COT Bonds Futures Charts: Speculator bets higher this week

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By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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

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

Bonds market speculator bets mostly rose this week as seven out of the eight bond markets we cover saw higher positioning this week. Most of these markets are deeply bearish (speculator levels and price levels) as bond markets have been declining mightily in this higher interest rate environment this year. This week’s rise in bond speculator bets will likely be short-lived although there have been increasing calls that bond markets may have hit or are approaching a short term bottom.

Overall, the markets with higher speculator bets this week were 2-Year Bond (2,342 contracts), Eurodollar (87,521 contracts), 10-Year Bond (61,565 contracts), Ultra 10-Year (15,302 contracts), Long US Bond (1,942 contracts), Fed Funds (104,415 contracts) and the Ultra US Bond (7,666 contracts).

The only market with declining speculator bets this week was the 5-Year Bond (-6,738 contracts).


Speculator strength standings for each Commodity where strength index is current net position compared to past three years, above 80 is bullish extreme, below 20 is bearish extreme OI Strength = Current Open Interest level compared to last 3 years range Spec Strength = Current Net Speculator level compared to last 3 years range Strength Move = Six week change of Spec Strength


Data Snapshot of Bond Market Traders | Columns Legend
May-10-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
Eurodollar 10,439,124 33 -2,600,587 3 3,030,504 97 -429,917 10
FedFunds 1,750,404 55 49,162 46 -49,266 54 104 60
2-Year 2,264,774 21 -126,829 57 201,609 64 -74,780 17
Long T-Bond 1,207,560 50 15,453 90 -4,991 19 -10,462 44
10-Year 3,722,697 45 -85,972 59 268,376 54 -182,404 36
5-Year 3,813,677 38 -325,674 26 502,383 75 -176,709 32

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT ChartThe 3-Month Eurodollars large speculator standing this week reached a net position of -2,600,587 contracts in the data reported through Tuesday. This was a weekly boost of 87,521 contracts from the previous week which had a total of -2,688,108 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 3.3 percent. The commercials are Bullish-Extreme with a score of 96.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.8 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.4 75.3 4.1
– Percent of Open Interest Shorts: 28.3 46.3 8.2
– Net Position: -2,600,587 3,030,504 -429,917
– Gross Longs: 356,101 7,861,403 422,820
– Gross Shorts: 2,956,688 4,830,899 852,737
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.5 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 3.3 96.6 9.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -3.3 3.2 -0.4

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week reached a net position of 49,162 contracts in the data reported through Tuesday. This was a weekly gain of 104,415 contracts from the previous week which had a total of -55,253 net contracts.

This 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 45.7 percent. The commercials are Bullish with a score of 53.9 percent and the small traders (not shown in chart) are Bullish with a score of 60.0 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.9 75.2 2.3
– Percent of Open Interest Shorts: 3.1 78.0 2.3
– Net Position: 49,162 -49,266 104
– Gross Longs: 103,238 1,316,147 39,627
– Gross Shorts: 54,076 1,365,413 39,523
– Long to Short Ratio: 1.9 to 1 1.0 to 1 1.0 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 45.7 53.9 60.0
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 7.8 -10.3 53.3

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week reached a net position of -126,829 contracts in the data reported through Tuesday. This was a weekly rise of 2,342 contracts from the previous week which had a total of -129,171 net contracts.

This 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 56.7 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.4 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.1 77.3 6.2
– Percent of Open Interest Shorts: 17.7 68.4 9.5
– Net Position: -126,829 201,609 -74,780
– Gross Longs: 275,153 1,751,572 140,782
– Gross Shorts: 401,982 1,549,963 215,562
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 56.7 63.9 17.4
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -13.7 8.7 11.6

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week reached a net position of -325,674 contracts in the data reported through Tuesday. This was a weekly decrease of -6,738 contracts from the previous week which had a total of -318,936 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 26.1 percent. The commercials are Bullish with a score of 74.5 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.6 83.0 7.1
– Percent of Open Interest Shorts: 16.2 69.9 11.8
– Net Position: -325,674 502,383 -176,709
– Gross Longs: 291,527 3,167,247 271,640
– Gross Shorts: 617,201 2,664,864 448,349
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 26.1 74.5 32.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 6.3 -11.7 16.6

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week reached a net position of -85,972 contracts in the data reported through Tuesday. This was a weekly advance of 61,565 contracts from the previous week which had a total of -147,537 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.4 percent. The commercials are Bullish with a score of 53.8 percent and the small traders (not shown in chart) are Bearish with a score of 36.2 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.9 76.5 8.4
– Percent of Open Interest Shorts: 13.2 69.2 13.3
– Net Position: -85,972 268,376 -182,404
– Gross Longs: 406,123 2,846,309 313,590
– Gross Shorts: 492,095 2,577,933 495,994
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 59.4 53.8 36.2
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 59.4 -46.2 -0.3

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week reached a net position of -95,416 contracts in the data reported through Tuesday. This was a weekly increase of 15,302 contracts from the previous week which had a total of -110,718 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 4.0 percent. The commercials are Bullish-Extreme with a score of 93.4 percent and the small traders (not shown in chart) are Bearish with a score of 48.6 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.5 82.9 11.3
– Percent of Open Interest Shorts: 12.2 66.3 20.3
– Net Position: -95,416 207,218 -111,802
– Gross Longs: 56,783 1,034,536 141,487
– Gross Shorts: 152,199 827,318 253,289
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 4.0 93.4 48.6
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -5.7 0.4 12.4

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week reached a net position of 15,453 contracts in the data reported through Tuesday. This was a weekly increase of 1,942 contracts from the previous week which had a total of 13,511 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 89.6 percent. The commercials are Bearish-Extreme with a score of 18.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.9 72.1 13.0
– Percent of Open Interest Shorts: 9.6 72.5 13.8
– Net Position: 15,453 -4,991 -10,462
– Gross Longs: 131,916 870,932 156,698
– Gross Shorts: 116,463 875,923 167,160
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 89.6 18.5 44.3
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -0.2 -0.6 1.9

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week reached a net position of -311,513 contracts in the data reported through Tuesday. This was a weekly advance of 7,666 contracts from the previous week which had a total of -319,179 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 Bullish with a score of 58.1 percent. The commercials are Bullish with a score of 57.2 percent and the small traders (not shown in chart) are Bearish with a score of 43.2 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 3.6 84.6 11.4
– Percent of Open Interest Shorts: 28.2 61.6 9.8
– Net Position: -311,513 290,655 20,858
– Gross Longs: 45,084 1,069,894 144,208
– Gross Shorts: 356,597 779,239 123,350
– Long to Short Ratio: 0.1 to 1 1.4 to 1 1.2 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 58.1 57.2 43.2
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 4.9 0.8 -9.9

 


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

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

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