COT Bonds Futures Charts: Eurodollar, FedFunds, 10-Year, 2-Year, US Treasury Bonds

June 4, 2021

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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 June 01 2021 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.


3-Month Eurodollars Futures:

The 3-Month Eurodollars large speculator standing this week came in at a net position of -445,507 contracts in the data reported through Tuesday. This was a weekly fall of -108,100 contracts from the previous week which had a total of -337,407 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 with a score of 49.1 percent. The commercials are Bearish with a score of 46.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.1 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.6 50.7 5.2
– Percent of Open Interest Shorts: 23.9 46.1 6.5
– Net Position: -445,507 619,608 -174,101
– Gross Longs: 2,761,407 6,800,787 691,108
– Gross Shorts: 3,206,914 6,181,179 865,209
– Long to Short Ratio: 0.9 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 49.1 46.2 80.1
– COT Index Reading (3 Year Range): Bearish Bearish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -14.2 10.3 22.8

 


30-Day Federal Funds Futures:

The 30-Day Federal Funds large speculator standing this week came in at a net position of -297,178 contracts in the data reported through Tuesday. This was a weekly lowering of -49,219 contracts from the previous week which had a total of -247,959 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.0 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 2.1 79.0 1.8
– Percent of Open Interest Shorts: 31.6 48.3 3.0
– Net Position: -297,178 309,334 -12,156
– Gross Longs: 21,501 796,543 18,208
– Gross Shorts: 318,679 487,209 30,364
– Long to Short Ratio: 0.1 to 1 1.6 to 1 0.6 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 0.0 100.0 49.0
– COT Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -18.4 18.3 -5.4

 


2-Year Treasury Note Futures:

The 2-Year Treasury Note large speculator standing this week came in at a net position of -83,061 contracts in the data reported through Tuesday. This was a weekly boost of 58,816 contracts from the previous week which had a total of -141,877 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 75.8 percent. The commercials are Bearish with a score of 25.9 percent and the small traders (not shown in chart) are Bullish with a score of 55.4 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 23.5 67.5 6.9
– Percent of Open Interest Shorts: 27.2 65.5 5.2
– Net Position: -83,061 44,148 38,913
– Gross Longs: 530,011 1,522,220 156,707
– Gross Shorts: 613,072 1,478,072 117,794
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.3 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 75.8 25.9 55.4
– COT Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 35.0 -32.8 8.4

 


5-Year Treasury Note Futures:

The 5-Year Treasury Note large speculator standing this week came in at a net position of -122,702 contracts in the data reported through Tuesday. This was a weekly lowering of -6,987 contracts from the previous week which had a total of -115,715 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 77.4 percent. The commercials are Bearish with a score of 28.3 percent and the small traders (not shown in chart) are Bearish with a score of 31.3 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 12.1 77.3 8.7
– Percent of Open Interest Shorts: 15.6 71.4 11.1
– Net Position: -122,702 209,541 -86,839
– Gross Longs: 422,839 2,707,722 303,216
– Gross Shorts: 545,541 2,498,181 390,055
– Long to Short Ratio: 0.8 to 1 1.1 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 77.4 28.3 31.3
– COT Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -10.2 5.6 15.7

 


10-Year Treasury Note Futures:

The 10-Year Treasury Note large speculator standing this week came in at a net position of 54,844 contracts in the data reported through Tuesday. This was a weekly fall of -49,554 contracts from the previous week which had a total of 104,398 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 89.3 percent. The commercials are Bearish with a score of 38.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 3.9 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.2 69.5 7.3
– Percent of Open Interest Shorts: 20.0 64.7 13.3
– Net Position: 54,844 210,157 -265,001
– Gross Longs: 928,118 3,042,242 318,455
– Gross Shorts: 873,274 2,832,085 583,456
– Long to Short Ratio: 1.1 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 89.3 38.0 3.9
– COT Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.3 -1.3 -6.9

 


Ultra 10-Year Notes Futures:

The Ultra 10-Year Notes large speculator standing this week came in at a net position of 172,621 contracts in the data reported through Tuesday. This was a weekly lift of 1,299 contracts from the previous week which had a total of 171,322 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 73.3 percent. The commercials are Bearish with a score of 39.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.7 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.3 68.7 7.2
– Percent of Open Interest Shorts: 9.9 69.8 16.5
– Net Position: 172,621 -18,004 -154,617
– Gross Longs: 336,069 1,140,281 119,944
– Gross Shorts: 163,448 1,158,285 274,561
– Long to Short Ratio: 2.1 to 1 1.0 to 1 0.4 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 73.3 39.2 0.7
– COT Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.0 -6.0 -18.6

 


US Treasury Bonds Futures:

The US Treasury Bonds large speculator standing this week came in at a net position of -93,767 contracts in the data reported through Tuesday. This was a weekly boost of 25,586 contracts from the previous week which had a total of -119,353 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 59.7 percent. The commercials are Bullish with a score of 67.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.0 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.3 76.0 12.9
– Percent of Open Interest Shorts: 16.2 63.4 17.7
– Net Position: -93,767 149,914 -56,147
– Gross Longs: 99,179 906,672 154,418
– Gross Shorts: 192,946 756,758 210,565
– Long to Short Ratio: 0.5 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 59.7 67.9 8.0
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 5.0 -3.6 -1.9

 


Ultra US Treasury Bonds Futures:

The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -258,231 contracts in the data reported through Tuesday. This was a weekly fall of -8,597 contracts from the previous week which had a total of -249,634 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 73.0 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 1.7 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.2 81.5 10.9
– Percent of Open Interest Shorts: 27.9 56.7 14.1
– Net Position: -258,231 295,258 -37,027
– Gross Longs: 73,428 968,999 130,064
– Gross Shorts: 331,659 673,741 167,091
– Long to Short Ratio: 0.2 to 1 1.4 to 1 0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct): 73.0 63.7 1.7
– COT Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 3.6 3.6 -12.8

 


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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).