,800
– Gross Longs:657,2185,533,303387,561
– Gross Shorts:2,734,2933,227,428616,361
– Long to Short Ratio:0.2 to 11.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.982.354.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.0-15.029.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of 29,521 contracts in the data reported through Tuesday. This was a weekly lift of 28,633 contracts from the previous week which had a total of 888 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 43.3 percent. The commercials are Bullish with a score of 57.4 percent and the small traders (not shown in chart) are Bearish with a score of 37.5 percent.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.471.31.8
– Percent of Open Interest Shorts:11.672.52.3
– Net Position:29,521-20,827-8,694
– Gross Longs:220,3651,175,23029,854
– Gross Shorts:190,8441,196,05738,548
– Long to Short Ratio:1.2 to 11.0 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.357.437.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.3-1.42.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -335,512 contracts in the data reported through Tuesday. This was a weekly gain of 18,174 contracts from the previous week which had a total of -353,686 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.5 percent. The commercials are Bullish-Extreme with a score of 92.3 percent and the small traders (not shown in chart) are Bearish with a score of 21.4 percent.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.083.67.8
– Percent of Open Interest Shorts:23.463.811.2
– Net Position:-335,512404,181-68,669
– Gross Longs:143,7551,709,706160,055
– Gross Shorts:479,2671,305,525228,724
– Long to Short Ratio:0.3 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.592.321.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.8-1.77.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -487,577 contracts in the data reported through Tuesday. This was a weekly fall of -3,657 contracts from the previous week which had a total of -483,920 net contracts.

This week’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 11.8 percent. The commercials are Bullish-Extreme with a score of 84.8 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.585.97.8
– Percent of Open Interest Shorts:17.771.210.3
– Net Position:-487,577586,839-99,262
– Gross Longs:219,7823,434,617311,325
– Gross Shorts:707,3592,847,778410,587
– Long to Short Ratio:0.3 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.884.853.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.8-8.814.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -313,438 contracts in the data reported through Tuesday. This was a weekly increase of 26,725 contracts from the previous week which had a total of -340,163 net contracts.

This week’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 66.0 percent and the small traders (not shown in chart) are Bullish with a score of 66.3 percent.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.578.09.0
– Percent of Open Interest Shorts:18.768.310.6
– Net Position:-313,438371,577-58,139
– Gross Longs:405,2652,997,874347,408
– Gross Shorts:718,7032,626,297405,547
– Long to Short Ratio:0.6 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.866.066.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.6-14.113.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -76,651 contracts in the data reported through Tuesday. This was a weekly fall of -880 contracts from the previous week which had a total of -75,771 net contracts.

This week’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 8.9 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 77.4 percent.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.180.611.6
– Percent of Open Interest Shorts:12.869.417.1
– Net Position:-76,651151,326-74,675
– Gross Longs:96,2451,087,382155,853
– Gross Shorts:172,896936,056230,528
– Long to Short Ratio:0.6 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.979.177.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.02.130.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -86,339 contracts in the data reported through Tuesday. This was a weekly reduction of -2,547 contracts from the previous week which had a total of -83,792 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.5 percent. The commercials are Bearish with a score of 29.6 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.478.014.5
– Percent of Open Interest Shorts:13.573.611.8
– Net Position:-86,33953,14833,191
– Gross Longs:78,416951,261176,693
– Gross Shorts:164,755898,113143,502
– Long to Short Ratio:0.5 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.529.678.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.4-3.99.6

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -354,518 contracts in the data reported through Tuesday. This was a weekly lowering of -4,286 contracts from the previous week which had a total of -350,232 net contracts.

This week’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 40.6 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bullish with a score of 68.7 percent.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.382.311.1
– Percent of Open Interest Shorts:31.060.77.9
– Net Position:-354,518309,62444,894
– Gross Longs:90,4761,179,562158,799
– Gross Shorts:444,994869,938113,905
– Long to Short Ratio:0.2 to 11.4 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.663.968.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.2-9.612.4

 

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.

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