COT Bonds Charts: Ultra Treasury Bonds and 10-Year Bonds lead Speculator Bets
By InvestMacro Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC). The latest COT data is updated through Tuesday November 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets. […]
By InvestMacro
Here are the latest charts and statistics for the Commitment of Traders (COT) reports data published by the Commodities Futures Trading Commission (CFTC).
The latest COT data is updated through Tuesday November 3rd and shows a quick view of how large traders (for-profit speculators and commercial hedgers) were positioned in the futures markets.
Weekly Speculator Bets led by Ultra Treasury Bonds & 10-Year Bonds
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 Ultra Treasury Bonds (21,646 contracts) with the 10-Year Bonds (19,179 contracts), the SOFR 1-Month (14,984 contracts), the US Treasury Bonds (10,041 contracts) and the 2-Year Bonds (6,932 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the Fed Funds (-381,747 contracts), the 5-Year Bonds (-246,314 contracts), the SOFR 3-Months (-89,015 contracts) and with the Ultra 10-Year Bonds (-34,239 contracts) also registering lower bets on the week.
US Treasury Bond leads Bonds Price Performances
In the major US Bond markets this week, the long US Treasury Bond led the price performances with a 0.67% gain over the past five days.
The 10-year note came in next with a 0.42% increase on the week while the 5-year bond was higher by 0.28%. Next up, the 2-year bond saw an edge higher by 0.13% while the 3-month SOFR saw a 0.05% increase.
The Fed funds rate was virtually unchanged on the week and the 1-month SOFR saw a minuscule dip this week by -0.01%.
Bonds Data:
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 SOFR 1-Month & US Treasury Bonds
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the SOFR 1-Month (95 percent) and the US Treasury Bonds (79 percent) lead the bond markets this week. The 2-Year Bonds (78 percent) come in as the next highest in the weekly strength scores.
On the downside, the SOFR 3-Months (11 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 (22 percent) and the Ultra Treasury Bonds (25 percent).
Strength Statistics:
Fed Funds (53.4 percent) vs Fed Funds previous week (100.0 percent)
2-Year Bond (77.9 percent) vs 2-Year Bond previous week (77.1 percent)
5-Year Bond (78.1 percent) vs 5-Year Bond previous week (91.8 percent)
10-Year Bond (21.7 percent) vs 10-Year Bond previous week (19.4 percent)
Ultra 10-Year Bond (71.5 percent) vs Ultra 10-Year Bond previous week (80.5 percent)
US Treasury Bond (78.7 percent) vs US Treasury Bond previous week (74.9 percent)
Ultra US Treasury Bond (25.0 percent) vs Ultra US Treasury Bond previous week (15.6 percent)
SOFR 1-Month (95.4 percent) vs SOFR 1-Month previous week (92.8 percent)
SOFR 3-Months (10.8 percent) vs SOFR 3-Months previous week (13.1 percent)
US Treasury Bonds & SOFR 1-Month top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (55 percent) and the SOFR 1-Month (39 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (19 percent) are the next highest positive movers in the latest trends data.
The 5-Year Bond (-22 percent) leads the downside trend scores currently with the 10-Year Bonds (-18 percent), the 2-Year Bonds (-10 percent) and the Ultra Treasury Bonds (-11 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (3.8 percent) vs Fed Funds previous week (47.7 percent)
2-Year Bond (-10.0 percent) vs 2-Year Bond previous week (-16.2 percent)
5-Year Bond (-21.9 percent) vs 5-Year Bond previous week (-1.8 percent)
10-Year Bond (-18.0 percent) vs 10-Year Bond previous week (-19.2 percent)
Ultra 10-Year Bond (19.1 percent) vs Ultra 10-Year Bond previous week (28.3 percent)
US Treasury Bond (55.0 percent) vs US Treasury Bond previous week (69.0 percent)
Ultra US Treasury Bond (-11.0 percent) vs Ultra US Treasury Bond previous week (-16.7 percent)
SOFR 1-Month (38.8 percent) vs SOFR 1-Month previous week (43.4 percent)
SOFR 3-Months (-1.0 percent) vs SOFR 3-Months previous week (7.8 percent)
30-Day Federal Funds Futures:
Positioning Notes:
- 30-Day Federal Funds large speculator standing this week resulted in a net position of 29,234 contracts in the data reported through Tuesday.
- Weekly Speculator position decrease of -381,747 contracts from the previous week which had a total of 410,981 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 53.4 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 28.9 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.6 | 61.1 | 2.0 |
| – Percent of Open Interest Shorts: | 12.2 | 62.6 | 1.8 |
| – Net Position: | 29,234 | -31,482 | 2,248 |
| – Gross Longs: | 291,629 | 1,312,612 | 41,910 |
| – Gross Shorts: | 262,395 | 1,344,094 | 39,662 |
| – Long to Short Ratio: | 1.1 to 1 | 1.0 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 53.4 | 47.6 | 28.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.8 | -2.3 | -13.6 |
Secured Overnight Financing Rate (3-Month) Futures:
Positioning Notes:
- Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -2,683,811 contracts in the data reported through Tuesday.
- Weekly Speculator position reduction of -89,015 contracts from the previous week which had a total of -2,594,796 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 10.8 percent.
- The Commercials are Bullish-Extreme with a score of 89.2 percent.
- The Small Traders (not shown in chart) are Bullish with a score of 57.2 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| SOFR 3-Months Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.4 | 68.6 | 0.4 |
| – Percent of Open Interest Shorts: | 31.9 | 48.1 | 0.4 |
| – Net Position: | -2,683,811 | 2,684,629 | -818 |
| – Gross Longs: | 1,488,031 | 8,968,108 | 50,935 |
| – Gross Shorts: | 4,171,842 | 6,283,479 | 51,753 |
| – Long to Short Ratio: | 0.4 to 1 | 1.4 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 10.8 | 89.2 | 57.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.0 | 1.1 | -3.7 |
Secured Overnight Financing Rate (1-Month) Futures:
Positioning Notes:
- Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of 101,373 contracts in the data reported through Tuesday.
- Weekly Speculator position increase of 14,984 contracts from the previous week which had a total of 86,389 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 95.4 percent.
- The Commercials are Bearish-Extreme with a score of 4.8 percent.
- The Small Traders (not shown in chart) are Bullish with a score of 66.3 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 23.9 | 54.7 | 0.0 |
| – Percent of Open Interest Shorts: | 15.9 | 62.7 | 0.1 |
| – Net Position: | 101,373 | -101,095 | -278 |
| – Gross Longs: | 303,486 | 693,980 | 433 |
| – Gross Shorts: | 202,113 | 795,075 | 711 |
| – Long to Short Ratio: | 1.5 to 1 | 0.9 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 95.4 | 4.8 | 66.3 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 38.8 | -38.7 | -0.3 |
2-Year Treasury Note Futures:
Positioning Notes:
- 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,002,544 contracts in the data reported through Tuesday.
- Weekly Speculator position lift of 6,932 contracts from the previous week which had a total of -1,009,476 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 77.9 percent.
- The Commercials are Bearish with a score of 23.3 percent.
- The Small Traders (not shown in chart) are Bearish-Extreme with a score of 18.1 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.7 | 77.5 | 4.7 |
| – Percent of Open Interest Shorts: | 37.2 | 55.9 | 3.8 |
| – Net Position: | -1,002,544 | 963,912 | 38,632 |
| – Gross Longs: | 657,036 | 3,461,067 | 208,075 |
| – Gross Shorts: | 1,659,580 | 2,497,155 | 169,443 |
| – Long to Short Ratio: | 0.4 to 1 | 1.4 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 77.9 | 23.3 | 18.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.0 | 11.2 | -2.8 |
5-Year Treasury Note Futures:
Positioning Notes:
- 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,275,370 contracts in the data reported through Tuesday.
- Weekly Speculator position reduction of -246,314 contracts from the previous week which had a total of -1,029,056 net contracts.
- This week’s current strength score (range over the past 3 years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 78.1 percent.
- The Commercials are Bearish with a score of 24.4 percent.
- The Small Traders (not shown in chart) are Bearish with a score of 22.9 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.6 | 82.4 | 6.1 |
| – Percent of Open Interest Shorts: | 28.6 | 63.9 | 5.6 |
| – Net Position: | -1,275,370 | 1,242,885 | 32,485 |
| – Gross Longs: | 647,628 | 5,535,334 | 412,097 |
| – Gross Shorts: | 1,922,998 | 4,292,449 | 379,612 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 78.1 | 24.4 | 22.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -21.9 | 24.4 | -2.9 |
10-Year Treasury Note Futures:
Positioning Notes:
- 10-Year Treasury Note large speculator standing this week resulted in a net position of -962,359 contracts in the data reported through Tuesday.
- Weekly Speculator position gain of 19,179 contracts from the previous week which had a total of -981,538 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 90.5 percent.
- The Small Traders (not shown in chart) are Bearish-Extreme with a score of 18.8 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.0 | 78.8 | 7.0 |
| – Percent of Open Interest Shorts: | 28.2 | 63.2 | 6.4 |
| – Net Position: | -962,359 | 927,242 | 35,117 |
| – Gross Longs: | 713,247 | 4,686,271 | 418,251 |
| – Gross Shorts: | 1,675,606 | 3,759,029 | 383,134 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 21.7 | 90.5 | 18.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.0 | 14.1 | 15.6 |
Ultra 10-Year Notes Futures:
Positioning Notes:
- Ultra 10-Year Notes large speculator standing this week resulted in a net position of -136,444 contracts in the data reported through Tuesday.
- Weekly Speculator position lowering of -34,239 contracts from the previous week which had a total of -102,205 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 71.5 percent.
- The Commercials are Bearish with a score of 28.9 percent.
- The Small Traders (not shown in chart) are Bullish with a score of 54.2 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.1 | 80.8 | 8.6 |
| – Percent of Open Interest Shorts: | 14.4 | 72.8 | 11.3 |
| – Net Position: | -136,444 | 203,871 | -67,427 |
| – Gross Longs: | 234,491 | 2,077,291 | 221,958 |
| – Gross Shorts: | 370,935 | 1,873,420 | 289,385 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 71.5 | 28.9 | 54.2 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.1 | -16.5 | -8.5 |
US Treasury Bonds Futures:
Positioning Notes:
- US Treasury Bonds large speculator standing this week resulted in a net position of -9,097 contracts in the data reported through Tuesday.
- Weekly Speculator position advance of 10,041 contracts from the previous week which had a total of -19,138 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 78.7 percent.
- The Commercials are Bearish with a score of 33.9 percent.
- The Small Traders (not shown in chart) are Bearish with a score of 31.0 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.7 | 73.5 | 11.8 |
| – Percent of Open Interest Shorts: | 14.2 | 76.8 | 8.1 |
| – Net Position: | -9,097 | -63,054 | 72,151 |
| – Gross Longs: | 264,241 | 1,419,171 | 228,172 |
| – Gross Shorts: | 273,338 | 1,482,225 | 156,021 |
| – Long to Short Ratio: | 1.0 to 1 | 1.0 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 78.7 | 33.9 | 31.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 55.0 | -44.6 | 4.7 |
Ultra US Treasury Bonds Futures:
Positioning Notes:
- Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -361,932 contracts in the data reported through Tuesday.
- Weekly Speculator position boost of 21,646 contracts from the previous week which had a total of -383,578 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 25.0 percent.
- The Commercials are Bullish with a score of 71.2 percent.
- The Small Traders (not shown in chart) are Bearish with a score of 45.5 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.7 | 84.5 | 8.4 |
| – Percent of Open Interest Shorts: | 20.8 | 70.6 | 7.2 |
| – Net Position: | -361,932 | 332,373 | 29,559 |
| – Gross Longs: | 137,094 | 2,023,558 | 201,377 |
| – Gross Shorts: | 499,026 | 1,691,185 | 171,818 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.0 | 71.2 | 45.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.0 | 5.5 | 11.4 |
Article By InvestMacro – Receive our weekly COT Newsletter
*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.
The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.
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