COT Bonds Futures Charts: Eurodollars, 10-Year, 2-Year, Ultra 10-Year, Fed Funds

April 24, 2021

Fed Funds,  5-Year Treasury Notes,

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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 April 20 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


30-Day Federal Funds Futures:


The 30-Day Federal Funds large speculator standing this week resulted in a net position of -152,892 contracts in the data reported through Tuesday. This was a weekly reduction of -25,767 contracts from the previous week which had a total of -127,125 net contracts.


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This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 9.7 percent. The commercials are Bullish-Extreme with a score of 90.5 percent and the small traders (not shown in chart) are Bullish with a score of 54.4 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.0 70.9 2.1
– Percent of Open Interest Shorts: 22.4 55.6 2.9
– Net Position: -152,892 162,087 -9,195
– Gross Longs: 84,995 752,818 21,868
– Gross Shorts: 237,887 590,731 31,063
– Long to Short Ratio: 0.4 to 1 1.3 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 9.7 90.5 54.4
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -2.5 3.0 -7.5

 


2-Year Treasury Note Futures:


The 2-Year Treasury Note large speculator standing this week resulted in a net position of -237,430 contracts in the data reported through Tuesday. This was a weekly increase of 75,002 contracts from the previous week which had a total of -312,432 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 37.4 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bearish with a score of 47.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.0 75.9 6.1
– Percent of Open Interest Shorts: 27.4 66.4 5.1
– Net Position: -237,430 214,465 22,965
– Gross Longs: 384,259 1,719,518 138,541
– Gross Shorts: 621,689 1,505,053 115,576
– Long to Short Ratio: 0.6 to 1 1.1 to 1 1.2 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 37.4 58.7 47.0
– COT Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 35.4 -29.2 -9.4

 


5-Year Treasury Note Futures:


The 5-Year Treasury Note large speculator standing this week resulted in a net position of -24,249 contracts in the data reported through Tuesday. This was a weekly gain of 59,998 contracts from the previous week which had a total of -84,247 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 87.6 percent. The commercials are Bearish with a score of 22.8 percent and the small traders (not shown in chart) are Bearish with a score of 24.3 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.7 79.1 8.0
– Percent of Open Interest Shorts: 11.4 74.7 11.7
– Net Position: -24,249 146,919 -122,670
– Gross Longs: 358,590 2,652,886 268,363
– Gross Shorts: 382,839 2,505,967 391,033
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 87.6 22.8 24.3
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -1.0 2.1 -5.2

 


10-Year Treasury Note Futures:


The 10-Year Treasury Note large speculator standing this week resulted in a net position of 15,607 contracts in the data reported through Tuesday. This was a weekly gain of 18,259 contracts from the previous week which had a total of -2,652 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 85.0 percent. The commercials are Bearish with a score of 39.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.9 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.3 73.1 7.8
– Percent of Open Interest Shorts: 16.9 67.4 13.9
– Net Position: 15,607 223,746 -239,353
– Gross Longs: 673,632 2,846,970 302,428
– Gross Shorts: 658,025 2,623,224 541,781
– Long to Short Ratio: 1.0 to 1 1.1 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 85.0 39.3 8.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 6.8 -2.6 -9.6

 


Ultra 10-Year Notes Futures:


The Ultra 10-Year Notes large speculator standing this week resulted in a net position of 127,023 contracts in the data reported through Tuesday. This was a weekly reduction of -24,948 contracts from the previous week which had a total of 151,971 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 61.3 percent. The commercials are Bearish with a score of 45.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.5 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.3 71.7 8.2
– Percent of Open Interest Shorts: 10.5 71.5 17.2
– Net Position: 127,023 3,334 -130,357
– Gross Longs: 279,559 1,040,804 119,260
– Gross Shorts: 152,536 1,037,470 249,617
– Long to Short Ratio: 1.8 to 1 1.0 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 61.3 45.2 3.5
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -25.7 28.6 -4.3

 


US Treasury Bonds Futures:


The US Treasury Bonds large speculator standing this week resulted in a net position of -107,584 contracts in the data reported through Tuesday. This was a weekly increase of 10,425 contracts from the previous week which had a total of -118,009 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 54.8 percent. The commercials are Bullish with a score of 71.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.1 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.7 78.0 12.7
– Percent of Open Interest Shorts: 15.8 64.4 17.2
– Net Position: -107,584 161,324 -53,740
– Gross Longs: 79,705 925,044 150,692
– Gross Shorts: 187,289 763,720 204,432
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 54.8 71.5 13.1
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 25.6 -18.3 -10.5

 


Ultra US Treasury Bonds Futures:


The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -267,847 contracts in the data reported through Tuesday. This was a weekly rise of 1 contracts from the previous week which had a total of -267,848 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 65.9 percent. The commercials are Bullish with a score of 60.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.3 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.4 82.4 11.8
– Percent of Open Interest Shorts: 29.0 57.1 13.5
– Net Position: -267,847 287,068 -19,221
– Gross Longs: 61,268 936,102 133,849
– Gross Shorts: 329,115 649,034 153,070
– Long to Short Ratio: 0.2 to 1 1.4 to 1 0.9 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 65.9 60.2 3.3
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -6.1 11.6 -7.6

 


3-Month Eurodollars Futures:


The 3-Month Eurodollars large speculator standing this week resulted in a net position of 387,964 contracts in the data reported through Tuesday. This was a weekly decline of -9,620 contracts from the previous week which had a total of 397,584 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 67.3 percent. The commercials are Bearish with a score of 32.0 percent and the small traders (not shown in chart) are Bullish with a score of 57.3 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.5 49.5 5.2
– Percent of Open Interest Shorts: 17.1 49.8 8.3
– Net Position: 387,964 -37,162 -350,802
– Gross Longs: 2,341,318 5,651,337 595,873
– Gross Shorts: 1,953,354 5,688,499 946,675
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 67.3 32.0 57.3
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.4 5.4 -3.9

 


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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).

Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).