Archive for Bonds

26 Jul

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

By InvestMacro 

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

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

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

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

Leading the gains for the bond markets was the SOFR 3-Months (26,996 contracts) with the 5-Year Bonds (20,954 contracts), the Fed Funds (15,277 contracts), the Ultra 10-Year Bonds (8,004 contracts), the Ultra Treasury Bonds (3,057 contracts) and the 2-Year Bonds (2,880 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 10-Year Bonds (-48,031 contracts), the US Treasury Bonds (-7,734 contracts) and with the SOFR 1-Month (-339 contracts) also registering lower bets on the week.

Major Bonds Price Performances were mostly lower on the week

The major Bond markets out of the US saw lower prices on the week with the Fed Funds being the only market that did not show a decline because it was virtually unchanged with a 0.00% return.

On the downside, the 1-month SOFR dipped by -0.12% and was followed by the 3-month SOFR, which declined by -0.16%. Next, the 2-year Bond was lower by -0.26% and was followed by the 5-year Bond, which slid by -0.56%.

The 10-Year Note declined on the week by -0.82%, and the long US Treasury Bond was the biggest decliner on the week with a -1.38% decrease.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (84 percent) and the Ultra 10-Year Bonds (71 percent) lead the bond markets this week. The 2-Year Bonds (70 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Fed Funds (2 percent), the SOFR 3-Months (7 percent) and the US Treasury Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the 10-Year Bonds (32 percent) and the SOFR 1-Month (40 percent).

Strength Statistics:
Fed Funds (2.1 percent) vs Fed Funds previous week (0.0 percent)
2-Year Bond (69.9 percent) vs 2-Year Bond previous week (69.6 percent)
5-Year Bond (84.0 percent) vs 5-Year Bond previous week (82.7 percent)
10-Year Bond (31.6 percent) vs 10-Year Bond previous week (37.3 percent)
Ultra 10-Year Bond (71.1 percent) vs Ultra 10-Year Bond previous week (69.0 percent)
US Treasury Bond (18.4 percent) vs US Treasury Bond previous week (21.1 percent)
Ultra US Treasury Bond (50.6 percent) vs Ultra US Treasury Bond previous week (49.5 percent)
SOFR 1-Month (39.5 percent) vs SOFR 1-Month previous week (39.6 percent)
SOFR 3-Months (6.6 percent) vs SOFR 3-Months previous week (5.9 percent)

2-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bonds (8 percent) and the 5-Year Bonds (3 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (-1 percent) and the US Treasury Bonds (-8 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-30 percent) leads the downside trend scores currently with the US Treasury Bonds (-8 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-30.0 percent) vs Fed Funds previous week (-38.3 percent)
2-Year Bond (7.8 percent) vs 2-Year Bond previous week (22.9 percent)
5-Year Bond (2.8 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (-1.9 percent) vs 10-Year Bond previous week (-0.3 percent)
Ultra 10-Year Bond (-5.4 percent) vs Ultra 10-Year Bond previous week (9.8 percent)
US Treasury Bond (-8.2 percent) vs US Treasury Bond previous week (-6.7 percent)
Ultra US Treasury Bond (-1.0 percent) vs Ultra US Treasury Bond previous week (-13.8 percent)
SOFR 1-Month (-1.9 percent) vs SOFR 1-Month previous week (-5.6 percent)
SOFR 3-Months (-3.6 percent) vs SOFR 3-Months previous week (-14.8 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week reached a net position of -392,302 contracts in the data reported through Tuesday.
  • Weekly Speculator position boost of 15,277 contracts from the previous week which had a total of -407,579 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 2.1 percent.
  • The Commercials are Bullish-Extreme with a score of 97.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 78.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.867.12.3
– Percent of Open Interest Shorts:29.151.51.6
– Net Position:-392,302375,56216,740
– Gross Longs:308,6911,615,25256,321
– Gross Shorts:700,9931,239,69039,581
– Long to Short Ratio:0.4 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.197.678.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.028.821.4

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -2,665,085 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 26,996 contracts from the previous week which had a total of -2,692,081 net contracts.
  • This week’s current strength score (range over the past 3 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 93.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 60.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.066.50.5
– Percent of Open Interest Shorts:32.346.10.5
– Net Position:-2,665,0852,662,6982,387
– Gross Longs:1,563,8268,696,83162,396
– Gross Shorts:4,228,9116,034,13360,009
– Long to Short Ratio:0.4 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.693.360.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.63.51.8

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -218,920 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -339 contracts from the previous week which had a total of -218,581 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.5 percent.
  • The Commercials are Bullish with a score of 60.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 64.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.764.73.6
– Percent of Open Interest Shorts:27.950.33.7
– Net Position:-218,920220,317-1,397
– Gross Longs:210,161993,05655,793
– Gross Shorts:429,081772,73957,190
– Long to Short Ratio:0.5 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.560.664.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.92.1-3.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week reached a net position of -1,154,597 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 2,880 contracts from the previous week which had a total of -1,157,477 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.9 percent.
  • The Commercials are Bearish with a score of 34.4 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.377.75.1
– Percent of Open Interest Shorts:37.952.63.6
– Net Position:-1,154,5971,087,80666,791
– Gross Longs:489,3673,368,264221,608
– Gross Shorts:1,643,9642,280,458154,817
– Long to Short Ratio:0.3 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.934.416.6
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.8-7.91.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week reached a net position of -1,273,329 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 20,954 contracts from the previous week which had a total of -1,294,283 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 84.0 percent.
  • The Commercials are Bearish with a score of 23.8 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 13.1 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.683.06.4
– Percent of Open Interest Shorts:29.362.46.3
– Net Position:-1,273,3291,268,4944,835
– Gross Longs:528,6675,105,602392,534
– Gross Shorts:1,801,9963,837,108387,699
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):84.023.813.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.8-3.00.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week reached a net position of -879,706 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -48,031 contracts from the previous week which had a total of -831,675 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.6 percent.
  • The Commercials are Bullish-Extreme with a score of 85.9 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 4.4 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.680.77.3
– Percent of Open Interest Shorts:26.363.87.5
– Net Position:-879,706890,118-10,412
– Gross Longs:508,3184,254,929382,845
– Gross Shorts:1,388,0243,364,811393,257
– Long to Short Ratio:0.4 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):31.685.94.4
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.93.6-3.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week reached a net position of -137,632 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 8,004 contracts from the previous week which had a total of -145,636 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 71.1 percent.
  • The Commercials are Bearish with a score of 33.4 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 41.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.681.78.5
– Percent of Open Interest Shorts:14.272.612.0
– Net Position:-137,632220,725-83,093
– Gross Longs:206,9581,975,623206,499
– Gross Shorts:344,5901,754,898289,592
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.133.441.9
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.4-2.222.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week reached a net position of -186,790 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -7,734 contracts from the previous week which had a total of -179,056 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 18.4 percent.
  • The Commercials are Bullish with a score of 69.8 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 46.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.174.613.1
– Percent of Open Interest Shorts:21.369.68.0
– Net Position:-186,79092,42794,363
– Gross Longs:204,8481,374,093241,642
– Gross Shorts:391,6381,281,666147,279
– Long to Short Ratio:0.5 to 11.1 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.469.846.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.26.3-0.8

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week reached a net position of -321,350 contracts in the data reported through Tuesday.
  • Weekly Speculator position boost of 3,057 contracts from the previous week which had a total of -324,407 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.6 percent.
  • The Commercials are Bullish with a score of 54.5 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 43.8 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.285.48.5
– Percent of Open Interest Shorts:18.473.47.3
– Net Position:-321,350293,47027,880
– Gross Longs:128,4212,088,806207,090
– Gross Shorts:449,7711,795,336179,210
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.654.543.8
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-1.0-10.230.2

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
18 Jul

COT Bonds Charts: Weekly Speculator Bets led by 2-Year, SOFR 3M & 5-Year Bonds

By InvestMacro 

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

The latest COT data is updated through Tuesday July 14th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year, SOFR 3M & 5-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (103,531 contracts) with the SOFR 3-Months (83,873 contracts), the 5-Year Bonds (64,833 contracts) and the Ultra 10-Year Bonds (2,508 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-53,326 contracts), the US Treasury Bonds (-35,465 contracts), the 10-Year Bonds (-17,413 contracts), the Ultra Treasury Bonds (-16,588 contracts) and the SOFR 1-Month (-14,134 contracts) also registering lower bets on the week.

US Treasury Bond leads Bond Market Price Performances this week

In the major US Bond markets this week, the long US Treasury Bond led the increases with a 0.34% rise over the past five days. This was followed by the 10-Year Note, which advanced by 0.30%. The Fed Funds was higher by 0.28%, while the Five-Year Bond advanced by 0.21%, and the Two-Year Bond was up by 0.11%.

The One-Month SOFR was unchanged on the week, while the Three-Month SOFR showed a decline by -0.17% for this week.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (83 percent), the 2-Year Bonds (70 percent) and the Ultra 10-Year Bonds (69 percent) lead the bond markets this week.

On the downside, the Fed Funds (0.0 percent) and the SOFR 3-Months (6 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores was the US Treasury Bonds (21 percent) .

Strength Statistics:
Fed Funds (0.0 percent) vs Fed Funds previous week (7.4 percent)
2-Year Bond (69.6 percent) vs 2-Year Bond previous week (57.3 percent)
5-Year Bond (82.7 percent) vs 5-Year Bond previous week (78.9 percent)
10-Year Bond (37.3 percent) vs 10-Year Bond previous week (39.4 percent)
Ultra 10-Year Bond (69.0 percent) vs Ultra 10-Year Bond previous week (68.4 percent)
US Treasury Bond (21.1 percent) vs US Treasury Bond previous week (33.4 percent)
Ultra US Treasury Bond (49.5 percent) vs Ultra US Treasury Bond previous week (55.7 percent)
SOFR 1-Month (39.6 percent) vs SOFR 1-Month previous week (42.1 percent)
SOFR 3-Months (5.9 percent) vs SOFR 3-Months previous week (3.6 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bonds (23 percent) and the Ultra 10-Year Bonds (10 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (4 percent) are the next highest positive movers in the latest trends data.

The Fed Funds (-38 percent) leads the downside trend scores currently with the SOFR 3-Months (-15 percent) and Ultra Treasury Bonds (-14 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-38.3 percent) vs Fed Funds previous week (-34.4 percent)
2-Year Bond (22.9 percent) vs 2-Year Bond previous week (-0.7 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (-2.1 percent)
10-Year Bond (-0.3 percent) vs 10-Year Bond previous week (-3.1 percent)
Ultra 10-Year Bond (9.8 percent) vs Ultra 10-Year Bond previous week (-8.6 percent)
US Treasury Bond (-6.7 percent) vs US Treasury Bond previous week (19.4 percent)
Ultra US Treasury Bond (-13.8 percent) vs Ultra US Treasury Bond previous week (-18.0 percent)
SOFR 1-Month (-5.6 percent) vs SOFR 1-Month previous week (-0.8 percent)
SOFR 3-Months (-14.8 percent) vs SOFR 3-Months previous week (-28.5 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week totaled a net position of -407,579 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -53,326 contracts from the previous week which had a total of -354,253 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bullish with a score of 75.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.667.31.9
– Percent of Open Interest Shorts:28.550.11.3
– Net Position:-407,579392,20515,374
– Gross Longs:240,6081,532,03644,061
– Gross Shorts:648,1871,139,83128,687
– Long to Short Ratio:0.4 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.075.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-38.338.28.9

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -2,692,081 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 83,873 contracts from the previous week which had a total of -2,775,954 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 5.9 percent.
  • The Commercials are Bullish-Extreme with a score of 94.1 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 59.6 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.665.80.4
– Percent of Open Interest Shorts:32.145.40.4
– Net Position:-2,692,0812,690,2711,810
– Gross Longs:1,532,4278,673,43754,490
– Gross Shorts:4,224,5085,983,16652,680
– Long to Short Ratio:0.4 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.994.159.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.813.159.6

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of -218,581 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -14,134 contracts from the previous week which had a total of -204,447 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.6 percent.
  • The Commercials are Bullish with a score of 60.5 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 65.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.265.20.1
– Percent of Open Interest Shorts:29.050.30.1
– Net Position:-218,581219,474-893
– Gross Longs:208,338959,285988
– Gross Shorts:426,919739,8111,881
– Long to Short Ratio:0.5 to 11.3 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.660.565.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.65.8-2.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week totaled a net position of -1,157,477 contracts in the data reported through Tuesday.
  • Weekly Speculator position boost of 103,531 contracts from the previous week which had a total of -1,261,008 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.6 percent.
  • The Commercials are Bearish with a score of 34.0 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 19.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.175.75.1
– Percent of Open Interest Shorts:38.151.43.4
– Net Position:-1,157,4771,084,26073,217
– Gross Longs:541,9503,381,563225,820
– Gross Shorts:1,699,4272,297,303152,603
– Long to Short Ratio:0.3 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.634.019.9
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.9-26.519.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week totaled a net position of -1,294,283 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 64,833 contracts from the previous week which had a total of -1,359,116 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 82.7 percent.
  • The Commercials are Bearish with a score of 24.4 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.382.96.5
– Percent of Open Interest Shorts:29.262.36.2
– Net Position:-1,294,2831,278,83415,449
– Gross Longs:510,3965,126,861401,135
– Gross Shorts:1,804,6793,848,027385,686
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):82.724.416.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.5-4.5-0.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week totaled a net position of -831,675 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -17,413 contracts from the previous week which had a total of -814,262 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.3 percent.
  • The Commercials are Bullish with a score of 73.7 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 16.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.180.47.4
– Percent of Open Interest Shorts:25.965.26.8
– Net Position:-831,675803,58928,086
– Gross Longs:534,5554,248,102389,823
– Gross Shorts:1,366,2303,444,513361,737
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.373.716.6
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.3-2.66.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week totaled a net position of -145,636 contracts in the data reported through Tuesday.
  • Weekly Speculator position rise of 2,508 contracts from the previous week which had a total of -148,144 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 69.0 percent.
  • The Commercials are Bearish with a score of 35.0 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 43.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.481.49.1
– Percent of Open Interest Shorts:14.472.212.4
– Net Position:-145,636226,642-81,006
– Gross Longs:206,4971,995,015223,193
– Gross Shorts:352,1331,768,373304,199
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):69.035.043.5
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.8-9.7-0.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week totaled a net position of -179,056 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -35,465 contracts from the previous week which had a total of -143,591 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.1 percent.
  • The Commercials are Bullish with a score of 65.7 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 52.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.273.913.2
– Percent of Open Interest Shorts:20.969.87.6
– Net Position:-179,05676,451102,605
– Gross Longs:207,0481,362,467242,779
– Gross Shorts:386,1041,286,016140,174
– Long to Short Ratio:0.5 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.165.752.2
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.71.010.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week totaled a net position of -324,407 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -16,588 contracts from the previous week which had a total of -307,819 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 49.5 percent.
  • The Commercials are Bullish with a score of 50.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 57.4 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.684.88.7
– Percent of Open Interest Shorts:18.873.37.0
– Net Position:-324,407283,27041,137
– Gross Longs:138,0472,083,553212,642
– Gross Shorts:462,4541,800,283171,505
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.550.657.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.8-4.950.8

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
12 Jul

COT Bonds Charts: Speculator Bets led by SOFR 3-Months & 2-Year Bonds

By InvestMacro 

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

The latest COT data is updated through Tuesday July 7th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by SOFR 3-Months & 2-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall lower this week as just two out of the nine bond markets we cover had higher positioning while the other seven markets had lower speculator contracts.

Leading the gains for the bond markets was the SOFR 3-Months (100,586 contracts) with the 2-Year Bonds (26,573 contracts) also seeing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 1-Month (-52,543 contracts), the US Treasury Bonds (-52,811 contracts), the 5-Year Bonds (-38,606 contracts), the Ultra Treasury Bonds (-21,150 contracts), the Fed Funds (-18,236 contracts), the Ultra 10-Year Bonds (-11,115 contracts) and with the 10-Year Bonds (-5,371 contracts) also registering lower bets on the week.

US Bond Markets were mostly lower in price performances

In the US Bond Markets, the 1-month SOFR and the 3-month SOFR markets were the only risers on the week with each seeing very small upticks of 0.02%, respectively.

On the downside, the 2-year bond dipped by just -0.14% on the week, while the Fed Funds was lower by -0.28%. The 5-year bond fell by -0.35%, and the 10-year note was lower by -0.51%.

Leading the decliners on the week was the long US Treasury Bond with a -1.08% decline.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (79 percent) and the Ultra 10-Year Bonds (68 percent) lead the bond markets this week. The 2-Year Bonds (57 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (4 percent) and the Fed Funds (6 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the US Treasury Bonds (33 percent), the 10-Year Bonds (39 percent) and the SOFR 1-Month (42 percent).

Strength Statistics:
Fed Funds (5.6 percent) vs Fed Funds previous week (8.2 percent)
2-Year Bond (57.3 percent) vs 2-Year Bond previous week (54.1 percent)
5-Year Bond (78.9 percent) vs 5-Year Bond previous week (81.2 percent)
10-Year Bond (39.4 percent) vs 10-Year Bond previous week (40.1 percent)
Ultra 10-Year Bond (68.4 percent) vs Ultra 10-Year Bond previous week (71.3 percent)
US Treasury Bond (33.4 percent) vs US Treasury Bond previous week (51.8 percent)
Ultra US Treasury Bond (55.7 percent) vs Ultra US Treasury Bond previous week (63.6 percent)
SOFR 1-Month (42.1 percent) vs SOFR 1-Month previous week (51.2 percent)
SOFR 3-Months (3.6 percent) vs SOFR 3-Months previous week (0.9 percent)

US Treasury Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (19 percent) lead the past six weeks trends for bonds and are the only positive mover for the week.

The Fed Funds (-35.1 percent) leads the downside trend scores currently with the SOFR 3-Months (-29 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-35.1 percent) vs Fed Funds previous week (-33.9 percent)
2-Year Bond (-0.7 percent) vs 2-Year Bond previous week (32.5 percent)
5-Year Bond (-2.1 percent) vs 5-Year Bond previous week (1.8 percent)
10-Year Bond (-3.1 percent) vs 10-Year Bond previous week (4.7 percent)
Ultra 10-Year Bond (-8.6 percent) vs Ultra 10-Year Bond previous week (-5.8 percent)
US Treasury Bond (19.4 percent) vs US Treasury Bond previous week (30.6 percent)
Ultra US Treasury Bond (-18.0 percent) vs Ultra US Treasury Bond previous week (-12.1 percent)
SOFR 1-Month (-0.8 percent) vs SOFR 1-Month previous week (-2.2 percent)
SOFR 3-Months (-28.5 percent) vs SOFR 3-Months previous week (-38.1 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week came in at a net position of -354,253 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -18,236 contracts from the previous week which had a total of -336,017 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 5.6 percent.
  • The Commercials are Bullish-Extreme with a score of 92.0 percent.
  • The Small Traders (not shown in chart) are Bullish-Extreme with a score of 89.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.563.83.8
– Percent of Open Interest Shorts:26.749.62.8
– Net Position:-354,253331,30422,949
– Gross Longs:267,6441,483,84888,287
– Gross Shorts:621,8971,152,54465,338
– Long to Short Ratio:0.4 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):5.692.089.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-35.133.226.1

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -2,775,954 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 100,586 contracts from the previous week which had a total of -2,876,540 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.6 percent.
  • The Commercials are Bullish-Extreme with a score of 96.4 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 59.7 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.066.60.3
– Percent of Open Interest Shorts:32.245.40.3
– Net Position:-2,775,9542,774,0551,899
– Gross Longs:1,444,4948,729,90942,236
– Gross Shorts:4,220,4485,955,85440,337
– Long to Short Ratio:0.3 to 11.5 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):3.696.459.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.528.8-7.0

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -204,447 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -52,543 contracts from the previous week which had a total of -151,904 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.1 percent.
  • The Commercials are Bullish with a score of 59.6 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 46.6 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.362.41.1
– Percent of Open Interest Shorts:29.247.81.7
– Net Position:-204,447214,212-9,765
– Gross Longs:223,532913,89415,478
– Gross Shorts:427,979699,68225,243
– Long to Short Ratio:0.5 to 11.3 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.159.646.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.83.2-28.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week came in at a net position of -1,261,008 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 26,573 contracts from the previous week which had a total of -1,287,581 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 57.3 percent.
  • The Commercials are Bearish with a score of 45.2 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 22.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.776.65.2
– Percent of Open Interest Shorts:38.950.13.4
– Net Position:-1,261,0081,182,47378,535
– Gross Longs:475,5623,417,464231,968
– Gross Shorts:1,736,5702,234,991153,433
– Long to Short Ratio:0.3 to 11.5 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):57.345.222.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.7-2.112.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week came in at a net position of -1,359,116 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -38,606 contracts from the previous week which had a total of -1,320,510 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.9 percent.
  • The Commercials are Bearish with a score of 27.7 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 21.5 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.784.26.3
– Percent of Open Interest Shorts:29.562.85.9
– Net Position:-1,359,1161,330,50728,609
– Gross Longs:476,1875,234,030394,006
– Gross Shorts:1,835,3033,903,523365,397
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.927.721.5
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.14.5-12.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week came in at a net position of -814,262 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -5,371 contracts from the previous week which had a total of -808,891 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.4 percent.
  • The Commercials are Bullish with a score of 72.3 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 14.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.380.47.4
– Percent of Open Interest Shorts:25.665.57.0
– Net Position:-814,262793,27120,991
– Gross Longs:548,3314,274,288392,944
– Gross Shorts:1,362,5933,481,017371,953
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.472.314.3
– Strength Index Reading (3 Year Range):BearishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.141.8-85.7

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week came in at a net position of -148,144 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -11,115 contracts from the previous week which had a total of -137,029 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 68.4 percent.
  • The Commercials are Bearish with a score of 35.1 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 45.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.381.98.8
– Percent of Open Interest Shorts:14.472.712.0
– Net Position:-148,144227,063-78,919
– Gross Longs:204,6372,012,986215,252
– Gross Shorts:352,7811,785,923294,171
– Long to Short Ratio:0.6 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):68.435.145.2
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-8.6-2.031.3

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week came in at a net position of -143,591 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -52,811 contracts from the previous week which had a total of -90,780 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.4 percent.
  • The Commercials are Bullish with a score of 51.2 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 66.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.673.213.2
– Percent of Open Interest Shorts:19.372.16.7
– Net Position:-143,59119,958123,633
– Gross Longs:218,3761,376,050248,721
– Gross Shorts:361,9671,356,092125,088
– Long to Short Ratio:0.6 to 11.0 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.451.266.9
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.4-24.628.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week came in at a net position of -307,819 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -21,150 contracts from the previous week which had a total of -286,669 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.7 percent.
  • The Commercials are Bearish with a score of 47.6 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 48.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.785.18.4
– Percent of Open Interest Shorts:18.373.87.0
– Net Position:-307,819275,49132,328
– Gross Longs:138,7332,073,781203,972
– Gross Shorts:446,5521,798,290171,644
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.747.648.3
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.01.445.7

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
14 Jun

COT Bonds Charts: Speculator Bets led by 2-Year Bonds & Ultra 10-Year Bonds

By InvestMacro 

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

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

Weekly Speculator Changes led by 2-Year Bonds & Ultra 10-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (130,350 contracts) with the Ultra 10-Year Bonds (65,983 contracts) and the 5-Year Bonds (49,056 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-385,462 contracts), the Fed Funds (-44,731 contracts), the 10-Year Bonds (-34,232 contracts), the Ultra Treasury Bonds (-31,021 contracts), the SOFR 1-Month (-21,633 contracts) and with the US Treasury Bonds (-3,452 contracts) also registering lower bets on the week.

US Treasury Bond leads Bond market price gains

The biggest price performance mover this week was the long US Treasury Bond, which rose by almost 1% with a 0.93% increase. Next up, the 10-Year Note was a little higher with a 0.59% rise, followed by the Five-Year Bond, which was up by 0.44%. The Two-Year Bond managed to rise by 0.20%, while the Fed Funds was virtually unchanged on the week.

The 3-Month SOFR was unchanged for the past five days, while the 1-Month SOFR dipped ever so slightly at a -0.01%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (79 percent) and the Ultra 10-Year Bonds (77 percent) lead the bond markets this week. The 2-Year Bonds (62 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (0.0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the US Treasury Bonds (27 percent) and the Fed Funds (31 percent).

Strength Statistics:
Fed Funds (30.8 percent) vs Fed Funds previous week (37.1 percent)
2-Year Bond (62.2 percent) vs 2-Year Bond previous week (46.7 percent)
5-Year Bond (79.0 percent) vs 5-Year Bond previous week (76.2 percent)
10-Year Bond (33.5 percent) vs 10-Year Bond previous week (37.6 percent)
Ultra 10-Year Bond (76.5 percent) vs Ultra 10-Year Bond previous week (59.2 percent)
US Treasury Bond (26.6 percent) vs US Treasury Bond previous week (27.8 percent)
Ultra US Treasury Bond (51.6 percent) vs Ultra US Treasury Bond previous week (63.3 percent)
SOFR 1-Month (41.4 percent) vs SOFR 1-Month previous week (45.2 percent)
SOFR 3-Months (0.0 percent) vs SOFR 3-Months previous week (11.7 percent)

2-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bonds (58 percent) and the 5-Year Bonds (12 percent) lead the past six weeks trends for bonds.

The SOFR 3-Months (-53.9 percent) and the SOFR 1-Month (-26 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (-23.1 percent) vs Fed Funds previous week (-18.1 percent)
2-Year Bond (58.1 percent) vs 2-Year Bond previous week (46.7 percent)
5-Year Bond (11.7 percent) vs 5-Year Bond previous week (9.5 percent)
10-Year Bond (-3.0 percent) vs 10-Year Bond previous week (-4.6 percent)
Ultra 10-Year Bond (-23.5 percent) vs Ultra 10-Year Bond previous week (-28.9 percent)
US Treasury Bond (-17.3 percent) vs US Treasury Bond previous week (-26.5 percent)
Ultra US Treasury Bond (-9.2 percent) vs Ultra US Treasury Bond previous week (4.7 percent)
SOFR 1-Month (-25.8 percent) vs SOFR 1-Month previous week (-20.2 percent)
SOFR 3-Months (-53.9 percent) vs SOFR 3-Months previous week (-43.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week resulted in a net position of -177,055 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -44,731 contracts from the previous week which had a total of -132,324 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 30.8 percent.
  • The Commercials are Bullish with a score of 69.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 56.8 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.467.51.9
– Percent of Open Interest Shorts:18.358.01.7
– Net Position:-177,055171,9605,095
– Gross Longs:151,8681,215,56834,988
– Gross Shorts:328,9231,043,60829,893
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.869.356.8
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.124.5-17.3

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -2,534,063 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -385,462 contracts from the previous week which had a total of -2,148,601 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bullish with a score of 58.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.166.50.3
– Percent of Open Interest Shorts:29.548.10.3
– Net Position:-2,534,0632,533,569494
– Gross Longs:1,528,8359,161,02844,086
– Gross Shorts:4,062,8986,627,45943,592
– Long to Short Ratio:0.4 to 11.4 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.058.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-53.954.0-0.0

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -208,039 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -21,633 contracts from the previous week which had a total of -186,406 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 41.4 percent.
  • The Commercials are Bullish with a score of 58.5 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 67.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.163.00.4
– Percent of Open Interest Shorts:32.149.00.4
– Net Position:-208,039207,97465
– Gross Longs:269,395936,9396,548
– Gross Shorts:477,434728,9656,483
– Long to Short Ratio:0.6 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.458.567.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-25.825.70.2

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,219,838 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 130,350 contracts from the previous week which had a total of -1,350,188 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.2 percent.
  • The Commercials are Bearish with a score of 42.2 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 15.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.079.05.1
– Percent of Open Interest Shorts:40.551.93.6
– Net Position:-1,219,8381,156,27663,562
– Gross Longs:511,3283,376,977216,772
– Gross Shorts:1,731,1662,220,701153,210
– Long to Short Ratio:0.3 to 11.5 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.242.215.0
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:58.1-53.8-10.3

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,320,162 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 49,056 contracts from the previous week which had a total of -1,369,218 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.0 percent.
  • The Commercials are Bearish with a score of 26.8 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 12.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.683.66.5
– Percent of Open Interest Shorts:28.962.36.5
– Net Position:-1,320,1621,317,0803,082
– Gross Longs:469,2685,169,671404,940
– Gross Shorts:1,789,4303,852,591401,858
– Long to Short Ratio:0.3 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.026.812.5
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.7-7.5-28.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week resulted in a net position of -863,807 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -34,232 contracts from the previous week which had a total of -829,575 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.5 percent.
  • The Commercials are Bullish-Extreme with a score of 82.3 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 7.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.180.47.3
– Percent of Open Interest Shorts:26.663.97.3
– Net Position:-863,807864,695-888
– Gross Longs:533,0004,222,625384,645
– Gross Shorts:1,396,8073,357,930385,533
– Long to Short Ratio:0.4 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.582.37.4
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.016.4-29.1

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week resulted in a net position of -117,107 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 65,983 contracts from the previous week which had a total of -183,090 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.5 percent.
  • The Commercials are Bearish with a score of 35.6 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 19.3 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.781.37.9
– Percent of Open Interest Shorts:14.571.812.5
– Net Position:-117,107229,011-111,904
– Gross Longs:234,4041,972,879192,813
– Gross Shorts:351,5111,743,868304,717
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):76.535.619.3
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-23.519.612.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week resulted in a net position of -163,305 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -3,452 contracts from the previous week which had a total of -159,853 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.6 percent.
  • The Commercials are Bullish with a score of 63.5 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 47.2 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.475.512.2
– Percent of Open Interest Shorts:20.171.97.2
– Net Position:-163,30567,84495,461
– Gross Longs:214,1121,420,514230,427
– Gross Shorts:377,4171,352,670134,966
– Long to Short Ratio:0.6 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):26.663.547.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.314.3-4.4

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -318,731 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -31,021 contracts from the previous week which had a total of -287,710 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 51.6 percent.
  • The Commercials are Bullish with a score of 64.7 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 13.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.685.37.6
– Percent of Open Interest Shorts:18.971.97.6
– Net Position:-318,731320,235-1,504
– Gross Longs:133,8852,046,697181,460
– Gross Shorts:452,6161,726,462182,964
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.664.713.6
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.212.3-8.0

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
31 May

COT Bonds Charts: Speculator Changes led by 2-Year & 10-Year Bonds

By InvestMacro 

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

The latest COT data is updated through Tuesday May 26th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 2-Year & 10-Year Bonds

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

Leading the gains for the bond markets was the 2-Year Bonds (305,591 contracts) with the 10-Year Bonds (60,098 contracts) and the 5-Year Bonds (27,389 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-253,525 contracts), the SOFR 1-Month (-60,859 contracts), the US Treasury Bonds (-20,577 contracts), the Fed Funds (-9,975 contracts), the Ultra Treasury Bonds (-5,378 contracts) and the Ultra 10-Year Bonds (-576 contracts) also registering lower bets on the week.

The 5-Year Bond leads the US Bond market price performances.

In the major US Bond markets price changes this week, the 5-Year Bond was the highest gainer with a modest 0.32% increase. The 10-Year Note follows that up with a 0.17% increase over the past five days, while the Fed Funds was up by a minuscule 0.01%, just like the 2-Year Bond, which was higher by 0.01% as well.

The Long US Treasury Bond was virtually unchanged on the week, while the 3-Month SOFR edged lower by -0.01%. And to close it out, the 1-Month SOFR dipped by -0.02%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (79 percent) and the Ultra 10-Year Bonds (77 percent) lead the bond markets this week. The Ultra Treasury Bonds (74 percent) comes in as the next highest in the weekly strength scores.

On the downside, the US Treasury Bonds (14 percent) and the SOFR 3-Months (0 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (40.7 percent) vs Fed Funds previous week (42.1 percent)
2-Year Bond (58.0 percent) vs 2-Year Bond previous week (21.7 percent)
5-Year Bond (78.9 percent) vs 5-Year Bond previous week (77.3 percent)
10-Year Bond (42.6 percent) vs 10-Year Bond previous week (35.4 percent)
Ultra 10-Year Bond (77.0 percent) vs Ultra 10-Year Bond previous week (77.1 percent)
US Treasury Bond (14.1 percent) vs US Treasury Bond previous week (21.2 percent)
Ultra US Treasury Bond (73.7 percent) vs Ultra US Treasury Bond previous week (75.7 percent)
SOFR 1-Month (42.8 percent) vs SOFR 1-Month previous week (53.5 percent)
SOFR 3-Months (0.0 percent) vs SOFR 3-Months previous week (10.2 percent)

2-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bonds (53 percent) and the 5-Year Bonds (18 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (15 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-44 percent) and the US Treasury Bonds (-44 percent) lead the downside trend scores currently with the SOFR 1-Month (-27 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-11.2 percent) vs Fed Funds previous week (-3.2 percent)
2-Year Bond (53.3 percent) vs 2-Year Bond previous week (18.0 percent)
5-Year Bond (17.6 percent) vs 5-Year Bond previous week (11.7 percent)
10-Year Bond (1.5 percent) vs 10-Year Bond previous week (-2.9 percent)
Ultra 10-Year Bond (4.6 percent) vs Ultra 10-Year Bond previous week (12.2 percent)
US Treasury Bond (-43.5 percent) vs US Treasury Bond previous week (-41.6 percent)
Ultra US Treasury Bond (15.4 percent) vs Ultra US Treasury Bond previous week (2.2 percent)
SOFR 1-Month (-26.9 percent) vs SOFR 1-Month previous week (-14.2 percent)
SOFR 3-Months (-44.4 percent) vs SOFR 3-Months previous week (-36.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week totaled a net position of -106,799 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -9,975 contracts from the previous week which had a total of -96,824 net contracts.
  • This week’s current strength score (range over the past 3 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 58.8 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 63.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.467.62.1
– Percent of Open Interest Shorts:14.962.51.7
– Net Position:-106,79998,0568,743
– Gross Longs:182,8281,310,70741,193
– Gross Shorts:289,6271,212,65132,450
– Long to Short Ratio:0.6 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):40.758.863.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.212.1-10.8

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -1,727,299 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -253,525 contracts from the previous week which had a total of -1,473,774 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bullish with a score of 52.8 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.264.50.4
– Percent of Open Interest Shorts:25.151.60.3
– Net Position:-1,727,2991,718,0079,292
– Gross Longs:1,624,6198,610,80748,987
– Gross Shorts:3,351,9186,892,80039,695
– Long to Short Ratio:0.5 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.052.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-44.444.311.8

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of -199,896 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -60,859 contracts from the previous week which had a total of -139,037 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.8 percent.
  • The Commercials are Bullish with a score of 56.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 75.6 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:18.763.40.6
– Percent of Open Interest Shorts:30.951.50.3
– Net Position:-199,896195,6894,207
– Gross Longs:304,9501,036,3768,991
– Gross Shorts:504,846840,6874,784
– Long to Short Ratio:0.6 to 11.2 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.856.375.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.926.18.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week totaled a net position of -1,255,246 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 305,591 contracts from the previous week which had a total of -1,560,837 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.0 percent.
  • The Commercials are Bearish with a score of 47.3 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.675.76.7
– Percent of Open Interest Shorts:34.951.55.6
– Net Position:-1,255,2461,200,67354,573
– Gross Longs:478,4283,756,899332,359
– Gross Shorts:1,733,6742,556,226277,786
– Long to Short Ratio:0.3 to 11.5 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.047.30.0
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:53.3-48.7-13.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week totaled a net position of -1,323,127 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 27,389 contracts from the previous week which had a total of -1,350,516 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.9 percent.
  • The Commercials are Bearish with a score of 23.2 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 34.1 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.777.46.7
– Percent of Open Interest Shorts:27.059.05.7
– Net Position:-1,323,1271,258,84564,282
– Gross Longs:526,9605,297,812457,425
– Gross Shorts:1,850,0874,038,967393,143
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):78.923.234.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.6-18.5-2.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week totaled a net position of -787,954 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 60,098 contracts from the previous week which had a total of -848,052 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.6 percent.
  • The Commercials are Bearish with a score of 30.5 percent.
  • The Small Traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.667.911.4
– Percent of Open Interest Shorts:22.260.06.8
– Net Position:-787,954496,185291,769
– Gross Longs:600,1644,248,016715,099
– Gross Shorts:1,388,1183,751,831423,330
– Long to Short Ratio:0.4 to 11.1 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.630.5100.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.5-36.878.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week totaled a net position of -115,530 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -576 contracts from the previous week which had a total of -114,954 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.0 percent.
  • The Commercials are Bearish with a score of 37.0 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 13.9 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.676.29.9
– Percent of Open Interest Shorts:12.867.614.2
– Net Position:-115,530234,363-118,833
– Gross Longs:235,0082,081,677269,622
– Gross Shorts:350,5381,847,314388,455
– Long to Short Ratio:0.7 to 11.1 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.037.013.9
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.6-4.4-0.8

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week totaled a net position of -199,251 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -20,577 contracts from the previous week which had a total of -178,674 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 14.1 percent.
  • The Commercials are Bullish with a score of 75.8 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 38.8 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.274.213.1
– Percent of Open Interest Shorts:18.168.58.9
– Net Position:-199,251115,89983,352
– Gross Longs:164,5861,488,410262,170
– Gross Shorts:363,8371,372,511178,818
– Long to Short Ratio:0.5 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):14.175.838.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-43.537.6-15.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week totaled a net position of -259,842 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -5,378 contracts from the previous week which had a total of -254,464 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.7 percent.
  • The Commercials are Bearish with a score of 46.3 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 2.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.782.97.9
– Percent of Open Interest Shorts:16.072.28.4
– Net Position:-259,842271,954-12,112
– Gross Longs:144,4292,100,077199,583
– Gross Shorts:404,2711,828,123211,695
– Long to Short Ratio:0.4 to 11.1 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.746.32.7
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.4-9.1-17.5

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
24 May

COT Bonds Charts: Speculators up 2-Year and 5-Year Bonds bets this week

By InvestMacro 

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

The latest COT data is updated through Tuesday May 19th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall lower this week as just three out of the nine bond markets we cover had higher positioning while the other six markets had lower speculator contracts.

All the US bond markets continue to have overall negative speculator net positions at the moment, illustrating the negative views on the outlook for bond market prices. Speculators betting against bond market prices implies a viewpoint that interest rates will go higher (as prices fall, the interest rates of that market increases and vice versa).

Leading the gains for the bond markets was the 2-Year Bonds (41,775 contracts) with the 5-Year Bonds (11,629 contracts) and the SOFR 1-Month (11,594 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-330,187 contracts), the 10-Year Bonds (-66,885 contracts), the Fed Funds (-54,824 contracts), the Ultra 10-Year Bonds (-25,053 contracts), the Ultra Treasury Bonds (-15,470 contracts) and with the US Treasury Bonds (-5,820 contracts) also registering lower bets on the week.

The long U.S. Treasury Bond leads Bond Market price performance.

Over the past week, the U.S. Treasury Bond was the biggest gainer in the US Bond Markets with a 1.19% rise. The 10-Year Note came in second with a 0.44% increase while the Five-Year Bond was higher by 0.18%.

The 1-Month SOFR saw an uptick by 0.03%, and the 3-Month SOFR was higher by just a tick of 0.01%.

On the downside, the Fed Funds saw a -0.01% decrease while the Two-Year Bond also was a couple of ticks lower by -0.02%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by 5-Year Bonds & Ultra 10-Year Bonds

Bonds Market Strength Index Comparison
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 5-Year Bonds (77 percent) and the Ultra 10-Year Bonds (77 percent) lead the bond markets this week. The Ultra Treasury Bonds (76 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (0.0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the US Treasury Bonds (21 percent) and the 2-Year Bonds (22 percent).

Strength Statistics:
Fed Funds (42.1 percent) vs Fed Funds previous week (49.9 percent)
2-Year Bond (21.7 percent) vs 2-Year Bond previous week (16.7 percent)
5-Year Bond (77.3 percent) vs 5-Year Bond previous week (76.6 percent)
10-Year Bond (35.4 percent) vs 10-Year Bond previous week (43.4 percent)
Ultra 10-Year Bond (77.1 percent) vs Ultra 10-Year Bond previous week (83.7 percent)
US Treasury Bond (21.2 percent) vs US Treasury Bond previous week (23.2 percent)
Ultra US Treasury Bond (75.7 percent) vs Ultra US Treasury Bond previous week (81.5 percent)
SOFR 1-Month (53.5 percent) vs SOFR 1-Month previous week (51.4 percent)
SOFR 3-Months (0.0 percent) vs SOFR 3-Months previous week (14.7 percent)

2-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 2-Year Bonds (18 percent) and the 5-Year Bonds (12 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (12 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-41.6 percent) leads the downside trend scores currently with the SOFR 3-Months (-41 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (-3.2 percent) vs Fed Funds previous week (1.2 percent)
2-Year Bond (18.0 percent) vs 2-Year Bond previous week (4.1 percent)
5-Year Bond (11.7 percent) vs 5-Year Bond previous week (13.0 percent)
10-Year Bond (-2.9 percent) vs 10-Year Bond previous week (0.3 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (20.3 percent)
US Treasury Bond (-41.6 percent) vs US Treasury Bond previous week (-49.1 percent)
Ultra US Treasury Bond (2.2 percent) vs Ultra US Treasury Bond previous week (10.9 percent)
SOFR 1-Month (-14.2 percent) vs SOFR 1-Month previous week (-14.7 percent)
SOFR 3-Months (-40.5 percent) vs SOFR 3-Months previous week (-24.7 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week resulted in a net position of -96,824 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -54,824 contracts from the previous week which had a total of -42,000 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.1 percent.
  • The Commercials are Bullish with a score of 57.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 61.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.967.12.2
– Percent of Open Interest Shorts:16.062.41.8
– Net Position:-96,82489,1937,631
– Gross Longs:208,0711,279,49742,560
– Gross Shorts:304,8951,190,30434,929
– Long to Short Ratio:0.7 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.157.661.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.24.2-13.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -1,473,774 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -330,187 contracts from the previous week which had a total of -1,143,587 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bearish with a score of 39.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.563.70.3
– Percent of Open Interest Shorts:23.552.70.3
– Net Position:-1,473,7741,474,436-662
– Gross Longs:1,674,5838,525,81837,330
– Gross Shorts:3,148,3577,051,38237,992
– Long to Short Ratio:0.5 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.039.4
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-40.540.7-2.0

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -139,037 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 11,594 contracts from the previous week which had a total of -150,631 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.5 percent.
  • The Commercials are Bearish with a score of 46.5 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 66.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.865.20.0
– Percent of Open Interest Shorts:30.555.50.0
– Net Position:-139,037139,261-224
– Gross Longs:297,504932,468192
– Gross Shorts:436,541793,207416
– Long to Short Ratio:0.7 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):53.546.566.4
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-14.214.2-0.6

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,560,837 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 41,775 contracts from the previous week which had a total of -1,602,612 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.7 percent.
  • The Commercials are Bullish-Extreme with a score of 81.4 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.978.64.6
– Percent of Open Interest Shorts:41.548.33.3
– Net Position:-1,560,8371,498,14262,695
– Gross Longs:487,2953,881,287226,572
– Gross Shorts:2,048,1322,383,145163,877
– Long to Short Ratio:0.2 to 11.6 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.781.40.0
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.0-16.1-6.2

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,350,516 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 11,629 contracts from the previous week which had a total of -1,362,145 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.3 percent.
  • The Commercials are Bearish with a score of 30.9 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.077.76.3
– Percent of Open Interest Shorts:29.357.86.8
– Net Position:-1,350,5161,382,881-32,365
– Gross Longs:694,4125,418,755438,786
– Gross Shorts:2,044,9284,035,874471,151
– Long to Short Ratio:0.3 to 11.3 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.330.90.0
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.7-6.9-32.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week resulted in a net position of -848,052 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -66,885 contracts from the previous week which had a total of -781,167 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 35.4 percent.
  • The Commercials are Bullish with a score of 71.3 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 42.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.774.87.4
– Percent of Open Interest Shorts:24.261.46.3
– Net Position:-848,052786,27561,777
– Gross Longs:566,2074,366,133430,774
– Gross Shorts:1,414,2593,579,858368,997
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.471.342.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.9-1.818.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week resulted in a net position of -114,954 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -25,053 contracts from the previous week which had a total of -89,901 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 77.1 percent.
  • The Commercials are Bearish with a score of 37.4 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 12.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.179.28.5
– Percent of Open Interest Shorts:14.570.213.1
– Net Position:-114,954235,846-120,892
– Gross Longs:263,7822,071,478221,012
– Gross Shorts:378,7361,835,632341,904
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):77.137.412.3
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.2-8.8-10.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week resulted in a net position of -178,674 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -5,820 contracts from the previous week which had a total of -172,854 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 21.2 percent.
  • The Commercials are Bullish with a score of 74.6 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 27.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.776.012.5
– Percent of Open Interest Shorts:19.270.08.9
– Net Position:-178,674111,29867,376
– Gross Longs:182,9421,427,336234,918
– Gross Shorts:361,6161,316,038167,542
– Long to Short Ratio:0.5 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.274.627.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-41.639.9-25.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -254,464 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -15,470 contracts from the previous week which had a total of -238,994 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 75.7 percent.
  • The Commercials are Bearish with a score of 43.3 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 5.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.582.37.6
– Percent of Open Interest Shorts:15.671.98.0
– Net Position:-254,464264,146-9,682
– Gross Longs:139,9362,087,342192,061
– Gross Shorts:394,4001,823,196201,743
– Long to Short Ratio:0.4 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.743.35.2
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.21.1-8.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
10 May

COT Bonds Charts: Weekly Speculator Bets led by 5-Year Bonds & Fed Funds

By InvestMacro

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

The latest COT data is updated through Tuesday May 5th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

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

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

Leading the gains for the bond markets was the 5-Year Bonds (100,106 contracts) with the Fed Funds (45,127 contracts), the 2-Year Bonds (35,934 contracts), the Ultra Treasury Bonds (34,850 contracts) and the 10-Year Bonds (23,868 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-347,436 contracts), the SOFR 1-Month (-97,991 contracts), the Ultra 10-Year Bonds (-77,320 contracts) and the US Treasury Bonds (-59,287 contracts) also registering lower bets on the week.

The US Treasury Bond leads Bond market price performances this week.

In the major Bond markets for the US, the US Treasury Bond saw the biggest uptick this week with a 0.53% increase. The 10-Year Note came in second with a 0.17% edge higher, followed by the Five-Year Bond, which notched up by 0.06%. The One-Month SOFR and the Three-Month SOFR markets were both virtually unchanged but edged up by 0.01%.

The Fed Funds were a minuscule tick lower with a -0.01% decline.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra 10-Year Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra 10-Year Bonds (80 percent) and the Ultra Treasury Bonds (74 percent) lead the bond markets this week. The 5-Year Bonds (72 percent) comes in as the next highest in the weekly strength scores.

On the downside, the SOFR 3-Months (1.7 percent) and the 2-Year Bonds (8 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the US Treasury Bonds (23 percent), the 10-Year Bonds (39 percent) and the SOFR 1-Month (50 percent).

Strength Statistics:
Fed Funds (60.3 percent) vs Fed Funds previous week (53.8 percent)
2-Year Bond (7.9 percent) vs 2-Year Bond previous week (3.8 percent)
5-Year Bond (71.7 percent) vs 5-Year Bond previous week (66.0 percent)
10-Year Bond (39.3 percent) vs 10-Year Bond previous week (36.4 percent)
Ultra 10-Year Bond (79.7 percent) vs Ultra 10-Year Bond previous week (100.0 percent)
US Treasury Bond (23.2 percent) vs US Treasury Bond previous week (43.8 percent)
Ultra US Treasury Bond (73.9 percent) vs Ultra US Treasury Bond previous week (60.8 percent)
SOFR 1-Month (50.1 percent) vs SOFR 1-Month previous week (67.2 percent)
SOFR 3-Months (1.7 percent) vs SOFR 3-Months previous week (20.0 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (19 percent) and the Fed Funds (9 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (7 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-62.5 percent) leads the downside trend scores currently with the SOFR 3-Months (-35 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (8.9 percent) vs Fed Funds previous week (1.3 percent)
2-Year Bond (-4.0 percent) vs 2-Year Bond previous week (-25.5 percent)
5-Year Bond (1.5 percent) vs 5-Year Bond previous week (14.3 percent)
10-Year Bond (-20.7 percent) vs 10-Year Bond previous week (-28.9 percent)
Ultra 10-Year Bond (19.3 percent) vs Ultra 10-Year Bond previous week (46.8 percent)
US Treasury Bond (-62.5 percent) vs US Treasury Bond previous week (-42.6 percent)
Ultra US Treasury Bond (7.4 percent) vs Ultra US Treasury Bond previous week (-8.7 percent)
SOFR 1-Month (-4.8 percent) vs SOFR 1-Month previous week (22.5 percent)
SOFR 3-Months (-35.5 percent) vs SOFR 3-Months previous week (-10.2 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week was a net position of 30,815 contracts in the data reported through Tuesday.
  • Weekly Speculator position boost of 45,127 contracts from the previous week which had a total of -14,312 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 60.3 percent.
  • The Commercials are Bearish with a score of 38.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 71.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.663.92.5
– Percent of Open Interest Shorts:12.666.71.7
– Net Position:30,815-43,82313,008
– Gross Longs:232,0661,019,08740,483
– Gross Shorts:201,2511,062,91027,475
– Long to Short Ratio:1.2 to 11.0 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):60.338.671.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:8.9-8.7-2.5

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -1,100,455 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -347,436 contracts from the previous week which had a total of -753,019 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 1.7 percent.
  • The Commercials are Bullish-Extreme with a score of 99.2 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 37.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.262.10.4
– Percent of Open Interest Shorts:22.953.50.4
– Net Position:-1,100,4551,102,960-2,505
– Gross Longs:1,813,6187,914,41046,774
– Gross Shorts:2,914,0736,811,45049,279
– Long to Short Ratio:0.6 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.799.237.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-35.536.0-5.4

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -158,195 contracts in the data reported through Tuesday.
  • Weekly Speculator position fall of -97,991 contracts from the previous week which had a total of -60,204 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 50.1 percent.
  • The Commercials are Bearish with a score of 49.8 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 66.9 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.867.80.1
– Percent of Open Interest Shorts:29.554.10.1
– Net Position:-158,195158,16035
– Gross Longs:182,424781,5981,383
– Gross Shorts:340,619623,4381,348
– Long to Short Ratio:0.5 to 11.3 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):50.149.866.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.84.80.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week was a net position of -1,673,329 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 35,934 contracts from the previous week which had a total of -1,709,263 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 7.9 percent.
  • The Commercials are Bullish-Extreme with a score of 92.1 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 10.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.580.54.8
– Percent of Open Interest Shorts:45.747.03.1
– Net Position:-1,673,3291,590,30983,020
– Gross Longs:497,3993,820,890228,341
– Gross Shorts:2,170,7282,230,581145,321
– Long to Short Ratio:0.2 to 11.7 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.992.110.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.03.90.4

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week was a net position of -1,421,299 contracts in the data reported through Tuesday.
  • Weekly Speculator position rise of 100,106 contracts from the previous week which had a total of -1,521,405 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 71.7 percent.
  • The Commercials are Bearish with a score of 29.7 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 26.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.680.56.3
– Percent of Open Interest Shorts:31.160.15.3
– Net Position:-1,421,2991,352,39068,909
– Gross Longs:636,5745,331,093419,738
– Gross Shorts:2,057,8733,978,703350,829
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):71.729.726.6
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.5-3.512.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week was a net position of -815,269 contracts in the data reported through Tuesday.
  • Weekly Speculator position rise of 23,868 contracts from the previous week which had a total of -839,137 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 39.3 percent.
  • The Commercials are Bullish with a score of 65.8 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 45.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.477.57.8
– Percent of Open Interest Shorts:26.663.56.5
– Net Position:-815,269747,34367,926
– Gross Longs:610,5434,158,508418,672
– Gross Shorts:1,425,8123,411,165350,746
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.365.845.2
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-20.720.712.8

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week was a net position of -105,160 contracts in the data reported through Tuesday.
  • Weekly Speculator position decrease of -77,320 contracts from the previous week which had a total of -27,840 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 79.7 percent.
  • The Commercials are Bearish with a score of 37.2 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 5.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.481.38.3
– Percent of Open Interest Shorts:13.871.613.6
– Net Position:-105,160234,926-129,766
– Gross Longs:228,2361,968,305200,190
– Gross Shorts:333,3961,733,379329,956
– Long to Short Ratio:0.7 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):79.737.25.3
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.3-9.5-29.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week was a net position of -172,942 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -59,287 contracts from the previous week which had a total of -113,655 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 23.2 percent.
  • The Commercials are Bullish with a score of 69.9 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 36.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.976.312.8
– Percent of Open Interest Shorts:19.471.28.5
– Net Position:-172,94293,02479,918
– Gross Longs:181,1281,395,908234,966
– Gross Shorts:354,0701,302,884155,048
– Long to Short Ratio:0.5 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.269.936.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-62.548.9-7.7

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week was a net position of -259,435 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 34,850 contracts from the previous week which had a total of -294,285 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.9 percent.
  • The Commercials are Bearish with a score of 45.1 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 5.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.985.47.8
– Percent of Open Interest Shorts:17.273.78.2
– Net Position:-259,435268,886-9,451
– Gross Longs:136,6941,964,862179,461
– Gross Shorts:396,1291,695,976188,912
– Long to Short Ratio:0.3 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.945.15.4
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.44.3-31.9

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
26 Apr

COT Bonds Charts: Speculator Bets led by 5-Year Bonds & Ultra 10-Year Bonds

By InvestMacro

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

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

Weekly Speculator Changes led by 5-Year Bonds & 10-Year Bonds


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

Leading the gains for the bond markets was the 5-Year Bonds (92,995 contracts) with the Ultra 10-Year Bonds (59,678 contracts), the Fed Funds (23,202 contracts), the 10-Year Bonds (9,394 contracts) and the Ultra Treasury Bonds (536 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-87,650 contracts), the 2-Year Bonds (-39,547 contracts), the SOFR 1-Month (-24,657 contracts) and with the US Treasury Bonds (-9,670 contracts) also having lower bets on the week.

Major Bond Markets were mostly lower in price performance this week.

In the Major Bond Markets, the Fed Funds with a small edge higher by 0.01% was the only market that saw a positive return on the week.

The three-month SOFR and the one-month SOFR were virtually unchanged on the week – each with a -0.01% change, followed by the 2-year bond, which was lower by -0.08%. The 5-year bond declined by -0.22%, while the 10-year note saw a reduction by -0.28%, and the long US Treasury Bond was down by -0.30%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra 10-Year Bonds & 5-Year Bonds


COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra 10-Year Bonds (90 percent), the 5-Year Bonds (65 percent) and the SOFR 1-Month (65 percent) lead the bond markets this week.

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level currently and is in Bearish-Extreme territory. The next lowest strength scores were the SOFR 3-Months (22 percent) and the 10-Year Bonds (42 percent).

Strength Statistics:
Fed Funds (55.2 percent) vs Fed Funds previous week (51.9 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (3.6 percent)
5-Year Bond (64.9 percent) vs 5-Year Bond previous week (59.6 percent)
10-Year Bond (42.2 percent) vs 10-Year Bond previous week (41.1 percent)
Ultra 10-Year Bond (90.4 percent) vs Ultra 10-Year Bond previous week (74.3 percent)
US Treasury Bond (54.2 percent) vs US Treasury Bond previous week (57.6 percent)
Ultra US Treasury Bond (58.5 percent) vs Ultra US Treasury Bond previous week (58.3 percent)
SOFR 1-Month (65.4 percent) vs SOFR 1-Month previous week (69.7 percent)
SOFR 3-Months (22.4 percent) vs SOFR 3-Months previous week (27.0 percent)

Ultra 10-Year Bonds & 5-Year Bonds top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Ultra 10-Year Bonds (34 percent) and the 5-Year Bonds (22 percent) lead the past six weeks trends for bonds. The SOFR 1-Month (19 percent) are the next highest positive movers in the latest trends data.

The US Treasury Bond (-43.8 percent) leads the downside trend scores currently with the 10-Year Bonds (-31 percent) and the 2-Year Bonds (-37 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (10.2 percent) vs Fed Funds previous week (18.8 percent)
2-Year Bond (-36.5 percent) vs 2-Year Bond previous week (-32.9 percent)
5-Year Bond (21.7 percent) vs 5-Year Bond previous week (26.2 percent)
10-Year Bond (-30.6 percent) vs 10-Year Bond previous week (-17.4 percent)
Ultra 10-Year Bond (33.6 percent) vs Ultra 10-Year Bond previous week (3.3 percent)
US Treasury Bond (-43.8 percent) vs US Treasury Bond previous week (-32.8 percent)
Ultra US Treasury Bond (-3.8 percent) vs Ultra US Treasury Bond previous week (-16.9 percent)
SOFR 1-Month (18.9 percent) vs SOFR 1-Month previous week (22.9 percent)
SOFR 3-Months (-9.9 percent) vs SOFR 3-Months previous week (8.4 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week equaled a net position of -4,559 contracts in the data reported through Tuesday.
  • Weekly Speculator position rise of 23,202 contracts from the previous week which had a total of -27,761 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 55.2 percent.
  • The Commercials are Bearish with a score of 43.4 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 76.0 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.063.02.7
– Percent of Open Interest Shorts:19.263.61.9
– Net Position:-4,559-10,32514,884
– Gross Longs:353,2741,174,14849,750
– Gross Shorts:357,8331,184,47334,866
– Long to Short Ratio:1.0 to 11.0 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):55.243.476.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.2-9.1-14.5

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -705,746 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -87,650 contracts from the previous week which had a total of -618,096 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 22.4 percent.
  • The Commercials are Bullish with a score of 78.0 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 41.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.359.01.2
– Percent of Open Interest Shorts:21.153.21.1
– Net Position:-705,746704,5661,180
– Gross Longs:1,839,7207,114,389139,054
– Gross Shorts:2,545,4666,409,823137,874
– Long to Short Ratio:0.7 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):22.478.041.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.99.93.3

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -70,379 contracts in the data reported through Tuesday.
  • Weekly Speculator position lowering of -24,657 contracts from the previous week which had a total of -45,722 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 65.4 percent.
  • The Commercials are Bearish with a score of 34.6 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 66.9 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:22.958.82.8
– Percent of Open Interest Shorts:28.153.62.8
– Net Position:-70,37970,34237
– Gross Longs:308,764794,60537,285
– Gross Shorts:379,143724,26337,248
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.434.666.9
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.9-18.90.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week equaled a net position of -1,743,353 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -39,547 contracts from the previous week which had a total of -1,703,806 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 13.6 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.581.25.2
– Percent of Open Interest Shorts:47.645.83.4
– Net Position:-1,743,3531,660,12683,227
– Gross Longs:493,3503,811,446242,922
– Gross Shorts:2,236,7032,151,320159,695
– Long to Short Ratio:0.2 to 11.8 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.013.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-36.539.5-14.1

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week equaled a net position of -1,532,750 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 92,995 contracts from the previous week which had a total of -1,625,745 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 64.9 percent.
  • The Commercials are Bearish with a score of 35.6 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 32.7 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.779.96.2
– Percent of Open Interest Shorts:34.257.64.9
– Net Position:-1,532,7501,448,72884,022
– Gross Longs:692,3305,191,123405,515
– Gross Shorts:2,225,0803,742,395321,493
– Long to Short Ratio:0.3 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):64.935.632.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:21.7-20.6-20.9

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week equaled a net position of -790,971 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 9,394 contracts from the previous week which had a total of -800,365 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.2 percent.
  • The Commercials are Bullish with a score of 62.9 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 43.4 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.377.98.0
– Percent of Open Interest Shorts:26.563.96.8
– Net Position:-790,971726,88964,082
– Gross Longs:591,1034,060,023416,177
– Gross Shorts:1,382,0743,333,134352,095
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):42.262.943.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-30.632.313.0

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week equaled a net position of -73,195 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 59,678 contracts from the previous week which had a total of -132,873 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 90.4 percent.
  • The Commercials are Bearish with a score of 28.2 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 6.6 percent.

Price Trend-Following Model: Weak Uptrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.280.68.2
– Percent of Open Interest Shorts:13.272.313.5
– Net Position:-73,195201,369-128,174
– Gross Longs:247,8851,960,151200,473
– Gross Shorts:321,0801,758,782328,647
– Long to Short Ratio:0.8 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):90.428.26.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.6-27.7-16.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week equaled a net position of -83,786 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -9,670 contracts from the previous week which had a total of -74,116 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.2 percent.
  • The Commercials are Bearish with a score of 41.4 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 51.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.375.113.1
– Percent of Open Interest Shorts:14.976.17.5
– Net Position:-83,786-18,086101,872
– Gross Longs:185,7321,354,174236,593
– Gross Shorts:269,5181,372,260134,721
– Long to Short Ratio:0.7 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):54.241.451.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-43.841.4-25.0

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week equaled a net position of -300,287 contracts in the data reported through Tuesday.
  • Weekly Speculator position advance of 536 contracts from the previous week which had a total of -300,823 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.5 percent.
  • The Commercials are Bullish with a score of 55.9 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 18.2 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.885.78.0
– Percent of Open Interest Shorts:19.072.77.8
– Net Position:-300,287297,2493,038
– Gross Longs:132,1911,950,217181,384
– Gross Shorts:432,4781,652,968178,346
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.555.918.2
– Strength Index Reading (3 Year Range):BullishBullishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.89.2-14.3

 

Article By InvestMacro – Receive our weekly COT Newsletter

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

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

Bonds COT Updates Financial News
12 Apr

COT Bonds Charts: Weekly Speculator Changes led by 5-Year Bonds

By InvestMacro 

Bonds Market Open Interest Comparison

Open Interest (OI) is the amount of contracts that are currently live in the marketplace. OI Strength shows the current strength compared to the past 3-years.

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

The latest COT data is updated through Tuesday April 7th and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.

Weekly Speculator Changes led by 5-Year Bonds

Bonds Market Net Speculators Positions
The COT bond market speculator bets were overall slightly higher this week as five out of the nine bond markets we cover had higher positioning while the other four markets had lower speculator contracts.

Leading the gains for the bond markets was the 5-Year Bonds (33,911 contracts) with the SOFR 3-Months (24,825 contracts), the SOFR 1-Month (8,889 contracts), the Ultra Treasury Bonds (7,746 contracts) and also the Ultra 10-Year Bonds (5,825 contracts) seeing positive weeks.

The bond markets with declines in speculator bets for the week were  the 2-Year Bonds (-74,691 contracts), the 10-Year Bonds (-39,561 contracts), the US Treasury Bonds (-27,363 contracts), and with the Fed Funds (-23,798 contracts) also recording lower bets on the week.

The US Treasury Bond leads the Bonds Market’s price performance

In the Bond Markets, the long US Treasury Bond was the biggest winner on the week with a modest 0.36% gain. This was followed by the Ten-Year Note, which rose by 0.34% on the week. The Five-Year Bond was slightly higher with a 0.24% rise and was followed by the Two-Year Bond, which rose by a similar 0.11% uptick.

Fed Funds were virtually unchanged at a 0.02% rise, while the 1-Month SOFR ticked up by 0.02%, and the 3-Month SOFR followed with a 0.01% edge higher.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Ultra Treasury Bonds (74 percent) and the SOFR 1-Month (68 percent) lead the bond markets this week. The Ultra 10-Year Bonds (67 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (30 percent) and the 10-Year Bonds (38 percent).

Strength Statistics:
Fed Funds (45.3 percent) vs Fed Funds previous week (48.7 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (6.4 percent)
5-Year Bond (58.6 percent) vs 5-Year Bond previous week (56.8 percent)
10-Year Bond (38.3 percent) vs 10-Year Bond previous week (43.0 percent)
Ultra 10-Year Bond (66.6 percent) vs Ultra 10-Year Bond previous week (65.0 percent)
US Treasury Bond (62.9 percent) vs US Treasury Bond previous week (72.4 percent)
Ultra US Treasury Bond (73.5 percent) vs Ultra US Treasury Bond previous week (70.6 percent)
SOFR 1-Month (67.7 percent) vs SOFR 1-Month previous week (66.1 percent)
SOFR 3-Months (29.9 percent) vs SOFR 3-Months previous week (28.6 percent)

5-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (27 percent) and the SOFR 1-Month (20 percent) lead the past six weeks trends for bonds. The Fed Funds (19 percent) are the next highest positive movers in the latest trends data.

The 2-Year Bond (-31 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-29 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (19.2 percent) vs Fed Funds previous week (25.6 percent)
2-Year Bond (-31.2 percent) vs 2-Year Bond previous week (-34.6 percent)
5-Year Bond (26.6 percent) vs 5-Year Bond previous week (29.6 percent)
10-Year Bond (-5.9 percent) vs 10-Year Bond previous week (11.2 percent)
Ultra 10-Year Bond (-28.6 percent) vs Ultra 10-Year Bond previous week (-18.1 percent)
US Treasury Bond (-22.3 percent) vs US Treasury Bond previous week (-13.2 percent)
Ultra US Treasury Bond (7.5 percent) vs Ultra US Treasury Bond previous week (2.6 percent)
SOFR 1-Month (20.1 percent) vs SOFR 1-Month previous week (5.0 percent)
SOFR 3-Months (10.4 percent) vs SOFR 3-Months previous week (7.6 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartPositioning Notes:

  • 30-Day Federal Funds large speculator standing this week came in at a net position of -74,504 contracts in the data reported through Tuesday.
  • Weekly Speculator position reduction of -23,798 contracts from the previous week which had a total of -50,706 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.3 percent.
  • The Commercials are Bullish with a score of 53.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 76.3 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.264.72.6
– Percent of Open Interest Shorts:21.261.51.8
– Net Position:-74,50459,45715,047
– Gross Longs:315,7741,191,54547,913
– Gross Shorts:390,2781,132,08832,866
– Long to Short Ratio:0.8 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.353.376.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.2-17.9-15.6

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -564,314 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 24,825 contracts from the previous week which had a total of -589,139 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 29.9 percent.
  • The Commercials are Bullish with a score of 70.5 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 41.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.858.40.2
– Percent of Open Interest Shorts:21.553.70.1
– Net Position:-564,314563,506808
– Gross Longs:2,024,3407,040,93018,517
– Gross Shorts:2,588,6546,477,42417,709
– Long to Short Ratio:0.8 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.970.541.4
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.4-10.5-1.3

 

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartPositioning Notes:

  • Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of -57,619 contracts in the data reported through Tuesday.
  • Weekly Speculator position lift of 8,889 contracts from the previous week which had a total of -66,508 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 67.7 percent.
  • The Commercials are Bearish with a score of 32.3 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 67.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.061.40.0
– Percent of Open Interest Shorts:27.457.00.0
– Net Position:-57,61957,55069
– Gross Longs:299,348800,504201
– Gross Shorts:356,967742,954132
– Long to Short Ratio:0.8 to 11.1 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):67.732.367.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:20.1-20.1-0.1

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 2-Year Treasury Note large speculator standing this week came in at a net position of -1,712,015 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -74,691 contracts from the previous week which had a total of -1,637,324 net contracts.
  • This week’s current strength score (range over the past 3 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.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 10.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.280.64.7
– Percent of Open Interest Shorts:47.645.73.1
– Net Position:-1,712,0151,638,97873,037
– Gross Longs:525,5603,791,639220,318
– Gross Shorts:2,237,5752,152,661147,281
– Long to Short Ratio:0.2 to 11.8 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.010.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-31.234.1-16.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartPositioning Notes:

  • 5-Year Treasury Note large speculator standing this week came in at a net position of -1,552,929 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 33,911 contracts from the previous week which had a total of -1,586,840 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 58.6 percent.
  • The Commercials are Bearish with a score of 43.8 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 22.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.280.56.1
– Percent of Open Interest Shorts:34.357.45.2
– Net Position:-1,552,9291,494,03958,890
– Gross Longs:656,8015,190,375393,143
– Gross Shorts:2,209,7303,696,336334,253
– Long to Short Ratio:0.3 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):58.643.822.5
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:26.6-23.1-41.1

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • 10-Year Treasury Note large speculator standing this week came in at a net position of -823,624 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -39,561 contracts from the previous week which had a total of -784,063 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 38.3 percent.
  • The Commercials are Bullish with a score of 73.1 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 23.8 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.178.77.7
– Percent of Open Interest Shorts:27.263.17.2
– Net Position:-823,624799,34224,282
– Gross Longs:567,6834,032,672394,531
– Gross Shorts:1,391,3073,233,330370,249
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.373.123.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.94.68.4

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartPositioning Notes:

  • Ultra 10-Year Notes large speculator standing this week came in at a net position of -161,387 contracts in the data reported through Tuesday.
  • Weekly Speculator position gain of 5,825 contracts from the previous week which had a total of -167,212 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 66.6 percent.
  • The Commercials are Bearish with a score of 46.2 percent.
  • The Small Traders (not shown in chart) are Bearish with a score of 22.9 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.881.98.3
– Percent of Open Interest Shorts:15.670.512.9
– Net Position:-161,387268,760-107,373
– Gross Longs:207,7811,934,136196,994
– Gross Shorts:369,1681,665,376304,367
– Long to Short Ratio:0.6 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.646.222.9
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-28.632.6-12.4

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • US Treasury Bonds large speculator standing this week came in at a net position of -58,996 contracts in the data reported through Tuesday.
  • Weekly Speculator position decline of -27,363 contracts from the previous week which had a total of -31,633 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.9 percent.
  • The Commercials are Bearish with a score of 34.7 percent.
  • The Small Traders (not shown in chart) are Bullish with a score of 52.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.174.113.4
– Percent of Open Interest Shorts:14.476.67.6
– Net Position:-58,996-44,309103,305
– Gross Longs:197,9531,324,620239,238
– Gross Shorts:256,9491,368,929135,933
– Long to Short Ratio:0.8 to 11.0 to 11.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.934.752.7
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.333.8-47.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartPositioning Notes:

  • Ultra US Treasury Bonds large speculator standing this week came in at a net position of -260,383 contracts in the data reported through Tuesday.
  • Weekly Speculator position increase of 7,746 contracts from the previous week which had a total of -268,129 net contracts.
  • This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.5 percent.
  • The Commercials are Bearish with a score of 42.2 percent.
  • The Small Traders (not shown in chart) are Bearish-Extreme with a score of 14.1 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.685.88.1
– Percent of Open Interest Shorts:17.174.38.2
– Net Position:-260,383261,393-1,010
– Gross Longs:126,5011,941,140184,064
– Gross Shorts:386,8841,679,747185,074
– Long to Short Ratio:0.3 to 11.2 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):73.542.214.1
– Strength Index Reading (3 Year Range):BullishBearishBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.5-2.4-14.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
05 Apr

COT Bonds Charts: Speculator Bets led by SOFR 1-Month this week

By InvestMacro 

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

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

Weekly Speculator Changes led by SOFR 1-Month

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

Leading the gains for the bond markets was the SOFR 1-Month (64,159 contracts) with the Ultra 10-Year Bonds (11,341 contracts), the Ultra Treasury Bonds (11,058 contracts) and the 2-Year Bonds (855 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-163,229 contracts), the 10-Year Bonds (-142,176 contracts), the 5-Year Bonds (-138,404 contracts), the US Treasury Bonds (-38,203 contracts) and with the Fed Funds (-18,664 contracts) also seeing lower bets on the week.

The Bond market price performances were higher across the board this week

The major Bond Markets were led higher this week in price performance by the long U.S. Treasury Bond, which rose by 0.55% over the past five days. The 10-Year Note followed along with a 0.24% increase, while the 5-Year Bond was higher by 0.11%.

The 2-Year Bond was slightly higher with a 0.03% uptick, and the Fed Funds Futures saw a minuscule edge higher by 0.01%. The 1-Month Secured Overnight Financing Rate also was up by 0.01%, as was the 3-Month Secured Overnight Financing Rate, which also rose by 0.01%.

Bonds Data:

Bonds Market Speculators Data Table
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)

Strength Scores led by US Treasury Bonds & Ultra Treasury Bonds

Bonds Market Strength Index Comparison
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the US Treasury Bonds (72 percent) and the Ultra Treasury Bonds (71 percent) lead the bond markets this week. The SOFR 1-Month (66 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 2-Year Bond (0 percent) comes in at the lowest strength level currently and continues to be in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the SOFR 3-Months (29 percent) and the 10-Year Bonds (43 percent).

Strength Statistics:
Fed Funds (48.7 percent) vs Fed Funds previous week (51.3 percent)
2-Year Bond (0.1 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (56.8 percent) vs 5-Year Bond previous week (64.0 percent)
10-Year Bond (43.0 percent) vs 10-Year Bond previous week (60.0 percent)
Ultra 10-Year Bond (65.0 percent) vs Ultra 10-Year Bond previous week (62.0 percent)
US Treasury Bond (72.4 percent) vs US Treasury Bond previous week (85.7 percent)
Ultra US Treasury Bond (70.6 percent) vs Ultra US Treasury Bond previous week (66.5 percent)
SOFR 1-Month (66.1 percent) vs SOFR 1-Month previous week (54.9 percent)
SOFR 3-Months (28.6 percent) vs SOFR 3-Months previous week (37.2 percent)

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

Bonds Market Trend Index Comparison
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 5-Year Bonds (30 percent) and the Fed Funds (26 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (11 percent) are the next highest positive movers in the latest trends data.

The 2-Year Bond (-35 percent) leads the downside trend scores currently with the Ultra 10-Year Bonds (-18 percent) and the US Treasury Bond (-13 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (25.6 percent) vs Fed Funds previous week (20.2 percent)
2-Year Bond (-35.3 percent) vs 2-Year Bond previous week (-30.5 percent)
5-Year Bond (29.6 percent) vs 5-Year Bond previous week (34.6 percent)
10-Year Bond (11.2 percent) vs 10-Year Bond previous week (20.5 percent)
Ultra 10-Year Bond (-18.1 percent) vs Ultra 10-Year Bond previous week (-6.8 percent)
US Treasury Bond (-13.2 percent) vs US Treasury Bond previous week (2.3 percent)
Ultra US Treasury Bond (2.6 percent) vs Ultra US Treasury Bond previous week (-3.2 percent)
SOFR 1-Month (5.0 percent) vs SOFR 1-Month previous week (-3.3 percent)
SOFR 3-Months (7.6 percent) vs SOFR 3-Months previous week (1.9 percent)

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week equaled a net position of -50,706 contracts in the data reported through Tuesday. This was a weekly fall of -18,664 contracts from the previous week which had a total of -32,042 net contracts.

This week’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 48.7 percent. The commercials are Bearish with a score of 49.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.5 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:15.165.33.8
– Percent of Open Interest Shorts:17.563.93.0
– Net Position:-50,70631,53019,176
– Gross Longs:331,4801,430,17583,806
– Gross Shorts:382,1861,398,64564,630
– Long to Short Ratio:0.9 to 11.0 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.749.483.5
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.6-25.81.5

 

Secured Overnight Financing Rate (3-Month) Futures:

SOFR 3-Months Bonds Futures COT ChartThe Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -589,139 contracts in the data reported through Tuesday. This was a weekly fall of -163,229 contracts from the previous week which had a total of -425,910 net contracts.

This week’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 28.6 percent. The commercials are Bullish with a score of 71.7 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.458.30.2
– Percent of Open Interest Shorts:21.353.40.2
– Net Position:-589,139586,4762,663
– Gross Longs:1,953,6046,958,45626,736
– Gross Shorts:2,542,7436,371,98024,073
– Long to Short Ratio:0.8 to 11.1 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.671.743.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.6-7.81.5

 

Individual Bond Markets:

Secured Overnight Financing Rate (1-Month) Futures:

SOFR 1-Month Bonds Futures COT ChartThe Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -66,508 contracts in the data reported through Tuesday. This was a weekly gain of 64,159 contracts from the previous week which had a total of -130,667 net contracts.

This 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 66.1 percent. The commercials are Bearish with a score of 33.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.8 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

SOFR 1-Month StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:23.058.11.5
– Percent of Open Interest Shorts:27.054.11.5
– Net Position:-66,50866,512-4
– Gross Longs:378,084955,98425,104
– Gross Shorts:444,592889,47225,108
– Long to Short Ratio:0.9 to 11.1 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.133.966.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.0-5.00.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week equaled a net position of -1,637,324 contracts in the data reported through Tuesday. This was a weekly gain of 855 contracts from the previous week which had a total of -1,638,179 net contracts.

This week’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 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.080.24.5
– Percent of Open Interest Shorts:46.646.93.2
– Net Position:-1,637,3241,572,07365,251
– Gross Longs:565,5403,787,152214,812
– Gross Shorts:2,202,8642,215,079149,561
– Long to Short Ratio:0.3 to 11.7 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.1100.015.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-35.340.2-22.6

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week equaled a net position of -1,586,840 contracts in the data reported through Tuesday. This was a weekly reduction of -138,404 contracts from the previous week which had a total of -1,448,436 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.8 percent. The commercials are Bearish with a score of 45.7 percent and the small traders (not shown in chart) are Bearish with a score of 22.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.080.66.2
– Percent of Open Interest Shorts:34.457.25.3
– Net Position:-1,586,8401,527,54059,300
– Gross Longs:651,2445,250,315401,332
– Gross Shorts:2,238,0843,722,775342,032
– Long to Short Ratio:0.3 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.845.722.7
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.6-27.7-31.6

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week equaled a net position of -784,063 contracts in the data reported through Tuesday. This was a weekly decrease of -142,176 contracts from the previous week which had a total of -641,887 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 43.0 percent. The commercials are Bullish with a score of 65.9 percent and the small traders (not shown in chart) are Bearish with a score of 29.5 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.277.87.8
– Percent of Open Interest Shorts:27.463.37.1
– Net Position:-784,063748,32535,738
– Gross Longs:626,4864,009,481403,820
– Gross Shorts:1,410,5493,261,156368,082
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):43.065.929.5
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.2-8.2-17.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week equaled a net position of -167,212 contracts in the data reported through Tuesday. This was a weekly advance of 11,341 contracts from the previous week which had a total of -178,553 net contracts.

This 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 65.0 percent. The commercials are Bearish with a score of 48.4 percent and the small traders (not shown in chart) are Bearish with a score of 21.1 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.682.18.5
– Percent of Open Interest Shorts:15.770.313.1
– Net Position:-167,212276,819-109,607
– Gross Longs:203,3241,931,851199,734
– Gross Shorts:370,5361,655,032309,341
– Long to Short Ratio:0.5 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):65.048.421.1
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.110.721.1

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week equaled a net position of -31,633 contracts in the data reported through Tuesday. This was a weekly decrease of -38,203 contracts from the previous week which had a total of 6,570 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 72.4 percent. The commercials are Bearish with a score of 28.2 percent and the small traders (not shown in chart) are Bullish with a score of 51.3 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.973.313.4
– Percent of Open Interest Shorts:13.677.27.8
– Net Position:-31,633-69,728101,361
– Gross Longs:214,5371,323,153241,653
– Gross Shorts:246,1701,392,881140,292
– Long to Short Ratio:0.9 to 10.9 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):72.428.251.3
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.220.0-27.9

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week equaled a net position of -268,129 contracts in the data reported through Tuesday. This was a weekly increase of 11,058 contracts from the previous week which had a total of -279,187 net contracts.

This 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 70.6 percent. The commercials are Bearish with a score of 38.5 percent and the small traders (not shown in chart) are Bearish with a score of 32.0 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend.

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.785.18.7
– Percent of Open Interest Shorts:17.773.88.0
– Net Position:-268,129251,70116,428
– Gross Longs:126,5281,897,318194,931
– Gross Shorts:394,6571,645,617178,503
– Long to Short Ratio:0.3 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):70.638.532.0
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.6-0.7-5.3

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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.

All information and opinions on this website and contained in this article are for general informational purposes only and do not constitute investment advice.

Bonds COT Updates Financial News
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