Archive for COT Updates

Commitment of Traders Data – Weekly Updates for the Futures Markets

Currency Speculators add to EuroFX bullish bets as EURUSD trades at 1.0900

By InvestMacro

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

The latest COT data is updated through Tuesday January 24th and shows a quick view of how large market participants (for-profit speculators and commercial traders) were positioned in the futures markets. All currency positions are in direct relation to the US dollar where, for example, a bet for the euro is a bet that the euro will rise versus the dollar while a bet against the euro will be a bet that the euro will decline versus the dollar.

Weekly Speculator Changes led by EuroFX & US Dollar Index

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

Leading the gains for the currency markets was the EuroFX (7,365 contracts) with the US Dollar Index (1,805 contracts), Japanese Yen (1,326 contracts), British Pound (763 contracts), Brazilian Real (592 contracts) and the Australian Dollar (449 contracts) also showing positive weeks.

The currencies seeing declines in speculator bets on the week were the New Zealand Dollar (-3,884 contracts), the Canadian Dollar (-3,453 contracts), Swiss Franc (-1,567 contracts), Bitcoin (-810 contracts) and the Mexican Peso (-101 contracts) also registering lower bets on the week.

Highlighting the COT currency’s data this week is the strength of the speculator’s positioning in the Euro. Large speculative positions rose this week by over +7,300 contracts and have risen in four out of the past six weeks. Euro weekly positions have now also been higher in sixteen out of the past twenty-one weeks, going from a total of -47,676 contracts on August 30th to this week’s total net position of +134,349 contracts.

The Euro speculator positions have now been above +100,000 contracts for the past thirteen consecutive weeks which is the best streak since early in 2021. The Euro strength index, a measure of positions compared to the past three year’s range, has now moved up to a level of 76 percent strength of last three years.

The Euro exchange rate against the US Dollar hit it’s highest level this week since April above the 1.0900 exchange level. Since October, the Euro has now had higher weekly closes in eleven out of the past fifteen weeks and looks to soon make a run at the psychological 1.1000 level.


Data Snapshot of Forex Market Traders | Columns Legend
Jan-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
USD Index41,2334815,16350-17,909472,74647
EUR777,569100134,34976-186,4502352,10162
GBP194,05133-23,9344827,65453-3,72051
JPY173,32134-21,6355617,145444,49063
CHF35,36820-9,5082911,56564-2,05751
CAD137,47622-30,712529,159931,55333
AUD129,49029-33,1715429,706413,46561
NZD32,710122,17460-4,241362,06775
MXN272,65583-48,740742,327906,41395
RUB20,93047,54331-7,15069-39324
BRL45,1283422,78570-23,6183083371
Bitcoin17,39093-1,43752912052525

 


Strength Scores led by EuroFX & Brazilian Real

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 EuroFX (76 percent) and the Brazilian Real (70 percent) lead the currency markets this week. The New Zealand Dollar (60 percent), Japanese Yen (56 percent) and the Australian Dollar (54 percent) come in as the next highest in the weekly strength scores.

On the downside, the Canadian Dollar (5 percent) and the Mexican Peso (7 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the Swiss Franc (29 percent) and the British Pound (48 percent).

Strength Statistics:
US Dollar Index (50.2 percent) vs US Dollar Index previous week (47.2 percent)
EuroFX (76.2 percent) vs EuroFX previous week (74.0 percent)
British Pound Sterling (48.5 percent) vs British Pound Sterling previous week (47.8 percent)
Japanese Yen (55.6 percent) vs Japanese Yen previous week (54.7 percent)
Swiss Franc (29.5 percent) vs Swiss Franc previous week (33.6 percent)
Canadian Dollar (5.2 percent) vs Canadian Dollar previous week (9.3 percent)
Australian Dollar (54.1 percent) vs Australian Dollar previous week (53.7 percent)
New Zealand Dollar (60.0 percent) vs New Zealand Dollar previous week (70.4 percent)
Mexican Peso (6.7 percent) vs Mexican Peso previous week (6.8 percent)
Brazilian Real (70.3 percent) vs Brazilian Real previous week (69.7 percent)
Bitcoin (51.9 percent) vs Bitcoin previous week (66.0 percent)

 

New Zealand Dollar & Brazilian Real top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the New Zealand Dollar (26 percent) and the Brazilian Real (21 percent) lead the past six weeks trends for the currencies. The Japanese Yen (19 percent), the Swiss Franc (6 percent) and the Australian Dollar (4 percent) are the next highest positive movers in the latest trends data.

The Mexican Peso (-41 percent) leads the downside trend scores currently with Bitcoin (-24 percent), the US Dollar Index (-18 percent) and the Canadian Dollar (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
US Dollar Index (-17.7 percent) vs US Dollar Index previous week (-19.2 percent)
EuroFX (3.0 percent) vs EuroFX previous week (0.6 percent)
British Pound Sterling (1.5 percent) vs British Pound Sterling previous week (3.0 percent)
Japanese Yen (19.4 percent) vs Japanese Yen previous week (26.5 percent)
Swiss Franc (6.1 percent) vs Swiss Franc previous week (11.3 percent)
Canadian Dollar (-4.1 percent) vs Canadian Dollar previous week (-6.2 percent)
Australian Dollar (4.3 percent) vs Australian Dollar previous week (6.4 percent)
New Zealand Dollar (25.9 percent) vs New Zealand Dollar previous week (33.6 percent)
Mexican Peso (-40.6 percent) vs Mexican Peso previous week (-42.1 percent)
Brazilian Real (20.7 percent) vs Brazilian Real previous week (21.4 percent)
Bitcoin (-24.4 percent) vs Bitcoin previous week (-12.1 percent)


Individual COT Forex Markets:

US Dollar Index Futures:

US Dollar Index Forex Futures COT ChartThe US Dollar Index large speculator standing this week reached a net position of 15,163 contracts in the data reported through Tuesday. This was a weekly advance of 1,805 contracts from the previous week which had a total of 13,358 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.2 percent. The commercials are Bearish with a score of 47.3 percent and the small traders (not shown in chart) are Bearish with a score of 46.6 percent.

US DOLLAR INDEX StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:80.72.413.6
– Percent of Open Interest Shorts:44.045.87.0
– Net Position:15,163-17,9092,746
– Gross Longs:33,2919815,614
– Gross Shorts:18,12818,8902,868
– Long to Short Ratio:1.8 to 10.1 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.247.346.6
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.716.80.5

 


Euro Currency Futures:

Euro Currency Futures COT ChartThe Euro Currency large speculator standing this week reached a net position of 134,349 contracts in the data reported through Tuesday. This was a weekly advance of 7,365 contracts from the previous week which had a total of 126,984 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.2 percent. The commercials are Bearish with a score of 23.1 percent and the small traders (not shown in chart) are Bullish with a score of 62.1 percent.

EURO Currency StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:30.655.212.4
– Percent of Open Interest Shorts:13.379.25.7
– Net Position:134,349-186,45052,101
– Gross Longs:237,743429,25396,793
– Gross Shorts:103,394615,70344,692
– Long to Short Ratio:2.3 to 10.7 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.223.162.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.0-8.231.0

 


British Pound Sterling Futures:

British Pound Sterling Futures COT ChartThe British Pound Sterling large speculator standing this week reached a net position of -23,934 contracts in the data reported through Tuesday. This was a weekly rise of 763 contracts from the previous week which had a total of -24,697 net contracts.

This week’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 48.5 percent. The commercials are Bullish with a score of 52.9 percent and the small traders (not shown in chart) are Bullish with a score of 50.7 percent.

BRITISH POUND StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.965.613.6
– Percent of Open Interest Shorts:30.251.315.5
– Net Position:-23,93427,654-3,720
– Gross Longs:34,756127,20726,309
– Gross Shorts:58,69099,55330,029
– Long to Short Ratio:0.6 to 11.3 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.552.950.7
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.5-2.53.6

 


Japanese Yen Futures:

Japanese Yen Forex Futures COT ChartThe Japanese Yen large speculator standing this week reached a net position of -21,635 contracts in the data reported through Tuesday. This was a weekly advance of 1,326 contracts from the previous week which had a total of -22,961 net contracts.

This 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 55.6 percent. The commercials are Bearish with a score of 44.0 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

JAPANESE YEN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.965.417.9
– Percent of Open Interest Shorts:28.455.615.3
– Net Position:-21,63517,1454,490
– Gross Longs:27,620113,43731,009
– Gross Shorts:49,25596,29226,519
– Long to Short Ratio:0.6 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.644.062.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.4-20.421.0

 


Swiss Franc Futures:

Swiss Franc Forex Futures COT ChartThe Swiss Franc large speculator standing this week reached a net position of -9,508 contracts in the data reported through Tuesday. This was a weekly reduction of -1,567 contracts from the previous week which had a total of -7,941 net contracts.

This week’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 64.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.6 percent.

SWISS FRANC StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.257.132.6
– Percent of Open Interest Shorts:37.124.438.4
– Net Position:-9,50811,565-2,057
– Gross Longs:3,62420,18511,540
– Gross Shorts:13,1328,62013,597
– Long to Short Ratio:0.3 to 12.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.564.150.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.1-7.37.1

 


Canadian Dollar Futures:

Canadian Dollar Forex Futures COT ChartThe Canadian Dollar large speculator standing this week reached a net position of -30,712 contracts in the data reported through Tuesday. This was a weekly fall of -3,453 contracts from the previous week which had a total of -27,259 net contracts.

This week’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 5.2 percent. The commercials are Bullish-Extreme with a score of 93.0 percent and the small traders (not shown in chart) are Bearish with a score of 33.2 percent.

CANADIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.956.422.5
– Percent of Open Interest Shorts:41.235.221.4
– Net Position:-30,71229,1591,553
– Gross Longs:25,97877,57130,927
– Gross Shorts:56,69048,41229,374
– Long to Short Ratio:0.5 to 11.6 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.293.033.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.13.5-1.6

 


Australian Dollar Futures:

Australian Dollar Forex Futures COT ChartThe Australian Dollar large speculator standing this week reached a net position of -33,171 contracts in the data reported through Tuesday. This was a weekly rise of 449 contracts from the previous week which had a total of -33,620 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.1 percent. The commercials are Bearish with a score of 41.0 percent and the small traders (not shown in chart) are Bullish with a score of 60.9 percent.

AUSTRALIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.857.817.7
– Percent of Open Interest Shorts:48.434.815.0
– Net Position:-33,17129,7063,465
– Gross Longs:29,46674,81822,903
– Gross Shorts:62,63745,11219,438
– Long to Short Ratio:0.5 to 11.7 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.141.060.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.3-9.820.7

 


New Zealand Dollar Futures:

New Zealand Dollar Forex Futures COT ChartThe New Zealand Dollar large speculator standing this week reached a net position of 2,174 contracts in the data reported through Tuesday. This was a weekly decrease of -3,884 contracts from the previous week which had a total of 6,058 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.0 percent. The commercials are Bearish with a score of 36.5 percent and the small traders (not shown in chart) are Bullish with a score of 75.4 percent.

NEW ZEALAND DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:31.150.915.5
– Percent of Open Interest Shorts:24.463.99.2
– Net Position:2,174-4,2412,067
– Gross Longs:10,17016,6625,077
– Gross Shorts:7,99620,9033,010
– Long to Short Ratio:1.3 to 10.8 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.036.575.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.9-24.47.6

 


Mexican Peso Futures:

Mexican Peso Futures COT ChartThe Mexican Peso large speculator standing this week reached a net position of -48,740 contracts in the data reported through Tuesday. This was a weekly decline of -101 contracts from the previous week which had a total of -48,639 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.7 percent. The commercials are Bullish-Extreme with a score of 90.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.3 percent.

MEXICAN PESO StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:54.442.23.2
– Percent of Open Interest Shorts:72.326.70.8
– Net Position:-48,74042,3276,413
– Gross Longs:148,265115,0538,628
– Gross Shorts:197,00572,7262,215
– Long to Short Ratio:0.8 to 11.6 to 13.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.790.395.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.639.25.6

 


Brazilian Real Futures:

Brazil Real Futures COT ChartThe Brazilian Real large speculator standing this week reached a net position of 22,785 contracts in the data reported through Tuesday. This was a weekly gain of 592 contracts from the previous week which had a total of 22,193 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.3 percent. The commercials are Bearish with a score of 30.3 percent and the small traders (not shown in chart) are Bullish with a score of 71.4 percent.

BRAZIL REAL StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:79.113.07.9
– Percent of Open Interest Shorts:28.665.36.1
– Net Position:22,785-23,618833
– Gross Longs:35,6915,8473,585
– Gross Shorts:12,90629,4652,752
– Long to Short Ratio:2.8 to 10.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.330.371.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.7-18.9-14.2

 


Bitcoin Futures:

Bitcoin Crypto Futures COT ChartThe Bitcoin large speculator standing this week reached a net position of -1,437 contracts in the data reported through Tuesday. This was a weekly decrease of -810 contracts from the previous week which had a total of -627 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 51.9 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 24.9 percent.

BITCOIN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:75.07.88.4
– Percent of Open Interest Shorts:83.22.65.4
– Net Position:-1,437912525
– Gross Longs:13,0361,3651,467
– Gross Shorts:14,473453942
– Long to Short Ratio:0.9 to 13.0 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.9100.024.9
– Strength Index Reading (3 Year Range):BullishBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.459.01.7

 


Article By InvestMacroReceive 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.

COT Stock Markets: Weekly Speculator Changes led by S&P500-Mini

By InvestMacro

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

The latest COT data is updated through Tuesday January 24th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by S&P500-Mini

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

Leading the gains for the stock markets was the S&P500-Mini (17,827 contracts) with the DowJones-Mini (647 contracts) also showing a positive week.

The markets with the declines in speculator bets this week were MSCI EAFE-Mini (-5,924 contracts) with the Nasdaq-Mini (-4,628 contracts), Russell-Mini (-4,486 contracts), Nikkei 225 (-887 contracts) and the VIX (-794 contracts) also registering lower bets on the week.


Data Snapshot of Stock Market Traders | Columns Legend
Jan-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
S&P500-Mini2,024,4372-208,99117202,765776,22628
Nikkei 22514,53711-4,712555,54657-83418
Nasdaq-Mini273,88756-25,2616137,07949-11,81830
DowJones-Mini77,65239-9,9662812,22773-2,26129
VIX295,82536-53,1497658,25924-5,11067
Nikkei 225 Yen32,90456,48054-3,9120-2,56876

 


Strength Scores led by VIX & Nasdaq-Mini

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 VIX (76 percent) and the Nasdaq-Mini (61 percent) lead the stock markets this week. The Nikkei 225 (55 percent) and Nikkei 225 Yen (54 percent) come in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (2 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score is the S&P500-Mini (17 percent).

Strength Statistics:
VIX (76.0 percent) vs VIX previous week (76.5 percent)
S&P500-Mini (17.5 percent) vs S&P500-Mini previous week (14.2 percent)
DowJones-Mini (28.3 percent) vs DowJones-Mini previous week (27.3 percent)
Nasdaq-Mini (60.9 percent) vs Nasdaq-Mini previous week (63.5 percent)
Russell2000-Mini (30.3 percent) vs Russell2000-Mini previous week (32.9 percent)
Nikkei USD (55.1 percent) vs Nikkei USD previous week (59.3 percent)
EAFE-Mini (2.4 percent) vs EAFE-Mini previous week (9.7 percent)

 

VIX & S&P500-Mini top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the VIX (21 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (4 percent) and the DowJones-Mini (4 percent) are the next highest positive movers in the latest trends data.

The Nasdaq-Mini (-25 percent) leads the downside trend scores currently with the MSCI EAFE-Mini (-24 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (20.6 percent) vs VIX previous week (15.3 percent)
S&P500-Mini (3.9 percent) vs S&P500-Mini previous week (-4.3 percent)
DowJones-Mini (3.9 percent) vs DowJones-Mini previous week (1.5 percent)
Nasdaq-Mini (-24.8 percent) vs Nasdaq-Mini previous week (-19.1 percent)
Russell2000-Mini (-2.1 percent) vs Russell2000-Mini previous week (6.1 percent)
Nikkei USD (-10.0 percent) vs Nikkei USD previous week (-6.1 percent)
EAFE-Mini (-23.7 percent) vs EAFE-Mini previous week (-26.2 percent)


Individual Stock Market Charts:

VIX Volatility Futures:

VIX Volatility Futures COT ChartThe VIX Volatility large speculator standing this week resulted in a net position of -53,149 contracts in the data reported through Tuesday. This was a weekly decrease of -794 contracts from the previous week which had a total of -52,355 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.0 percent. The commercials are Bearish with a score of 23.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.

VIX Volatility Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.956.06.7
– Percent of Open Interest Shorts:35.836.38.4
– Net Position:-53,14958,259-5,110
– Gross Longs:52,816165,67319,828
– Gross Shorts:105,965107,41424,938
– Long to Short Ratio:0.5 to 11.5 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.023.966.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.6-18.2-12.7

 


S&P500 Mini Futures:

SP500 Mini Futures COT ChartThe S&P500 Mini large speculator standing this week resulted in a net position of -208,991 contracts in the data reported through Tuesday. This was a weekly rise of 17,827 contracts from the previous week which had a total of -226,818 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 17.5 percent. The commercials are Bullish with a score of 77.3 percent and the small traders (not shown in chart) are Bearish with a score of 27.7 percent.

S&P500 Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.473.412.1
– Percent of Open Interest Shorts:22.763.411.8
– Net Position:-208,991202,7656,226
– Gross Longs:250,4741,485,629244,122
– Gross Shorts:459,4651,282,864237,896
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.577.327.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.9-1.3-2.3

 


Dow Jones Mini Futures:

Dow Jones Mini Futures COT ChartThe Dow Jones Mini large speculator standing this week resulted in a net position of -9,966 contracts in the data reported through Tuesday. This was a weekly boost of 647 contracts from the previous week which had a total of -10,613 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 28.3 percent. The commercials are Bullish with a score of 73.5 percent and the small traders (not shown in chart) are Bearish with a score of 29.2 percent.

Dow Jones Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:27.250.917.9
– Percent of Open Interest Shorts:40.035.120.8
– Net Position:-9,96612,227-2,261
– Gross Longs:21,10639,50013,893
– Gross Shorts:31,07227,27316,154
– Long to Short Ratio:0.7 to 11.4 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.373.529.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.9-11.628.0

 


Nasdaq Mini Futures:

Nasdaq Mini Futures COT ChartThe Nasdaq Mini large speculator standing this week resulted in a net position of -25,261 contracts in the data reported through Tuesday. This was a weekly fall of -4,628 contracts from the previous week which had a total of -20,633 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.9 percent. The commercials are Bearish with a score of 49.3 percent and the small traders (not shown in chart) are Bearish with a score of 29.7 percent.

Nasdaq Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.063.412.0
– Percent of Open Interest Shorts:31.249.816.3
– Net Position:-25,26137,079-11,818
– Gross Longs:60,241173,61132,846
– Gross Shorts:85,502136,53244,664
– Long to Short Ratio:0.7 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.949.329.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-24.830.7-10.3

 


Russell 2000 Mini Futures:

Russell 2000 Mini Futures COT ChartThe Russell 2000 Mini large speculator standing this week resulted in a net position of -67,401 contracts in the data reported through Tuesday. This was a weekly reduction of -4,486 contracts from the previous week which had a total of -62,915 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.3 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bearish with a score of 45.5 percent.

Russell 2000 Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.983.76.2
– Percent of Open Interest Shorts:24.869.24.7
– Net Position:-67,40161,2836,118
– Gross Longs:37,737354,54126,065
– Gross Shorts:105,138293,25819,947
– Long to Short Ratio:0.4 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.365.845.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.12.0-0.1

 


Nikkei Stock Average (USD) Futures:

Nikkei Stock Average (USD) Futures COT ChartThe Nikkei Stock Average (USD) large speculator standing this week resulted in a net position of -4,712 contracts in the data reported through Tuesday. This was a weekly decline of -887 contracts from the previous week which had a total of -3,825 net contracts.

This 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 Bullish with a score of 57.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.9 percent.

Nikkei Stock Average Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.263.816.9
– Percent of Open Interest Shorts:51.625.722.7
– Net Position:-4,7125,546-834
– Gross Longs:2,7869,2792,461
– Gross Shorts:7,4983,7333,295
– Long to Short Ratio:0.4 to 12.5 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.157.417.9
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-10.021.0-26.1

 


MSCI EAFE Mini Futures:

MSCI EAFE Mini Futures COT ChartThe MSCI EAFE Mini large speculator standing this week resulted in a net position of -34,202 contracts in the data reported through Tuesday. This was a weekly lowering of -5,924 contracts from the previous week which had a total of -28,278 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.4 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.

MSCI EAFE Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.589.83.0
– Percent of Open Interest Shorts:15.582.71.2
– Net Position:-34,20227,0757,127
– Gross Longs:24,429339,04711,492
– Gross Shorts:58,631311,9724,365
– Long to Short Ratio:0.4 to 11.1 to 12.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.491.878.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.726.8-21.1

 


Article By InvestMacroReceive 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.

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

By InvestMacro

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

The latest COT data is updated through Tuesday January 24th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

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

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

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

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

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


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

 


Strength Scores led by Fed Funds & Eurodollar

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Fed Funds (35 percent) and the Eurodollar (34 percent) lead the bond markets this week. The US Treasury Bonds (21 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 10-Year Bonds (0 percent), the Ultra Treasury Bonds (5 percent), the 5-Year Bond (6.7 percent) and the 2-Year Bond (16.2 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

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

 

Eurodollar & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (11 percent) and the 2-Year Bonds (7 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (7 percent) is the next highest positive movers in the latest trends data.

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

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


Individual Bond Markets:

3-Month Eurodollars Futures:

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

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

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

 


30-Day Federal Funds Futures:

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

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

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

 


2-Year Treasury Note Futures:

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

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

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

 


5-Year Treasury Note Futures:

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

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

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

 


10-Year Treasury Note Futures:

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

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

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

 


Ultra 10-Year Notes Futures:

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

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.1 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.7 percent.

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

 


US Treasury Bonds Futures:

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

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

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

 


Ultra US Treasury Bonds Futures:

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

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

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

 


Article By InvestMacroReceive 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.

Speculators Weekly: Soybean Meal, Heating Oil & Wheat lead Bullish & Bearish Positions

By InvestMacro 

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on January 24th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)


Here Are This Week’s Most Bullish Speculator Positions:

Soybean Meal


The Soybean Meal speculator position comes in as the most bullish extreme standing again this week and has been for multiple weeks. The Soybean Meal speculator level is currently at a 92.3 percent score of its 3-year range.

The six-week trend for the percent strength score totaled 7.5 this week. The overall net speculator position was a total of 149,785 net contracts this week with a change of -16,565 contract in the weekly speculator bets.


Heating Oil


The Heating Oil speculator position comes next in the extreme standings this week. The Heating Oil speculator level is now at a 79.7 percent score of its 3-year range.

The six-week trend for the percent strength score was 11.8 this week. The speculator position registered 25,360 net contracts this week with a weekly change of 6,854 contracts in speculator bets.


Euro


The Euro speculator position comes in third this week in the extreme standings. The Euro speculator level resides at a 76.2 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at 3.0 this week. The overall speculator position was 134,349 net contracts this week with a change of 7,365 contracts in the weekly speculator bets.


VIX


The VIX speculator position comes up number four in the extreme standings this week. The VIX speculator level is at a 76.0 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a change of 20.6 this week. The overall speculator position was -53,149 net contracts this week with a change of -794 contracts in the speculator bets.


Brazil Real


The Brazil Real speculator position rounds out the top five in this week’s bullish extreme standings. The Brazil Real speculator level sits at a 70.3 percent score of its 3-year range. The six-week trend for the speculator strength score was 20.7 this week.

The speculator position was 22,785 net contracts this week with a change of 592 contracts in the weekly speculator bets.


This Week’s Most Bearish Speculator Positions:

Wheat


The Wheat speculator position comes in as the most bearish extreme standing this week. The Wheat speculator level is at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -7.6 this week. The overall speculator position was -48,320 net contracts this week with a change of -6,306 contracts in the speculator bets.


Ultra 10-Year U.S. T-Note


The Ultra 10-Year U.S. T-Note speculator position comes in next for the most bearish extreme standing on the week. The Ultra 10-Year U.S. T-Note speculator level is at a 0.1 percent score of its 3-year range.

The six-week trend for the speculator strength score was -6.1 this week. The speculator position was -125,911 net contracts this week with a change of 410 contracts in the weekly speculator bets.


Lean Hogs


The Lean Hogs speculator position comes in as third most bearish extreme standing of the week. The Lean Hogs speculator level resides at a 0.4 percent score of its 3-year range.

The six-week trend for the speculator strength score was -36.8 this week. The overall speculator position was 3,166 net contracts this week with a change of -12,741 contracts in the speculator bets.


10-Year Note


The 10-Year Note speculator position comes in as this week’s fourth most bearish extreme standing. The 10-Year Note speculator level is at a 0.4 percent score of its 3-year range.

The six-week trend for the speculator strength score was -22.8 this week. The speculator position was -541,821 net contracts this week with a change of 3,236 contracts in the weekly speculator bets.


MSCI EAFE MINI


Finally, the MSCI EAFE MINI speculator position comes in as the fifth most bearish extreme standing for this week. The MSCI EAFE MINI speculator level is at a 2.4 percent score of its 3-year range.

The six-week trend for the speculator strength score was -23.7 this week. The speculator position was -34,202 net contracts this week with a change of -5,924 contracts in the weekly speculator bets.


Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.


Article By InvestMacroReceive 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.

Large Metals Speculators continue to boost Gold bullish bets to 30-week high

By InvestMacro

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

The latest COT data is updated through Tuesday January 24th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by Gold & Copper

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

Leading the gains for the metals was Gold (4,433 contracts) with Copper (3,932 contracts) also showing a positive week.

The markets with declines in speculator bets for the week were Silver (-5,784 contracts), Platinum (-3,283 contracts) and Palladium (-546 contracts) also seeing lower bets on the week.

Highlighting the COT metals data this week is the continued bullishness for the Gold speculative positions. The large speculator position in Gold futures advanced once again this week for an eighth straight week and for the tenth time out of the past twelve weeks. The Gold position has now risen from a total of +64,623 contracts on November 1st to a new 30-week high at a total of +157,673 contracts this week.

The Gold futures price closed slightly higher again this week and has now been up for six consecutive weeks. This week’s high was right below the $1,950.00 level and marked the highest Gold prices have reached since April. Gold may be due for a breather with the daily RSI Indicator showing overbought levels but with the US Dollar trending lower, Gold may have a bright outlook in 2023.


Data Snapshot of Commodity Market Traders | Columns Legend
Jan-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Gold499,92725157,67335-180,5546322,88137
Silver134,9221225,68442-39,4615813,77741
Copper213,3985220,17052-26,542466,37262
Palladium9,36320-3,29783,53491-23727
Platinum72,6134620,26139-25,819615,55842

 


Strength Scores led by Copper & Silver

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 Copper (52 percent) leads the metals markets this week. Silver (42 percent) comes in as the next highest in the weekly strength scores.

On the downside, Palladium (8 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score was Gold (35 percent).

Strength Statistics:
Gold (35.0 percent) vs Gold previous week (33.5 percent)
Silver (42.4 percent) vs Silver previous week (48.8 percent)
Copper (52.4 percent) vs Copper previous week (49.2 percent)
Platinum (38.8 percent) vs Platinum previous week (43.6 percent)
Palladium (7.5 percent) vs Palladium previous week (12.9 percent)

 

Copper & Gold top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that Copper (14 percent) leads the past six weeks trends for metals. Gold (11 percent) is the next highest positive mover in the latest trends data.

Palladium (-24 percent) leads the downside trend scores currently with Platinum (-12 percent) as the next market with lower trend scores.

Move Statistics:
Gold (10.6 percent) vs Gold previous week (12.6 percent)
Silver (3.2 percent) vs Silver previous week (13.5 percent)
Copper (14.0 percent) vs Copper previous week (11.6 percent)
Platinum (-11.8 percent) vs Platinum previous week (-3.0 percent)
Palladium (-23.9 percent) vs Palladium previous week (-13.7 percent)


Individual Markets:

Gold Comex Futures:

Gold Futures COT ChartThe Gold Comex Futures large speculator standing this week totaled a net position of 157,673 contracts in the data reported through Tuesday. This was a weekly boost of 4,433 contracts from the previous week which had a total of 153,240 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.0 percent. The commercials are Bullish with a score of 63.4 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 percent.

Gold Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:50.725.59.6
– Percent of Open Interest Shorts:19.161.65.0
– Net Position:157,673-180,55422,881
– Gross Longs:253,311127,41947,880
– Gross Shorts:95,638307,97324,999
– Long to Short Ratio:2.6 to 10.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.063.437.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.6-13.025.1

 


Silver Comex Futures:

Silver Futures COT ChartThe Silver Comex Futures large speculator standing this week totaled a net position of 25,684 contracts in the data reported through Tuesday. This was a weekly decline of -5,784 contracts from the previous week which had a total of 31,468 net contracts.

This week’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 57.9 percent and the small traders (not shown in chart) are Bearish with a score of 41.0 percent.

Silver Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:41.235.117.7
– Percent of Open Interest Shorts:22.264.37.5
– Net Position:25,684-39,46113,777
– Gross Longs:55,59547,35923,875
– Gross Shorts:29,91186,82010,098
– Long to Short Ratio:1.9 to 10.5 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.457.941.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.2-3.54.2

 


Copper Grade #1 Futures:

Copper Futures COT ChartThe Copper Grade #1 Futures large speculator standing this week totaled a net position of 20,170 contracts in the data reported through Tuesday. This was a weekly increase of 3,932 contracts from the previous week which had a total of 16,238 net contracts.

This 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 52.4 percent. The commercials are Bearish with a score of 46.4 percent and the small traders (not shown in chart) are Bullish with a score of 62.1 percent.

Copper Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:41.235.09.3
– Percent of Open Interest Shorts:31.847.46.3
– Net Position:20,170-26,5426,372
– Gross Longs:87,94174,71519,913
– Gross Shorts:67,771101,25713,541
– Long to Short Ratio:1.3 to 10.7 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.446.462.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.0-15.513.7

 


Platinum Futures:

Platinum Futures COT ChartThe Platinum Futures large speculator standing this week totaled a net position of 20,261 contracts in the data reported through Tuesday. This was a weekly fall of -3,283 contracts from the previous week which had a total of 23,544 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.8 percent. The commercials are Bullish with a score of 60.9 percent and the small traders (not shown in chart) are Bearish with a score of 42.5 percent.

Platinum Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:54.130.911.3
– Percent of Open Interest Shorts:26.266.43.6
– Net Position:20,261-25,8195,558
– Gross Longs:39,27922,4288,206
– Gross Shorts:19,01848,2472,648
– Long to Short Ratio:2.1 to 10.5 to 13.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.860.942.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.89.218.3

 


Palladium Futures:

Palladium Futures COT ChartThe Palladium Futures large speculator standing this week totaled a net position of -3,297 contracts in the data reported through Tuesday. This was a weekly decline of -546 contracts from the previous week which had a total of -2,751 net contracts.

This week’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 7.5 percent. The commercials are Bullish-Extreme with a score of 91.1 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.

Palladium Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.162.212.9
– Percent of Open Interest Shorts:54.324.515.5
– Net Position:-3,2973,534-237
– Gross Longs:1,7875,8261,212
– Gross Shorts:5,0842,2921,449
– Long to Short Ratio:0.4 to 12.5 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.591.127.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.924.3-16.0

 


Article By InvestMacroReceive 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.

Soft Commodities Speculators drop Lean Hogs bets for 4th week to 134-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 January 24th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by Cotton & Corn

The COT soft commodities markets speculator bets were lower this week as just three out of the eleven softs markets we cover had higher positioning while the other eight markets had lower speculator contracts.

Leading the gains for the softs markets was Cotton (9,880 contracts) with Corn (5,496 contracts) and Coffee (4,017 contracts) also having positive weeks.

The markets with the declines in speculator bets this week were Soybean Oil (-20,245 contracts) with Soybean Meal (-16,565 contracts), Soybeans (-13,843 contracts), Lean Hogs (-12,741 contracts), Live Cattle (-7,915 contracts), Wheat (-6,306 contracts), Cocoa (-2,757 contracts) and Sugar (-1,614 contracts) also registering lower bets on the week.

Highlighting the COT soft commodities data this week is the swift and strong decrease in the Lean Hogs speculator’s positioning. The large speculator bets for Lean Hogs fell this week for a fourth consecutive week (by a total of -41,547 contracts) and for the sixth time in the past nine weeks.

The speculator’s net position has dropped from a total of +44,713 contracts on December 27th to an overall bullish level of just +3,166 contracts this week. This recent weakness in speculator sentiment has now pushed the overall net position standing for Lean Hogs to the lowest level in the past 134 weeks, dating back to June 30th of 2020.

Lean Hogs prices have been under pressure since reaching a recent high in July above the 115.00 price level as the market has responded to ample hogs supply. Since then, the Lean Hog futures price (front-month) has fallen by over 30 percent and closed this week at the lowest level since late in 2021.


Data Snapshot of Commodity Market Traders | Columns Legend
Jan-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
WTI Crude1,660,45023249,79912-273,2468823,44738
Gold499,92725157,67335-180,5546322,88137
Silver134,9221225,68442-39,4615813,77741
Copper213,3985220,17052-26,542466,37262
Palladium9,36320-3,29783,53491-23727
Platinum72,6134620,26139-25,819615,55842
Natural Gas1,102,76027-170,97224138,4827832,49057
Brent153,68614-36,8004133,917572,88348
Heating Oil278,1592725,36080-48,5402023,18079
Soybeans667,41620155,22259-117,94552-37,2778
Corn1,274,41011277,36965-205,66243-71,7072
Coffee231,36035-22,728420,167962,56135
Sugar924,84842185,08458-229,3393744,25563
Wheat350,33127-48,320050,423100-2,10399

 


Strength Scores led by Soybean Meal & Corn

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 Soybean Meal (92 percent) and Corn (65 percent) lead the softs markets this week. Live Cattle (62 percent), Soybeans (59 percent) and Sugar (58 percent) come in as the next highest in the weekly strength scores.

On the downside, Lean Hogs (0 percent), Wheat (0 percent) and Coffee (4 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Corn (65.5 percent) vs Corn previous week (64.8 percent)
Sugar (57.6 percent) vs Sugar previous week (58.1 percent)
Coffee (4.1 percent) vs Coffee previous week (0.0 percent)
Soybeans (59.4 percent) vs Soybeans previous week (63.9 percent)
Soybean Oil (29.9 percent) vs Soybean Oil previous week (43.8 percent)
Soybean Meal (92.3 percent) vs Soybean Meal previous week (100.0 percent)
Live Cattle (62.4 percent) vs Live Cattle previous week (72.3 percent)
Lean Hogs (0.4 percent) vs Lean Hogs previous week (15.8 percent)
Cotton (20.9 percent) vs Cotton previous week (13.3 percent)
Cocoa (41.5 percent) vs Cocoa previous week (44.2 percent)
Wheat (0.0 percent) vs Wheat previous week (5.7 percent)

 

Soybeans & Live Cattle top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that Soybeans (13 percent) and Live Cattle (9 percent) lead the past six weeks trends for soft commodities. Corn (8 percent), Soybean Meal (8 percent) and Cotton (3 percent) are the next highest positive movers in the latest trends data.

Lean Hogs (-37 percent) leads the downside trend scores currently with Coffee (-14 percent), Soybean Oil (-11 percent) and Wheat (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Corn (8.3 percent) vs Corn previous week (9.4 percent)
Sugar (-2.7 percent) vs Sugar previous week (1.2 percent)
Coffee (-13.6 percent) vs Coffee previous week (-12.4 percent)
Soybeans (13.5 percent) vs Soybeans previous week (25.4 percent)
Soybean Oil (-11.3 percent) vs Soybean Oil previous week (-4.7 percent)
Soybean Meal (7.5 percent) vs Soybean Meal previous week (20.5 percent)
Live Cattle (9.3 percent) vs Live Cattle previous week (23.7 percent)
Lean Hogs (-36.8 percent) vs Lean Hogs previous week (-27.8 percent)
Cotton (2.6 percent) vs Cotton previous week (-8.2 percent)
Cocoa (1.6 percent) vs Cocoa previous week (9.6 percent)
Wheat (-7.6 percent) vs Wheat previous week (-1.9 percent)


Individual Soft Commodities Markets:

CORN Futures:

CORN Futures COT ChartThe CORN large speculator standing this week resulted in a net position of 277,369 contracts in the data reported through Tuesday. This was a weekly boost of 5,496 contracts from the previous week which had a total of 271,873 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.5 percent. The commercials are Bearish with a score of 42.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.1 percent.

CORN Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:30.543.89.0
– Percent of Open Interest Shorts:8.760.014.7
– Net Position:277,369-205,662-71,707
– Gross Longs:388,317558,456115,106
– Gross Shorts:110,948764,118186,813
– Long to Short Ratio:3.5 to 10.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.542.62.1
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.3-4.6-22.3

 


SUGAR Futures:

SUGAR Futures COT ChartThe SUGAR large speculator standing this week resulted in a net position of 185,084 contracts in the data reported through Tuesday. This was a weekly lowering of -1,614 contracts from the previous week which had a total of 186,698 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.6 percent. The commercials are Bearish with a score of 37.4 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

SUGAR Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:29.243.89.8
– Percent of Open Interest Shorts:9.268.65.1
– Net Position:185,084-229,33944,255
– Gross Longs:270,150404,94891,086
– Gross Shorts:85,066634,28746,831
– Long to Short Ratio:3.2 to 10.6 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.637.462.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.7-0.210.8

 


COFFEE Futures:

COFFEE Futures COT ChartThe COFFEE large speculator standing this week resulted in a net position of -22,728 contracts in the data reported through Tuesday. This was a weekly gain of 4,017 contracts from the previous week which had a total of -26,745 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 4.1 percent. The commercials are Bullish-Extreme with a score of 95.9 percent and the small traders (not shown in chart) are Bearish with a score of 35.1 percent.

COFFEE Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.652.94.6
– Percent of Open Interest Shorts:29.444.23.5
– Net Position:-22,72820,1672,561
– Gross Longs:45,404122,40010,598
– Gross Shorts:68,132102,2338,037
– Long to Short Ratio:0.7 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.195.935.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.611.621.5

 


SOYBEANS Futures:

SOYBEANS Futures COT ChartThe SOYBEANS large speculator standing this week resulted in a net position of 155,222 contracts in the data reported through Tuesday. This was a weekly decline of -13,843 contracts from the previous week which had a total of 169,065 net contracts.

This 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 59.4 percent. The commercials are Bullish with a score of 52.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.0 percent.

SOYBEANS Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:30.946.66.9
– Percent of Open Interest Shorts:7.764.312.5
– Net Position:155,222-117,945-37,277
– Gross Longs:206,329311,30746,219
– Gross Shorts:51,107429,25283,496
– Long to Short Ratio:4.0 to 10.7 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):59.452.58.0
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-11.7-10.6

 


SOYBEAN OIL Futures:

SOYBEAN OIL Futures COT ChartThe SOYBEAN OIL large speculator standing this week resulted in a net position of 39,250 contracts in the data reported through Tuesday. This was a weekly lowering of -20,245 contracts from the previous week which had a total of 59,495 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent. The commercials are Bullish with a score of 72.2 percent and the small traders (not shown in chart) are Bearish with a score of 33.1 percent.

SOYBEAN OIL Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.150.68.7
– Percent of Open Interest Shorts:10.361.67.4
– Net Position:39,250-44,5145,264
– Gross Longs:80,599203,13334,963
– Gross Shorts:41,349247,64729,699
– Long to Short Ratio:1.9 to 10.8 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.972.233.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.315.1-28.4

 


SOYBEAN MEAL Futures:

SOYBEAN MEAL Futures COT ChartThe SOYBEAN MEAL large speculator standing this week resulted in a net position of 149,785 contracts in the data reported through Tuesday. This was a weekly decline of -16,565 contracts from the previous week which had a total of 166,350 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 92.3 percent. The commercials are Bearish-Extreme with a score of 7.8 percent and the small traders (not shown in chart) are Bearish with a score of 32.6 percent.

SOYBEAN MEAL Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:40.132.911.7
– Percent of Open Interest Shorts:4.573.27.1
– Net Position:149,785-169,00819,223
– Gross Longs:168,470138,08849,137
– Gross Shorts:18,685307,09629,914
– Long to Short Ratio:9.0 to 10.4 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):92.37.832.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.5-7.73.2

 


LIVE CATTLE Futures:

LIVE CATTLE Futures COT ChartThe LIVE CATTLE large speculator standing this week resulted in a net position of 66,228 contracts in the data reported through Tuesday. This was a weekly decrease of -7,915 contracts from the previous week which had a total of 74,143 net contracts.

This 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 62.4 percent. The commercials are Bearish with a score of 27.2 percent and the small traders (not shown in chart) are Bullish with a score of 70.4 percent.

LIVE CATTLE Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:37.030.611.2
– Percent of Open Interest Shorts:16.150.412.2
– Net Position:66,228-62,823-3,405
– Gross Longs:117,24996,72035,368
– Gross Shorts:51,021159,54338,773
– Long to Short Ratio:2.3 to 10.6 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.427.270.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.3-10.51.4

 


LEAN HOGS Futures:

LEAN HOGS Futures COT ChartThe LEAN HOGS large speculator standing this week resulted in a net position of 3,166 contracts in the data reported through Tuesday. This was a weekly fall of -12,741 contracts from the previous week which had a total of 15,907 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.4 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.4 percent.

LEAN HOGS Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:32.336.711.3
– Percent of Open Interest Shorts:30.837.012.5
– Net Position:3,166-682-2,484
– Gross Longs:66,93875,92723,357
– Gross Shorts:63,77276,60925,841
– Long to Short Ratio:1.0 to 11.0 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.496.995.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-36.827.747.8

 


COTTON Futures:

COTTON Futures COT ChartThe COTTON large speculator standing this week resulted in a net position of 17,833 contracts in the data reported through Tuesday. This was a weekly increase of 9,880 contracts from the previous week which had a total of 7,953 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 20.9 percent. The commercials are Bullish with a score of 79.2 percent and the small traders (not shown in chart) are Bearish with a score of 22.2 percent.

COTTON Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:29.648.56.2
– Percent of Open Interest Shorts:21.058.05.3
– Net Position:17,833-19,6791,846
– Gross Longs:61,599100,98112,918
– Gross Shorts:43,766120,66011,072
– Long to Short Ratio:1.4 to 10.8 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.979.222.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.6-3.49.5

 


COCOA Futures:

COCOA Futures COT ChartThe COCOA large speculator standing this week resulted in a net position of 24,941 contracts in the data reported through Tuesday. This was a weekly decrease of -2,757 contracts from the previous week which had a total of 27,698 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.5 percent. The commercials are Bullish with a score of 58.8 percent and the small traders (not shown in chart) are Bearish with a score of 36.9 percent.

COCOA Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:31.147.34.3
– Percent of Open Interest Shorts:22.657.22.9
– Net Position:24,941-28,9784,037
– Gross Longs:90,986138,39412,460
– Gross Shorts:66,045167,3728,423
– Long to Short Ratio:1.4 to 10.8 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.558.836.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.6-2.36.9

 


WHEAT Futures:

WHEAT Futures COT ChartThe WHEAT large speculator standing this week resulted in a net position of -48,320 contracts in the data reported through Tuesday. This was a weekly fall of -6,306 contracts from the previous week which had a total of -42,014 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.5 percent.

WHEAT Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:25.340.79.7
– Percent of Open Interest Shorts:39.126.310.3
– Net Position:-48,32050,423-2,103
– Gross Longs:88,787142,42233,981
– Gross Shorts:137,10791,99936,084
– Long to Short Ratio:0.6 to 11.5 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.099.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.68.24.5

 


Article By InvestMacroReceive 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.

Currency Speculators retreat from US Dollar Index bullish bets to a 78-week low

By InvestMacro

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

The latest COT data is updated through Tuesday January 17th and shows a quick view of how large market participants (for-profit speculators and commercial traders) were positioned in the futures markets. All currency positions are in direct relation to the US dollar where, for example, a bet for the euro is a bet that the euro will rise versus the dollar while a bet against the euro will be a bet that the euro will decline versus the dollar.

Weekly Speculator Changes led by Japanese Yen & British Pound

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

Leading the gains for the currency markets was the Japanese Yen (12,416 contracts) with the British Pound (4,759 contracts), Mexican Peso (4,742 contracts), Canadian Dollar (3,696 contracts) and the Australian Dollar (70 contracts) also showing positive weeks.

The currencies seeing declines in speculator bets on the week were the EuroFX (-7,998 contracts) with the US Dollar Index (-3,182 contracts), the New Zealand Dollar (-1,292 contracts), Bitcoin (-33 contracts) and the Swiss Franc (-571 contracts) also registering lower bets on the week.

Highlighting the COT currencies data is the recent declines in the US Dollar Index bullish speculator positioning. The large speculator bets for the US Dollar Index fell this week for a second straight week and for the third time out of the past five weeks. The speculator’s bullish position has almost fallen by half over the past five weeks going from a total of +25,778 contracts on December 13th to a total of +13,358 contracts this week. These declines have now pushed the Dollar Index to the least bullish level for speculators since July 20th of 2021, a span of 78 weeks.

Since riding a strong bullish wave to a 274-week high on June 14th of 2022 (at +45,010 contracts), the US Dollar Index speculator positioning has been in a slow but steady downtrend that continued this week.

The US Dollar Index futures price has also been in a downtrend after ascending to a multi-year peak in September at the 114.74 level. That marked the best price level for the Dollar Index since 2002 and was the start of the recent slide that has brought the Dollar Index to its current level of 101.78 (for an approximate loss of 11 percent). Since September, most of the major currencies have gained against the Dollar and have made some moderate recoveries after falling to multi-decade lows.


Data Snapshot of Forex Market Traders | Columns Legend
Jan-17-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
USD Index39,3884413,35847-15,570512,21241
EUR753,91592126,98474-179,0742552,09062
GBP201,95638-24,6974831,43655-6,73945
JPY176,86236-22,9615518,084444,87763
CHF34,30016-7,9413411,35764-3,41646
CAD132,34618-27,259927,48892-22930
AUD128,21328-33,6205425,936387,68471
NZD31,579106,05870-6,6863162859
MXN274,22784-48,639742,299906,34095
RUB20,93047,54331-7,15069-39324
BRL40,8002822,19370-23,748301,55579
Bitcoin15,88583-62766337029020

 


Strength Scores led by EuroFX & New Zealand Dollar

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 EuroFX (74 percent) and the New Zealand Dollar (70 percent) lead the currency markets this week. The Brazilian Real (70 percent), Bitcoin (66 percent) and the Japanese Yen (55 percent) come in as the next highest in the weekly strength scores.

On the downside, the Mexican Peso (7 percent) and the Canadian Dollar (9 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the Swiss Franc (34 percent) and the US Dollar Index (47 percent).

Strength Statistics:
US Dollar Index (47.2 percent) vs US Dollar Index previous week (52.5 percent)
EuroFX (74.0 percent) vs EuroFX previous week (76.4 percent)
British Pound Sterling (47.8 percent) vs British Pound Sterling previous week (43.7 percent)
Japanese Yen (54.7 percent) vs Japanese Yen previous week (47.1 percent)
Swiss Franc (33.6 percent) vs Swiss Franc previous week (35.1 percent)
Canadian Dollar (9.3 percent) vs Canadian Dollar previous week (4.9 percent)
Australian Dollar (53.7 percent) vs Australian Dollar previous week (53.6 percent)
New Zealand Dollar (70.4 percent) vs New Zealand Dollar previous week (73.9 percent)
Mexican Peso (6.6 percent) vs Mexican Peso previous week (4.6 percent)
Brazilian Real (69.7 percent) vs Brazilian Real previous week (69.2 percent)
Bitcoin (66.0 percent) vs Bitcoin previous week (66.6 percent)

 

New Zealand Dollar & Japanese Yen top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the New Zealand Dollar (34 percent) and the Japanese Yen (27 percent) lead the past six weeks trends for the currencies. The Brazilian Real (21 percent), the Swiss Franc (11 percent) and the Australian Dollar (6 percent) are the next highest positive movers in the latest trends data.

The Mexican Peso (-41 percent) leads the downside trend scores currently with the US Dollar Index (-19 percent), Bitcoin (-12 percent) and the Canadian Dollar (-6 percent) following next with lower trend scores.

Strength Trend Statistics:
US Dollar Index (-19.2 percent) vs US Dollar Index previous week (-13.9 percent)
EuroFX (0.6 percent) vs EuroFX previous week (3.9 percent)
British Pound Sterling (3.0 percent) vs British Pound Sterling previous week (6.1 percent)
Japanese Yen (26.5 percent) vs Japanese Yen previous week (19.7 percent)
Swiss Franc (11.3 percent) vs Swiss Franc previous week (18.2 percent)
Canadian Dollar (-6.2 percent) vs Canadian Dollar previous week (-17.7 percent)
Australian Dollar (6.4 percent) vs Australian Dollar previous week (10.1 percent)
New Zealand Dollar (33.6 percent) vs New Zealand Dollar previous week (33.2 percent)
Mexican Peso (-41.2 percent) vs Mexican Peso previous week (-50.9 percent)
Brazilian Real (21.4 percent) vs Brazilian Real previous week (15.1 percent)
Bitcoin (-12.1 percent) vs Bitcoin previous week (-16.0 percent)


Individual COT Forex Markets:

US Dollar Index Futures:

US Dollar Index Forex Futures COT ChartThe US Dollar Index large speculator standing this week reached a net position of 13,358 contracts in the data reported through Tuesday. This was a weekly decline of -3,182 contracts from the previous week which had a total of 16,540 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 with a score of 47.2 percent. The commercials are Bullish with a score of 51.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.7 percent.

US DOLLAR INDEX StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:80.52.613.4
– Percent of Open Interest Shorts:46.642.17.8
– Net Position:13,358-15,5702,212
– Gross Longs:31,6941,0315,292
– Gross Shorts:18,33616,6013,080
– Long to Short Ratio:1.7 to 10.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.251.040.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.219.0-4.8

 


Euro Currency Futures:

Euro Currency Futures COT ChartThe Euro Currency large speculator standing this week reached a net position of 126,984 contracts in the data reported through Tuesday. This was a weekly reduction of -7,998 contracts from the previous week which had a total of 134,982 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.0 percent. The commercials are Bearish with a score of 25.2 percent and the small traders (not shown in chart) are Bullish with a score of 62.1 percent.

EURO Currency StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:30.355.212.5
– Percent of Open Interest Shorts:13.479.05.6
– Net Position:126,984-179,07452,090
– Gross Longs:228,279416,51094,476
– Gross Shorts:101,295595,58442,386
– Long to Short Ratio:2.3 to 10.7 to 12.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):74.025.262.1
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.6-5.427.1

 


British Pound Sterling Futures:

British Pound Sterling Futures COT ChartThe British Pound Sterling large speculator standing this week reached a net position of -24,697 contracts in the data reported through Tuesday. This was a weekly advance of 4,759 contracts from the previous week which had a total of -29,456 net contracts.

This week’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 47.8 percent. The commercials are Bullish with a score of 55.4 percent and the small traders (not shown in chart) are Bearish with a score of 44.8 percent.

BRITISH POUND StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.564.711.9
– Percent of Open Interest Shorts:32.849.115.2
– Net Position:-24,69731,436-6,739
– Gross Longs:41,469130,57524,051
– Gross Shorts:66,16699,13930,790
– Long to Short Ratio:0.6 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.855.444.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.0-4.35.6

 


Japanese Yen Futures:

Japanese Yen Forex Futures COT ChartThe Japanese Yen large speculator standing this week reached a net position of -22,961 contracts in the data reported through Tuesday. This was a weekly lift of 12,416 contracts from the previous week which had a total of -35,377 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.7 percent. The commercials are Bearish with a score of 44.5 percent and the small traders (not shown in chart) are Bullish with a score of 63.3 percent.

JAPANESE YEN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.765.017.4
– Percent of Open Interest Shorts:29.654.714.6
– Net Position:-22,96118,0844,877
– Gross Longs:29,458114,90730,761
– Gross Shorts:52,41996,82325,884
– Long to Short Ratio:0.6 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.744.563.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.5-27.928.6

 


Swiss Franc Futures:

Swiss Franc Forex Futures COT ChartThe Swiss Franc large speculator standing this week reached a net position of -7,941 contracts in the data reported through Tuesday. This was a weekly lowering of -571 contracts from the previous week which had a total of -7,370 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.6 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish with a score of 46.0 percent.

SWISS FRANC StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.455.233.3
– Percent of Open Interest Shorts:34.622.143.3
– Net Position:-7,94111,357-3,416
– Gross Longs:3,91918,93311,429
– Gross Shorts:11,8607,57614,845
– Long to Short Ratio:0.3 to 12.5 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.663.746.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-10.77.5

 


Canadian Dollar Futures:

Canadian Dollar Forex Futures COT ChartThe Canadian Dollar large speculator standing this week reached a net position of -27,259 contracts in the data reported through Tuesday. This was a weekly gain of 3,696 contracts from the previous week which had a total of -30,955 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.3 percent. The commercials are Bullish-Extreme with a score of 91.6 percent and the small traders (not shown in chart) are Bearish with a score of 29.6 percent.

CANADIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.857.024.3
– Percent of Open Interest Shorts:36.436.224.5
– Net Position:-27,25927,488-229
– Gross Longs:20,89775,38732,211
– Gross Shorts:48,15647,89932,440
– Long to Short Ratio:0.4 to 11.6 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):9.391.629.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.23.81.2

 


Australian Dollar Futures:

Australian Dollar Forex Futures COT ChartThe Australian Dollar large speculator standing this week reached a net position of -33,620 contracts in the data reported through Tuesday. This was a weekly increase of 70 contracts from the previous week which had a total of -33,690 net contracts.

This 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 53.7 percent. The commercials are Bearish with a score of 38.2 percent and the small traders (not shown in chart) are Bullish with a score of 71.2 percent.

AUSTRALIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.355.420.6
– Percent of Open Interest Shorts:48.535.214.6
– Net Position:-33,62025,9367,684
– Gross Longs:28,59371,05226,348
– Gross Shorts:62,21345,11618,664
– Long to Short Ratio:0.5 to 11.6 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.738.271.2
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.4-12.624.2

 


New Zealand Dollar Futures:

New Zealand Dollar Forex Futures COT ChartThe New Zealand Dollar large speculator standing this week reached a net position of 6,058 contracts in the data reported through Tuesday. This was a weekly fall of -1,292 contracts from the previous week which had a total of 7,350 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.4 percent. The commercials are Bearish with a score of 30.7 percent and the small traders (not shown in chart) are Bullish with a score of 58.9 percent.

NEW ZEALAND DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:35.850.312.4
– Percent of Open Interest Shorts:16.671.510.4
– Net Position:6,058-6,686628
– Gross Longs:11,30815,8883,903
– Gross Shorts:5,25022,5743,275
– Long to Short Ratio:2.2 to 10.7 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.430.758.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.6-30.65.0

 


Mexican Peso Futures:

Mexican Peso Futures COT ChartThe Mexican Peso large speculator standing this week reached a net position of -48,639 contracts in the data reported through Tuesday. This was a weekly lift of 4,742 contracts from the previous week which had a total of -53,381 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 6.6 percent. The commercials are Bullish-Extreme with a score of 90.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

MEXICAN PESO StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:54.941.53.2
– Percent of Open Interest Shorts:72.626.10.9
– Net Position:-48,63942,2996,340
– Gross Longs:150,543113,9248,681
– Gross Shorts:199,18271,6252,341
– Long to Short Ratio:0.8 to 11.6 to 13.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.690.494.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-41.239.95.4

 


Brazilian Real Futures:

Brazil Real Futures COT ChartThe Brazilian Real large speculator standing this week reached a net position of 22,193 contracts in the data reported through Tuesday. This was a weekly lift of 492 contracts from the previous week which had a total of 21,701 net contracts.

This 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 69.7 percent. The commercials are Bearish with a score of 30.2 percent and the small traders (not shown in chart) are Bullish with a score of 79.5 percent.

BRAZIL REAL StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:79.510.510.0
– Percent of Open Interest Shorts:25.168.76.2
– Net Position:22,193-23,7481,555
– Gross Longs:32,4294,2704,096
– Gross Shorts:10,23628,0182,541
– Long to Short Ratio:3.2 to 10.2 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.730.279.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.4-20.4-6.4

 


Bitcoin Futures:

Bitcoin Crypto Futures COT ChartThe Bitcoin large speculator standing this week reached a net position of -627 contracts in the data reported through Tuesday. This was a weekly reduction of -33 contracts from the previous week which had a total of -594 net contracts.

This 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 66.0 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.5 percent.

BITCOIN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:78.46.09.1
– Percent of Open Interest Shorts:82.43.97.2
– Net Position:-627337290
– Gross Longs:12,4569511,440
– Gross Shorts:13,0836141,150
– Long to Short Ratio:1.0 to 11.5 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.080.919.5
– Strength Index Reading (3 Year Range):BullishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.144.0-4.8

 


Article By InvestMacroReceive 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.

COT Speculator Extremes: Soybean Meal, Ultra 10-Year Treasuries lead Bullish & Bearish Positions

By InvestMacro

The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on January 17th.

This weekly Extreme Positions report highlights the Most Bullish and Most Bearish Positions for the speculator category. Extreme positioning in these markets can foreshadow strong moves in the underlying market.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, a common method of measuring COT data. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data table or cot leaders table)


Here Are This Week’s Most Bullish Speculator Positions:

Soybean Meal


The Soybean Meal speculator position comes in as the most bullish extreme standing this week. The Soybean Meal speculator level is currently at a 100.0 percent score of its 3-year range.

The six-week trend for the percent strength score totaled 20.5 this week. The overall net speculator position was a total of 166,350 net contracts this week with a rise of 8,640 contract in the weekly speculator bets.


VIX


The VIX speculator position comes next in the extreme standings this week. The VIX speculator level is now at a 76.5 percent score of its 3-year range.

The six-week trend for the percent strength score was 15.3 this week. The speculator position registered -52,355 net contracts this week with a weekly gain of 20,452 contracts in speculator bets.


Euro


The Euro speculator position comes in third this week in the extreme standings. The Euro speculator level resides at a 74.0 percent score of its 3-year range.

The six-week trend for the speculator strength score came in at 0.6 this week. The overall speculator position was 126,984 net contracts this week with a decline of -7,998 contracts in the weekly speculator bets.


Live Cattle


The Live Cattle speculator position comes up number four in the extreme standings this week. The Live Cattle speculator level is at a 72.3 percent score of its 3-year range.

The six-week trend for the speculator strength score totaled a change of 23.7 this week. The overall speculator position was 74,143 net contracts this week with a dip of -5,851 contracts in the speculator bets.


New Zealand Dollar


The New Zealand Dollar speculator position rounds out the top five in this week’s bullish extreme standings. The New Zealand Dollar speculator level sits at a 70.4 percent score of its 3-year range. The six-week trend for the speculator strength score was 33.6 this week.

The speculator position was 6,058 net contracts this week with a decrease of -1,292 contracts in the weekly speculator bets.


This Week’s Most Bearish Speculator Positions:

Ultra 10-Year U.S. T-Note


The Ultra 10-Year U.S. T-Note speculator position comes in as the most bearish extreme standing this week. The Ultra 10-Year U.S. T-Note speculator level is at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -4.8 this week. The overall speculator position was -126,321 net contracts this week with a decline of -28,051 contracts in the speculator bets.


Wheat


The Wheat speculator position comes in next for the most bearish extreme standing on the week. The Wheat speculator level is at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -2.0 this week. The speculator position was -42,014 net contracts this week with a dip of -2,298 contracts in the weekly speculator bets.


10-Year Note


The 10-Year Note speculator position comes in as third most bearish extreme standing of the week. The 10-Year Note speculator level resides at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -24.2 this week. The overall speculator position was -545,057 net contracts this week with a shortfall of -133,699 contracts in the speculator bets.


Coffee


The Coffee speculator position comes in as this week’s fourth most bearish extreme standing. The Coffee speculator level is at a 0.0 percent score of its 3-year range.

The six-week trend for the speculator strength score was -12.4 this week. The speculator position was -26,745 net contracts this week with a decline of -12,006 contracts in the weekly speculator bets.


5-Year Bond


Finally, the 5-Year Bond speculator position comes in as the fifth most bearish extreme standing for this week. The 5-Year Bond speculator level is at a 1.4 percent score of its 3-year range.

The six-week trend for the speculator strength score was -2.8 this week. The speculator position was -680,655 net contracts this week with a drop of -57,504 contracts in the weekly speculator bets.


Speculators or Non-Commercials Notes:

Speculators, classified as non-commercial traders by the CFTC, are made up of large commodity funds, hedge funds and other significant for-profit participants. The Specs are generally regarded as trend-followers in their behavior towards price action – net speculator bets and prices tend to go in the same directions. These traders often look to buy when prices are rising and sell when prices are falling. To illustrate this point, many times speculator contracts can be found at their most extremes (bullish or bearish) when prices are also close to their highest or lowest levels.

These extreme levels can be dangerous for the large speculators as the trade is most crowded, there is less trading ammunition still sitting on the sidelines to push the trend further and prices have moved a significant distance. When the trend becomes exhausted, some speculators take profits while others look to also exit positions when prices fail to continue in the same direction. This process usually plays out over many months to years and can ultimately create a reverse effect where prices start to fall and speculators start a process of selling when prices are falling.


Article By InvestMacroReceive 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.

Metals Speculators boosted their Gold Bullish Bets higher for 7th 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 latest COT data is updated through Tuesday January 17th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by Copper & Gold

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

Leading the gains for the metals was Copper (6,011 contracts) with Gold (2,705 contracts) and Silver (2,455 contracts) also showing positive weeks.

The markets with declines in speculator bets for the week were Platinum (-7,158 contracts) and Palladium (-261 contracts) also registering lower bets on the week.

Highlighting the COT metals data this week is the recent streak of gains for the Gold speculative positions. The large speculator position in Gold futures rose this week for a seventh consecutive week and for the ninth time out of the past eleven weeks. The Gold position has now gone from a multi-year low total of +64,623 contracts on November 1st to a total of +153,240 contracts this week which marks the highest weekly total of the past 29 weeks, dating back to June 28th.

The Gold futures price has been on the move higher since seeing a recent bottom in October around the $1,620.00 level. This week, the Gold futures closed at $1,928.20 per ounce which is the highest close since April and Gold is showing an approximate gain by 18 percent since the October bottom.


Data Snapshot of Commodity Market Traders | Columns Legend
Jan-17-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Gold491,81822153,24034-175,9136522,67337
Silver131,862931,46849-45,3675213,89940
Copper201,4554216,23849-22,695496,45763
Palladium8,79916-2,751122,90286-15133
Platinum71,1444123,54441-28,913595,36940

 


Strength Scores led by Silver & Copper

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 Silver (49 percent) and Copper (49 percent) lead the metals markets this week.

On the downside, Palladium (12 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score was Gold (34 percent).

Strength Statistics:
Gold (33.5 percent) vs Gold previous week (32.6 percent)
Silver (48.8 percent) vs Silver previous week (46.1 percent)
Copper (49.2 percent) vs Copper previous week (44.5 percent)
Platinum (40.7 percent) vs Platinum previous week (50.4 percent)
Palladium (11.9 percent) vs Palladium previous week (14.3 percent)

 

Silver & Gold top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that Silver (14 percent) leads the past six weeks trends for metals. Gold (13 percent) is the next highest positive mover in the latest trends data.

Palladium (-13 percent) leads the downside trend scores currently with Platinum (-3 percent) as the next market with lower trend scores.

Move Statistics:
Gold (12.6 percent) vs Gold previous week (13.4 percent)
Silver (13.5 percent) vs Silver previous week (12.7 percent)
Copper (11.6 percent) vs Copper previous week (6.6 percent)
Platinum (-2.8 percent) vs Platinum previous week (8.7 percent)
Palladium (-12.6 percent) vs Palladium previous week (-7.8 percent)


Individual Markets:

Gold Comex Futures:

Gold Futures COT ChartThe Gold Comex Futures large speculator standing this week reached a net position of 153,240 contracts in the data reported through Tuesday. This was a weekly lift of 2,705 contracts from the previous week which had a total of 150,535 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.5 percent. The commercials are Bullish with a score of 64.8 percent and the small traders (not shown in chart) are Bearish with a score of 36.8 percent.

Gold Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:50.225.09.8
– Percent of Open Interest Shorts:19.060.75.2
– Net Position:153,240-175,91322,673
– Gross Longs:246,874122,81448,128
– Gross Shorts:93,634298,72725,455
– Long to Short Ratio:2.6 to 10.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.564.836.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.6-14.219.4

 


Silver Comex Futures:

Silver Futures COT ChartThe Silver Comex Futures large speculator standing this week reached a net position of 31,468 contracts in the data reported through Tuesday. This was a weekly lift of 2,455 contracts from the previous week which had a total of 29,013 net contracts.

This week’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 48.8 percent. The commercials are Bullish with a score of 52.4 percent and the small traders (not shown in chart) are Bearish with a score of 39.7 percent.

Silver Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:43.632.418.2
– Percent of Open Interest Shorts:19.766.87.6
– Net Position:31,468-45,36713,899
– Gross Longs:57,43942,66823,983
– Gross Shorts:25,97188,03510,084
– Long to Short Ratio:2.2 to 10.5 to 12.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.852.439.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-12.44.3

 


Copper Grade #1 Futures:

Copper Futures COT ChartThe Copper Grade #1 Futures large speculator standing this week reached a net position of 16,238 contracts in the data reported through Tuesday. This was a weekly rise of 6,011 contracts from the previous week which had a total of 10,227 net contracts.

This week’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 49.2 percent. The commercials are Bearish with a score of 49.4 percent and the small traders (not shown in chart) are Bullish with a score of 62.6 percent.

Copper Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:42.134.79.9
– Percent of Open Interest Shorts:34.146.06.7
– Net Position:16,238-22,6956,457
– Gross Longs:84,91069,99719,961
– Gross Shorts:68,67292,69213,504
– Long to Short Ratio:1.2 to 10.8 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.249.462.6
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.6-14.221.9

 


Platinum Futures:

Platinum Futures COT ChartThe Platinum Futures large speculator standing this week reached a net position of 23,544 contracts in the data reported through Tuesday. This was a weekly reduction of -7,158 contracts from the previous week which had a total of 30,702 net contracts.

This week’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 40.7 percent. The commercials are Bullish with a score of 59.1 percent and the small traders (not shown in chart) are Bearish with a score of 40.0 percent.

Platinum Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:56.827.911.5
– Percent of Open Interest Shorts:23.768.53.9
– Net Position:23,544-28,9135,369
– Gross Longs:40,38719,8318,162
– Gross Shorts:16,84348,7442,793
– Long to Short Ratio:2.4 to 10.4 to 12.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.759.140.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.81.611.4

 


Palladium Futures:

Palladium Futures COT ChartThe Palladium Futures large speculator standing this week reached a net position of -2,751 contracts in the data reported through Tuesday. This was a weekly reduction of -261 contracts from the previous week which had a total of -2,490 net contracts.

This week’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 11.9 percent. The commercials are Bullish-Extreme with a score of 86.3 percent and the small traders (not shown in chart) are Bearish with a score of 32.6 percent.

Palladium Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:24.257.114.6
– Percent of Open Interest Shorts:55.424.116.3
– Net Position:-2,7512,902-151
– Gross Longs:2,1255,0251,285
– Gross Shorts:4,8762,1231,436
– Long to Short Ratio:0.4 to 12.4 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.986.332.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.614.3-17.8

 


Article By InvestMacroReceive 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 Speculators increased 10-Year Treasury Bearish Bets to 222-week high

By InvestMacro

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

The latest COT data is updated through Tuesday January 17th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by Fed Funds & Eurodollar

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

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

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

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

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


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

 


Strength Scores led by Eurodollar & Fed Funds

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Eurodollar (34 percent) and the Fed Funds (29 percent) lead the bond markets this week. The Ultra Treasury Bonds (23 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 10-Year Bonds (0 percent),  the 5-Year Bonds (1 percent) and 2-Year Bond (18.3 percent) come in at the lowest strength level currently and are all in Extreme-Bearish territory (below 20 percent).

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

 

Eurodollar & 2-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Eurodollar (11 percent) and the 2-Year Bonds (11 percent) lead the past six weeks trends for bonds. The Fed Funds (-1 percent) is the next highest positive movers in the latest trends data.

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

Strength Trend Statistics:
Fed Funds (-0.9 percent) vs Fed Funds previous week (-9.8 percent)
2-Year Bond (10.7 percent) vs 2-Year Bond previous week (10.7 percent)
5-Year Bond (-2.8 percent) vs 5-Year Bond previous week (-11.9 percent)
10-Year Bond (-24.2 percent) vs 10-Year Bond previous week (-15.8 percent)
Ultra 10-Year Bond (-4.8 percent) vs Ultra 10-Year Bond previous week (-4.8 percent)
US Treasury Bond (-25.1 percent) vs US Treasury Bond previous week (-17.4 percent)
Ultra US Treasury Bond (-6.0 percent) vs Ultra US Treasury Bond previous week (7.9 percent)
Eurodollar (10.9 percent) vs Eurodollar previous week (12.0 percent)


Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week resulted in a net position of -1,053,852 contracts in the data reported through Tuesday. This was a weekly gain of 1,683 contracts from the previous week which had a total of -1,055,535 net contracts.

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

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

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -86,235 contracts in the data reported through Tuesday. This was a weekly increase of 26,095 contracts from the previous week which had a total of -112,330 net contracts.

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

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

 


2-Year Treasury Note Futures:

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

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

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

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -680,655 contracts in the data reported through Tuesday. This was a weekly lowering of -57,504 contracts from the previous week which had a total of -623,151 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.4 percent. The commercials are Bullish-Extreme with a score of 90.4 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.

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

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -545,057 contracts in the data reported through Tuesday. This was a weekly decrease of -133,699 contracts from the previous week which had a total of -411,358 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 95.0 percent and the small traders (not shown in chart) are Bullish with a score of 63.3 percent.

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

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -126,321 contracts in the data reported through Tuesday. This was a weekly reduction of -28,051 contracts from the previous week which had a total of -98,270 net contracts.

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

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

 


US Treasury Bonds Futures:

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

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

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

 


Ultra US Treasury Bonds Futures:

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

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

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

 


Article By InvestMacroReceive 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.