Archive for Bonds – Page 2

17 Dec

COT Bonds Charts: Speculator Bets led higher by SOFR 3-Months & 2-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 December 12th 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

The COT bond market speculator bets were higher this week as five out of the eight 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 (206,446 contracts) with the 2-Year Bonds (116,542 contracts), the 5-Year Bonds (89,307 contracts), the 10-Year Bonds (79,525 contracts) and the Ultra Treasury Bonds (23,682 contracts) recording strong positive weeks.

The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-8,621 contracts), the US Treasury Bonds (-6,180 contracts) and the Fed Funds (-6,043 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Dec-12-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months11,214,870100718,226100-715,0810-3,14586
FedFunds1,493,91545-159,19735172,72366-13,52664
2-Year3,950,41789-1,359,47471,223,11392136,36196
Long T-Bond1,308,16462-136,25936100,5754935,68474
10-Year4,475,71673-556,93128520,6846836,24781
5-Year5,737,03485-1,340,12081,206,87191133,24996

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (100 percent) and the Ultra Treasury Bonds (66 percent) lead the bond markets this week.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (7 percent) and the 5-Year Bonds (8 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (34.5 percent) vs Fed Funds previous week (35.8 percent)
2-Year Bond (7.5 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (8.2 percent) vs 5-Year Bond previous week (2.5 percent)
10-Year Bond (28.4 percent) vs 10-Year Bond previous week (20.7 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.6 percent)
US Treasury Bond (36.0 percent) vs US Treasury Bond previous week (38.2 percent)
Ultra US Treasury Bond (66.0 percent) vs Ultra US Treasury Bond previous week (56.5 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (89.0 percent)

 

SOFR 3-Months & Ultra Treasury 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 SOFR 3-Months (25 percent) and the Ultra Treasury Bonds (18 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (7 percent) and the  are the next highest positive movers in the latest trends data.

The 5-Year Bonds (-10 percent) and the Ultra 10-Year Bonds (-4 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (4.0 percent) vs Fed Funds previous week (11.3 percent)
2-Year Bond (4.9 percent) vs 2-Year Bond previous week (-3.3 percent)
5-Year Bond (-9.5 percent) vs 5-Year Bond previous week (-26.9 percent)
10-Year Bond (6.9 percent) vs 10-Year Bond previous week (-7.1 percent)
Ultra 10-Year Bond (-4.4 percent) vs Ultra 10-Year Bond previous week (-3.3 percent)
US Treasury Bond (6.7 percent) vs US Treasury Bond previous week (2.1 percent)
Ultra US Treasury Bond (17.6 percent) vs Ultra US Treasury Bond previous week (18.9 percent)
SOFR 3-Months (25.1 percent) vs SOFR 3-Months previous week (12.1 percent)

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 came in at a net position of 718,226 contracts in the data reported through Tuesday. This was a weekly increase of 206,446 contracts from the previous week which had a total of 511,780 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.1 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.852.90.2
– Percent of Open Interest Shorts:14.459.20.3
– Net Position:718,226-715,081-3,145
– Gross Longs:2,328,1645,929,21126,487
– Gross Shorts:1,609,9386,644,29229,632
– Long to Short Ratio:1.4 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.086.1
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.1-25.0-1.7

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -159,197 contracts in the data reported through Tuesday. This was a weekly decrease of -6,043 contracts from the previous week which had a total of -153,154 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 34.5 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bullish with a score of 64.5 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.775.92.0
– Percent of Open Interest Shorts:19.464.32.9
– Net Position:-159,197172,723-13,526
– Gross Longs:129,9341,133,26530,437
– Gross Shorts:289,131960,54243,963
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):34.566.464.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.0-6.220.4

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,359,474 contracts in the data reported through Tuesday. This was a weekly boost of 116,542 contracts from the previous week which had a total of -1,476,016 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 7.5 percent. The commercials are Bullish-Extreme with a score of 91.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.8 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.381.66.6
– Percent of Open Interest Shorts:44.750.63.2
– Net Position:-1,359,4741,223,113136,361
– Gross Longs:405,7993,222,184261,377
– Gross Shorts:1,765,2731,999,071125,016
– Long to Short Ratio:0.2 to 11.6 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):7.591.995.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.9-6.44.9

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,340,120 contracts in the data reported through Tuesday. This was a weekly lift of 89,307 contracts from the previous week which had a total of -1,429,427 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 8.2 percent. The commercials are Bullish-Extreme with a score of 90.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.9 percent.

Price Trend-Following Model: Strong Uptrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.083.57.5
– Percent of Open Interest Shorts:31.462.55.1
– Net Position:-1,340,1201,206,871133,249
– Gross Longs:460,2114,790,468427,616
– Gross Shorts:1,800,3313,583,597294,367
– Long to Short Ratio:0.3 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.290.695.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-9.57.011.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -556,931 contracts in the data reported through Tuesday. This was a weekly increase of 79,525 contracts from the previous week which had a total of -636,456 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 28.4 percent. The commercials are Bullish with a score of 68.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.4 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.578.28.8
– Percent of Open Interest Shorts:23.966.68.0
– Net Position:-556,931520,68436,247
– Gross Longs:513,9763,501,136392,754
– Gross Shorts:1,070,9072,980,452356,507
– Long to Short Ratio:0.5 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):28.468.081.4
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.9-1.4-12.9

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -276,476 contracts in the data reported through Tuesday. This was a weekly decline of -8,621 contracts from the previous week which had a total of -267,855 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 Bullish with a score of 74.8 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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:10.878.410.2
– Percent of Open Interest Shorts:24.861.113.6
– Net Position:-276,476342,405-65,929
– Gross Longs:214,0451,553,719203,035
– Gross Shorts:490,5211,211,314268,964
– Long to Short Ratio:0.4 to 11.3 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.074.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.411.8-20.7

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -136,259 contracts in the data reported through Tuesday. This was a weekly reduction of -6,180 contracts from the previous week which had a total of -130,079 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 36.0 percent. The commercials are Bearish with a score of 48.5 percent and the small traders (not shown in chart) are Bullish with a score of 74.4 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.376.214.1
– Percent of Open Interest Shorts:19.768.511.4
– Net Position:-136,259100,57535,684
– Gross Longs:121,982996,728184,452
– Gross Shorts:258,241896,153148,768
– Long to Short Ratio:0.5 to 11.1 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.048.574.4
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.7-0.2-13.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -292,980 contracts in the data reported through Tuesday. This was a weekly gain of 23,682 contracts from the previous week which had a total of -316,662 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 66.0 percent. The commercials are Bearish with a score of 32.3 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.381.710.7
– Percent of Open Interest Shorts:25.964.09.8
– Net Position:-292,980278,28614,694
– Gross Longs:115,5771,290,226169,381
– Gross Shorts:408,5571,011,940154,687
– Long to Short Ratio:0.3 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):66.032.351.0
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.6-14.5-13.9

 

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
10 Dec

COT Bonds Charts: Speculators bets led Fed Funds & 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 December 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 Fed Funds & 10-Year Bonds

The COT bond market speculator bets were lower this week as three out of the eight 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 Fed Funds (50,336 contracts) with the 10-Year Bonds (48,898 contracts) and the Ultra Treasury Bonds (12,603 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the 5-Year Bonds (-30,927 contracts), the 2-Year Bonds (-187,185 contracts), the US Treasury Bonds (-27,903 contracts), the SOFR 3-Months (-15,457 contracts) and the Ultra 10-Year Bonds (-9,960 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Dec-05-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,972,383100511,78099-508,6911-3,08986
FedFunds1,482,07244-153,15436165,09765-11,94368
2-Year4,111,53496-1,476,01601,334,625100141,39198
Long T-Bond1,299,43159-130,0793882,8524247,22783
10-Year4,536,41877-636,45621584,1147652,34285
5-Year5,775,24987-1,429,42731,292,57997136,84897

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (99 percent) and the Ultra Treasury Bonds (56 percent) were leading the bond markets this week.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the 5-Year Bonds (3 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (35.8 percent) vs Fed Funds previous week (25.1 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (12.0 percent)
5-Year Bond (2.5 percent) vs 5-Year Bond previous week (4.5 percent)
10-Year Bond (20.7 percent) vs 10-Year Bond previous week (16.0 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (1.8 percent)
US Treasury Bond (38.2 percent) vs US Treasury Bond previous week (47.9 percent)
Ultra US Treasury Bond (56.5 percent) vs Ultra US Treasury Bond previous week (51.4 percent)
SOFR 3-Months (99.1 percent) vs SOFR 3-Months previous week (100.0 percent)

 

Ultra Treasury Bonds & SOFR 3-Months 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 Treasury Bonds (19 percent) and the SOFR 3-Months (13 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-27 percent) and the 10-Year Bonds (-7 percent) lead the downside trend scores currently with the Ultra 10-Year Bonds (-3 percent) and the 2-Year Bonds (-3 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (11.3 percent) vs Fed Funds previous week (19.7 percent)
2-Year Bond (-3.3 percent) vs 2-Year Bond previous week (4.2 percent)
5-Year Bond (-26.9 percent) vs 5-Year Bond previous week (-17.1 percent)
10-Year Bond (-7.1 percent) vs 10-Year Bond previous week (2.5 percent)
Ultra 10-Year Bond (-3.3 percent) vs Ultra 10-Year Bond previous week (-3.1 percent)
US Treasury Bond (2.1 percent) vs US Treasury Bond previous week (28.0 percent)
Ultra US Treasury Bond (18.9 percent) vs Ultra US Treasury Bond previous week (13.0 percent)
SOFR 3-Months (13.5 percent) vs SOFR 3-Months previous week (18.1 percent)

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 came in at a net position of 511,780 contracts in the data reported through Tuesday. This was a weekly lowering of -15,457 contracts from the previous week which had a total of 527,237 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 99.1 percent. The commercials are Bearish-Extreme with a score of 1.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.2 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.253.70.7
– Percent of Open Interest Shorts:15.558.30.8
– Net Position:511,780-508,691-3,089
– Gross Longs:2,213,0855,890,36079,464
– Gross Shorts:1,701,3056,399,05182,553
– Long to Short Ratio:1.3 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):99.11.086.2
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.5-13.3-1.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -153,154 contracts in the data reported through Tuesday. This was a weekly increase of 50,336 contracts from the previous week which had a total of -203,490 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 35.8 percent. The commercials are Bullish with a score of 64.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.474.52.0
– Percent of Open Interest Shorts:19.763.42.8
– Net Position:-153,154165,097-11,943
– Gross Longs:138,7691,104,26030,097
– Gross Shorts:291,923939,16342,040
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.864.867.6
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.3-13.218.0

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,476,016 contracts in the data reported through Tuesday. This was a weekly reduction of -187,185 contracts from the previous week which had a total of -1,288,831 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 Bullish-Extreme with a score of 97.7 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.682.46.6
– Percent of Open Interest Shorts:45.549.93.1
– Net Position:-1,476,0161,334,625141,391
– Gross Longs:392,7293,387,065269,898
– Gross Shorts:1,868,7452,052,440128,507
– Long to Short Ratio:0.2 to 11.7 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.097.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.32.75.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,429,427 contracts in the data reported through Tuesday. This was a weekly reduction of -30,927 contracts from the previous week which had a total of -1,398,500 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 2.5 percent. The commercials are Bullish-Extreme with a score of 96.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.284.27.6
– Percent of Open Interest Shorts:31.961.85.2
– Net Position:-1,429,4271,292,579136,848
– Gross Longs:413,0244,864,463438,764
– Gross Shorts:1,842,4513,571,884301,916
– Long to Short Ratio:0.2 to 11.4 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):2.596.996.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-26.925.416.7

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -636,456 contracts in the data reported through Tuesday. This was a weekly gain of 48,898 contracts from the previous week which had a total of -685,354 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 20.7 percent. The commercials are Bullish with a score of 76.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.678.39.2
– Percent of Open Interest Shorts:24.765.48.0
– Net Position:-636,456584,11452,342
– Gross Longs:482,5553,552,088415,343
– Gross Shorts:1,119,0112,967,974363,001
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):20.776.284.9
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.115.0-9.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -267,855 contracts in the data reported through Tuesday. This was a weekly reduction of -9,960 contracts from the previous week which had a total of -257,895 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 Bullish with a score of 72.3 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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:10.578.89.9
– Percent of Open Interest Shorts:24.061.813.4
– Net Position:-267,855338,116-70,261
– Gross Longs:209,3381,569,511196,892
– Gross Shorts:477,1931,231,395267,153
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.072.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.36.9-9.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -130,079 contracts in the data reported through Tuesday. This was a weekly reduction of -27,903 contracts from the previous week which had a total of -102,176 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 38.2 percent. The commercials are Bearish with a score of 41.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.676.114.8
– Percent of Open Interest Shorts:18.669.711.1
– Net Position:-130,07982,85247,227
– Gross Longs:111,684989,196192,050
– Gross Shorts:241,763906,344144,823
– Long to Short Ratio:0.5 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.241.982.8
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.1-3.52.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -316,662 contracts in the data reported through Tuesday. This was a weekly increase of 12,603 contracts from the previous week which had a total of -329,265 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 56.5 percent. The commercials are Bearish with a score of 40.1 percent and the small traders (not shown in chart) are Bullish with a score of 58.8 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.382.311.0
– Percent of Open Interest Shorts:26.363.89.6
– Net Position:-316,662293,77022,892
– Gross Longs:99,0891,304,089174,300
– Gross Shorts:415,7511,010,319151,408
– Long to Short Ratio:0.2 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):56.540.158.8
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.9-22.7-1.7

 

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
02 Dec

COT Bonds Charts: Speculators boosted their 2-Year and 5-Year Bonds 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 28th 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

The COT bond market speculator bets were lower this week as three out of the eight bond markets we cover had higher positioning while the other five markets saw lower speculator contracts.

Leading the gains for the bond markets was the 2-Year Bonds (96,571 contracts) with the 5-Year Bonds (70,133 contracts) and the SOFR 3-Months (27,337 contracts) also having positive weeks.

The bond markets with declines for the week were the Fed Funds (-54,208 contracts), the 10-Year Bonds (-27,196 contracts), the Ultra 10-Year Bonds (-23,489 contracts), the Ultra Treasury Bonds (-6,522 contracts) and the US Treasury Bonds (-2,193 contracts).

Data Snapshot of Bond Market Traders | Columns Legend
Nov-28-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,837,439100527,237100-525,3060-1,93187
FedFunds1,917,67782-203,49025220,16777-16,67758
2-Year4,080,41595-1,288,831111,141,44087147,391100
Long T-Bond1,308,13562-102,1764851,5733050,60385
10-Year4,775,11390-685,35416632,9248252,43085
5-Year6,081,13097-1,398,50041,250,88194147,61999

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (100 percent) leads the bond markets this week. The Ultra Treasury Bonds (51 percent) and the US Treasury Bonds (48 percent) come in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (1 percent), the 5-Year Bonds (4 percent), the 2-Year Bonds (11 percent) and the 10-Year Bonds (16 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (25.1 percent) vs Fed Funds previous week (36.7 percent)
2-Year Bond (10.7 percent) vs 2-Year Bond previous week (4.4 percent)
5-Year Bond (4.5 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (16.0 percent) vs 10-Year Bond previous week (18.6 percent)
Ultra 10-Year Bond (1.4 percent) vs Ultra 10-Year Bond previous week (5.8 percent)
US Treasury Bond (47.9 percent) vs US Treasury Bond previous week (48.7 percent)
Ultra US Treasury Bond (51.4 percent) vs Ultra US Treasury Bond previous week (54.0 percent)
SOFR 3-Months (100.0 percent) vs SOFR 3-Months previous week (98.4 percent)

 

US Treasury Bonds & Fed Funds 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 (28 percent) and the Fed Funds (20 percent) lead the past six weeks trends for bonds. The SOFR 3-Months (18 percent) and the are the next highest positive movers in the latest trends data.

The 5-Year Bonds (-17 percent) and the Ultra 10-Year Bonds (-3 percent) leads the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (19.7 percent) vs Fed Funds previous week (19.7 percent)
2-Year Bond (4.3 percent) vs 2-Year Bond previous week (-4.7 percent)
5-Year Bond (-17.1 percent) vs 5-Year Bond previous week (-23.4 percent)
10-Year Bond (2.5 percent) vs 10-Year Bond previous week (5.3 percent)
Ultra 10-Year Bond (-3.1 percent) vs Ultra 10-Year Bond previous week (3.6 percent)
US Treasury Bond (28.0 percent) vs US Treasury Bond previous week (37.1 percent)
Ultra US Treasury Bond (13.0 percent) vs Ultra US Treasury Bond previous week (17.6 percent)
SOFR 3-Months (18.1 percent) vs SOFR 3-Months previous week (13.1 percent)

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 came in at a net position of 527,237 contracts in the data reported through Tuesday. This was a weekly lift of 27,337 contracts from the previous week which had a total of 499,900 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.8 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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.553.90.3
– Percent of Open Interest Shorts:15.658.80.3
– Net Position:527,237-525,306-1,931
– Gross Longs:2,221,1155,844,32731,767
– Gross Shorts:1,693,8786,369,63333,698
– Long to Short Ratio:1.3 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):100.00.086.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.1-18.87.1

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week came in at a net position of -203,490 contracts in the data reported through Tuesday. This was a weekly decrease of -54,208 contracts from the previous week which had a total of -149,282 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 25.1 percent. The commercials are Bullish with a score of 76.5 percent and the small traders (not shown in chart) are Bullish with a score of 58.3 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.676.61.6
– Percent of Open Interest Shorts:18.365.12.4
– Net Position:-203,490220,167-16,677
– Gross Longs:146,6211,468,99130,251
– Gross Shorts:350,1111,248,82446,928
– Long to Short Ratio:0.4 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):25.176.558.3
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:19.7-20.912.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week came in at a net position of -1,288,831 contracts in the data reported through Tuesday. This was a weekly gain of 96,571 contracts from the previous week which had a total of -1,385,402 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 10.7 percent. The commercials are Bullish-Extreme with a score of 86.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.680.96.9
– Percent of Open Interest Shorts:42.253.03.2
– Net Position:-1,288,8311,141,440147,391
– Gross Longs:432,1343,303,026279,784
– Gross Shorts:1,720,9652,161,586132,393
– Long to Short Ratio:0.3 to 11.5 to 12.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):10.786.5100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:4.3-6.58.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week came in at a net position of -1,398,500 contracts in the data reported through Tuesday. This was a weekly lift of 70,133 contracts from the previous week which had a total of -1,468,633 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 4.5 percent. The commercials are Bullish-Extreme with a score of 93.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.2 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.582.17.3
– Percent of Open Interest Shorts:30.561.64.9
– Net Position:-1,398,5001,250,881147,619
– Gross Longs:458,9794,994,986446,125
– Gross Shorts:1,857,4793,744,105298,506
– Long to Short Ratio:0.2 to 11.3 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.593.999.2
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.113.718.2

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week came in at a net position of -685,354 contracts in the data reported through Tuesday. This was a weekly decline of -27,196 contracts from the previous week which had a total of -658,158 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 16.0 percent. The commercials are Bullish-Extreme with a score of 82.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Weak Downtrend (Possible Trend Change)

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.777.59.0
– Percent of Open Interest Shorts:25.164.27.9
– Net Position:-685,354632,92452,430
– Gross Longs:510,9933,700,892431,609
– Gross Shorts:1,196,3473,067,968379,179
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.082.484.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:2.52.4-9.6

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week came in at a net position of -257,895 contracts in the data reported through Tuesday. This was a weekly decline of -23,489 contracts from the previous week which had a total of -234,406 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 1.4 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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:9.978.410.2
– Percent of Open Interest Shorts:22.662.313.6
– Net Position:-257,895327,143-69,248
– Gross Longs:200,1481,587,632206,483
– Gross Shorts:458,0431,260,489275,731
– Long to Short Ratio:0.4 to 11.3 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):1.4100.072.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.111.1-22.0

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week came in at a net position of -102,176 contracts in the data reported through Tuesday. This was a weekly reduction of -2,193 contracts from the previous week which had a total of -99,983 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 47.9 percent. The commercials are Bearish with a score of 30.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.3 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.275.016.1
– Percent of Open Interest Shorts:16.171.012.2
– Net Position:-102,17651,57350,603
– Gross Longs:107,866980,494210,065
– Gross Shorts:210,042928,921159,462
– Long to Short Ratio:0.5 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):47.930.385.3
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:28.0-32.75.5

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week came in at a net position of -329,265 contracts in the data reported through Tuesday. This was a weekly lowering of -6,522 contracts from the previous week which had a total of -322,743 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 51.4 percent. The commercials are Bullish with a score of 53.0 percent and the small traders (not shown in chart) are Bearish with a score of 46.4 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.081.511.0
– Percent of Open Interest Shorts:26.561.510.4
– Net Position:-329,265319,4419,824
– Gross Longs:95,4301,304,297176,634
– Gross Shorts:424,695984,856166,810
– Long to Short Ratio:0.2 to 11.3 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):51.453.046.4
– Strength Index Reading (3 Year Range):BullishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:13.0-2.9-25.0

 

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
29 Nov

Global bonds rally: investors urged to review portfolios

By George Prior

As global bonds soar at the quickest pace since the 2008 financial crisis, investors need to review their investment portfolios to ensure they are on track for risk tolerance and return objectives.

This is the call-to-action warning from Nigel Green, the CEO of one of the world’s largest independent financial advisory, asset management and fintech organizations, as sovereign and corporate debt has hit 4.9% this month, the most since it surged 6.2% in December 2008, according to Bloomberg.

He comments: “This rapid jump is attributed to growing speculation that central banks, led by the US Federal Reserve, have largely concluded their interest rate hiking cycles.

“The expectation of stable or lower interest rates is prompting investors to seek the relative safety and yield offered by bonds.”

For global investors, the soaring bond market presents both challenges and opportunities.

“Those with significant allocations to fixed-income securities are reaping the benefits of capital appreciation as bond prices rise inversely to yields.

“However, the flip side is the potential for diminishing future returns as yields trend lower. Investors must carefully reassess their fixed-income portfolios to ensure they align with their risk tolerance and return objectives in this shifting environment.”

The bond market rally also has implications for equity markets and overall risk appetite.

Nigel Green says: “As interest rates stabilise or decline, the appeal of higher-yielding assets, such as dividend-paying stocks, will rise. Conversely, sectors that traditionally perform well in a rising rate environment, such as financials, could face headwinds.”

Against this backdrop, investors also face the ongoing challenge of the ‘search for yield.’

With traditional safe-haven assets offering lower returns, “there’s legitimate reason to explore riskier investments in pursuit of higher yields,” says the deVere Group CEO.

Two officials from the US central bank, who were consistently calling for higher interest rates to curb inflation last year, indicated on Tuesday that they are now happy to hold interest rates steady. This strengthens expectations that the Fed’s current hiking agenda is finished.

Many experts also believe that central banks in the UK and eurozone, and elsewhere, could also be done with hiking rates for now.

“The current surge in global bonds, reminiscent of the 2008 financial crisis, signals a significant shift in the monetary policy landscape. For investors around the world, this trend requires a careful reassessment of investment strategies across asset classes,” he concludes.

About:

deVere Group is one of the world’s largest independent advisors of specialist global financial solutions to international, local mass affluent, and high-net-worth clients.  It has a network of more than 70 offices across the world, over 80,000 clients and $12bn under advisement.

Bonds Economics & Fundamentals Financial News
18 Nov

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

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 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 Bonds & SOFR 3-Months

The COT bond market speculator bets were mixed this week as four out of the eight 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 2-Year Bonds (65,612 contracts) with the SOFR 3-Months (30,097 contracts), the 5-Year Bonds (7,144 contracts) and the US Treasury Bonds (2,059 contracts) also recording positive weeks.

The bond markets with declines in speculator bets for the week were the Fed Funds (-71,074 contracts), the 10-Year Bonds (-57,267 contracts), the Ultra Treasury Bonds (-396 contracts) and the Ultra 10-Year Bonds (-1,256 contracts) also having lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Nov-14-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,540,40099416,72695-417,79551,06988
FedFunds1,766,82469-150,12136172,71766-22,59647
2-Year4,208,593100-1,388,09441,256,35695131,73898
Long T-Bond1,354,13776-128,7393964,7543463,98595
10-Year4,743,21790-661,76618595,6557966,11188
5-Year6,084,468100-1,416,24001,291,28397124,957100

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (95 percent) and the Ultra Treasury Bonds (53 percent) lead the bond markets this week. The US Treasury Bonds (39 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (0 percent), the 5-Year Bonds (0 percent), the 2-Year Bonds (4 percent) and the 10-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (36.5 percent) vs Fed Funds previous week (51.7 percent)
2-Year Bond (4.3 percent) vs 2-Year Bond previous week (0.0 percent)
5-Year Bond (0.5 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (18.3 percent) vs 10-Year Bond previous week (23.8 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (0.2 percent)
US Treasury Bond (38.6 percent) vs US Treasury Bond previous week (37.9 percent)
Ultra US Treasury Bond (52.8 percent) vs Ultra US Treasury Bond previous week (53.0 percent)
SOFR 3-Months (95.0 percent) vs SOFR 3-Months previous week (93.2 percent)

 

US Treasury Bonds & Fed Funds 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 (39 percent), the Ultra Treasury Bonds (17 percent) and the Fed Funds (17 percent) lead the past six weeks trends for bonds.

The 5-Year Bonds (-21 percent), the 2-Year Bonds (-7 percent) and the Ultra 10-Year Bonds (-4 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (16.9 percent) vs Fed Funds previous week (24.8 percent)
2-Year Bond (-7.1 percent) vs 2-Year Bond previous week (-15.8 percent)
5-Year Bond (-21.3 percent) vs 5-Year Bond previous week (-26.2 percent)
10-Year Bond (7.0 percent) vs 10-Year Bond previous week (12.4 percent)
Ultra 10-Year Bond (-3.8 percent) vs Ultra 10-Year Bond previous week (-12.3 percent)
US Treasury Bond (38.6 percent) vs US Treasury Bond previous week (35.5 percent)
Ultra US Treasury Bond (17.1 percent) vs Ultra US Treasury Bond previous week (19.4 percent)
SOFR 3-Months (7.5 percent) vs SOFR 3-Months previous week (4.2 percent)

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 recorded a net position of 416,726 contracts in the data reported through Tuesday. This was a weekly advance of 30,097 contracts from the previous week which had a total of 386,629 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 95.0 percent. The commercials are Bearish-Extreme with a score of 4.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.5 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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.054.60.3
– Percent of Open Interest Shorts:17.058.50.3
– Net Position:416,726-417,7951,069
– Gross Longs:2,213,6045,752,66735,163
– Gross Shorts:1,796,8786,170,46234,094
– Long to Short Ratio:1.2 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):95.04.588.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.5-7.60.8

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week recorded a net position of -150,121 contracts in the data reported through Tuesday. This was a weekly decrease of -71,074 contracts from the previous week which had a total of -79,047 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 36.5 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bearish with a score of 46.7 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.176.21.9
– Percent of Open Interest Shorts:16.666.43.2
– Net Position:-150,121172,717-22,596
– Gross Longs:142,4111,346,35334,086
– Gross Shorts:292,5321,173,63656,682
– Long to Short Ratio:0.5 to 11.1 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):36.566.446.7
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:16.9-15.3-13.9

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week recorded a net position of -1,388,094 contracts in the data reported through Tuesday. This was a weekly lift of 65,612 contracts from the previous week which had a total of -1,453,706 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 4.3 percent. The commercials are Bullish-Extreme with a score of 94.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.0 percent.

Price Trend-Following Model: Strong Uptrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.481.66.3
– Percent of Open Interest Shorts:43.351.73.1
– Net Position:-1,388,0941,256,356131,738
– Gross Longs:435,8393,432,176264,080
– Gross Shorts:1,823,9332,175,820132,342
– Long to Short Ratio:0.2 to 11.6 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.394.998.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-7.18.4-2.0

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week recorded a net position of -1,416,240 contracts in the data reported through Tuesday. This was a weekly gain of 7,144 contracts from the previous week which had a total of -1,423,384 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 0.5 percent. The commercials are Bullish-Extreme with a score of 96.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Weak Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.483.17.2
– Percent of Open Interest Shorts:30.761.95.1
– Net Position:-1,416,2401,291,283124,957
– Gross Longs:448,8675,057,978436,788
– Gross Shorts:1,865,1073,766,695311,831
– Long to Short Ratio:0.2 to 11.3 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.596.8100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.319.414.0

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week recorded a net position of -661,766 contracts in the data reported through Tuesday. This was a weekly lowering of -57,267 contracts from the previous week which had a total of -604,499 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 18.3 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.9 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.877.79.2
– Percent of Open Interest Shorts:24.865.17.8
– Net Position:-661,766595,65566,111
– Gross Longs:514,1093,684,382435,784
– Gross Shorts:1,175,8753,088,727369,673
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.379.487.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.0-8.60.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week recorded a net position of -265,436 contracts in the data reported through Tuesday. This was a weekly decline of -1,256 contracts from the previous week which had a total of -264,180 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 98.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.1 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:9.678.210.5
– Percent of Open Interest Shorts:22.662.812.8
– Net Position:-265,436314,068-48,632
– Gross Longs:195,4681,597,398213,588
– Gross Shorts:460,9041,283,330262,220
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.098.985.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.85.9-4.6

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week recorded a net position of -128,739 contracts in the data reported through Tuesday. This was a weekly lift of 2,059 contracts from the previous week which had a total of -130,798 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 38.6 percent. The commercials are Bearish with a score of 34.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.0 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.175.315.2
– Percent of Open Interest Shorts:17.670.510.5
– Net Position:-128,73964,75463,985
– Gross Longs:109,7971,019,283206,287
– Gross Shorts:238,536954,529142,302
– Long to Short Ratio:0.5 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):38.634.095.0
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:38.6-52.425.3

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week recorded a net position of -325,761 contracts in the data reported through Tuesday. This was a weekly decrease of -396 contracts from the previous week which had a total of -325,365 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 52.8 percent. The commercials are Bearish with a score of 44.4 percent and the small traders (not shown in chart) are Bullish with a score of 63.5 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.682.410.9
– Percent of Open Interest Shorts:26.263.69.1
– Net Position:-325,761297,85427,907
– Gross Longs:89,0691,306,531172,720
– Gross Shorts:414,8301,008,677144,813
– Long to Short Ratio:0.2 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):52.844.463.5
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.1-17.0-6.8

 

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
05 Nov

COT Bonds Charts: Speculator Bets led by Fed Funds & Ultra Treasury 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 October 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 Fed Funds & Ultra Treasury Bonds

The COT bond market speculator bets were lower this week as just two out of the eight 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 Fed Funds (27,807 contracts) with the Ultra Treasury Bonds (27,106 contracts) also recording a positive week.

The bond markets with declines in speculator bets were the 5-Year Bonds (-182,686 contracts), the 10-Year Bonds (-64,336 contracts), the SOFR 3-Months (-38,841 contracts), the US Treasury Bonds (-19,143 contracts), the 2-Year Bonds (-11,136 contracts) and the Ultra 10-Year Bonds (-2,438 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-31-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,506,35998244,97285-244,90715-6588
FedFunds2,028,29091-178,02731201,94273-23,91544
2-Year4,188,47399-1,435,44801,312,083100123,36595
Long T-Bond1,377,93883-155,38129101,2374754,14488
10-Year4,691,53688-627,69822531,9477395,75194
5-Year5,746,13798-1,191,58951,110,9419280,64891

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (85 percent) leads the bond markets this week and the only market over 50 percent currently.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent) and the 5-Year Bonds (5 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (30.5 percent) vs Fed Funds previous week (24.6 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (0.7 percent)
5-Year Bond (4.8 percent) vs 5-Year Bond previous week (18.3 percent)
10-Year Bond (21.6 percent) vs 10-Year Bond previous week (27.8 percent)
Ultra 10-Year Bond (0.2 percent) vs Ultra 10-Year Bond previous week (0.7 percent)
US Treasury Bond (29.4 percent) vs US Treasury Bond previous week (36.0 percent)
Ultra US Treasury Bond (48.5 percent) vs Ultra US Treasury Bond previous week (37.5 percent)
SOFR 3-Months (84.7 percent) vs SOFR 3-Months previous week (87.1 percent)

 

Ultra Treasury Bonds & US Treasury 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 Treasury Bonds (22 percent) and the US Treasury Bonds (16 percent) lead the past six weeks trends for bonds. The 10-Year Bond (7 percent) and the Fed Funds (7 percent) are the next positive movers in the latest trends data.

The Ultra 10-Year Bonds (-22 percent) and the SOFR 3-Months (-15 percent) lead the downside trend scores currently with the 5-Year Bonds (-14 percent) and the 2-Year Bonds (-13 percent) following next.

Strength Trend Statistics:
Fed Funds (6.9 percent) vs Fed Funds previous week (-4.5 percent)
2-Year Bond (-12.7 percent) vs 2-Year Bond previous week (-12.1 percent)
5-Year Bond (-13.7 percent) vs 5-Year Bond previous week (1.6 percent)
10-Year Bond (7.2 percent) vs 10-Year Bond previous week (17.5 percent)
Ultra 10-Year Bond (-21.9 percent) vs Ultra 10-Year Bond previous week (-19.6 percent)
US Treasury Bond (15.9 percent) vs US Treasury Bond previous week (19.7 percent)
Ultra US Treasury Bond (22.3 percent) vs Ultra US Treasury Bond previous week (5.4 percent)
SOFR 3-Months (-15.3 percent) vs SOFR 3-Months previous week (-2.0 percent)

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 reached a net position of 244,972 contracts in the data reported through Tuesday. This was a weekly decline of -38,841 contracts from the previous week which had a total of 283,813 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 84.7 percent. The commercials are Bearish-Extreme with a score of 14.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.8 percent.

Price Trend-Following Model: Weak Uptrend (Possible Trend Change)

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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.656.60.4
– Percent of Open Interest Shorts:18.358.90.4
– Net Position:244,972-244,907-65
– Gross Longs:2,164,9955,947,33342,010
– Gross Shorts:1,920,0236,192,24042,075
– Long to Short Ratio:1.1 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):84.714.987.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-15.314.93.4

 

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 -178,027 contracts in the data reported through Tuesday. This was a weekly advance of 27,807 contracts from the previous week which had a total of -205,834 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 30.5 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bearish with a score of 44.1 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.876.01.4
– Percent of Open Interest Shorts:16.666.02.6
– Net Position:-178,027201,942-23,915
– Gross Longs:158,8531,540,62028,230
– Gross Shorts:336,8801,338,67852,145
– Long to Short Ratio:0.5 to 11.2 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):30.572.744.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:6.9-7.33.9

 

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 -1,435,448 contracts in the data reported through Tuesday. This was a weekly decline of -11,136 contracts from the previous week which had a total of -1,424,312 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 Bullish-Extreme with a score of 94.7 percent.

Price Trend-Following Model: Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.882.56.4
– Percent of Open Interest Shorts:44.051.13.4
– Net Position:-1,435,4481,312,083123,365
– Gross Longs:408,7623,453,960266,889
– Gross Shorts:1,844,2102,141,877143,524
– Long to Short Ratio:0.2 to 11.6 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.094.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.713.63.5

 

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 -1,191,589 contracts in the data reported through Tuesday. This was a weekly fall of -182,686 contracts from the previous week which had a total of -1,008,903 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 4.8 percent. The commercials are Bullish-Extreme with a score of 92.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.283.47.0
– Percent of Open Interest Shorts:28.964.05.6
– Net Position:-1,191,5891,110,94180,648
– Gross Longs:469,0454,790,920403,102
– Gross Shorts:1,660,6343,679,979322,454
– Long to Short Ratio:0.3 to 11.3 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.892.091.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-13.713.73.6

 

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 -627,698 contracts in the data reported through Tuesday. This was a weekly fall of -64,336 contracts from the previous week which had a total of -563,362 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 21.6 percent. The commercials are Bullish with a score of 72.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.3 percent.

Price Trend-Following Model: Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:12.276.19.8
– Percent of Open Interest Shorts:25.664.77.8
– Net Position:-627,698531,94795,751
– Gross Longs:572,2953,568,418461,152
– Gross Shorts:1,199,9933,036,471365,401
– Long to Short Ratio:0.5 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.672.794.3
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:7.2-14.611.5

 

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 -252,307 contracts in the data reported through Tuesday. This was a weekly lowering of -2,438 contracts from the previous week which had a total of -249,869 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 0.2 percent. The commercials are Bullish-Extreme with a score of 94.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.5 percent.

Price Trend-Following Model: Downtrend

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

Ultra 10-Year Notes StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.877.311.0
– Percent of Open Interest Shorts:22.363.212.6
– Net Position:-252,307283,428-31,121
– Gross Longs:196,6551,555,303222,295
– Gross Shorts:448,9621,271,875253,416
– Long to Short Ratio:0.4 to 11.2 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.294.995.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-21.99.243.3

 

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 -155,381 contracts in the data reported through Tuesday. This was a weekly fall of -19,143 contracts from the previous week which had a total of -136,238 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 29.4 percent. The commercials are Bearish with a score of 47.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.9 percent.

Price Trend-Following Model: Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.376.214.7
– Percent of Open Interest Shorts:18.668.810.7
– Net Position:-155,381101,23754,144
– Gross Longs:100,7841,049,386202,248
– Gross Shorts:256,165948,149148,104
– Long to Short Ratio:0.4 to 11.1 to 11.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.447.187.9
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:15.9-20.17.4

 

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 -336,440 contracts in the data reported through Tuesday. This was a weekly advance of 27,106 contracts from the previous week which had a total of -363,546 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 48.5 percent. The commercials are Bearish with a score of 48.8 percent and the small traders (not shown in chart) are Bullish with a score of 65.0 percent.

Price Trend-Following Model: Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.882.711.3
– Percent of Open Interest Shorts:27.463.09.4
– Net Position:-336,440307,00129,439
– Gross Longs:90,8761,290,048176,509
– Gross Shorts:427,316983,047147,070
– Long to Short Ratio:0.2 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):48.548.865.0
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:22.3-22.0-9.2

 

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
29 Oct

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

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

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 October 24th 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 10-Year & 5-Year Bonds

The COT bond market speculator bets were higher this week as five out of the eight 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 10-Year Bonds (147,378 contracts) with the 5-Year Bonds (122,184 contracts), the Fed Funds (89,836 contracts), the SOFR 3-Months (62,572 contracts) and US Treasury Bonds (46,218 contracts) also having positive weeks.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-69,613 contracts), the Ultra 10-Year Bonds (-8,704 contracts) and the Ultra Treasury Bonds (-2,065 contracts) also seeing lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-24-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months10,262,75696283,81387-284,0651325288
FedFunds2,014,70990-205,83425226,92478-21,09050
2-Year4,207,274100-1,424,31201,297,860100126,45296
Long T-Bond1,366,75880-136,2384092,1234344,11581
10-Year4,626,64984-563,36228467,0016596,36194
5-Year5,571,03991-1,008,90318946,8017962,10287

 

Strength Scores led by SOFR 3-Months & 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 3-Months (87 percent) leads the bond markets this week. The US Treasury Bonds (40 percent) and the Ultra Treasury Bonds (38 percent) come in as the next highest in the strength scores.

On the downside, the 2-Year Bonds (0 percent), the Ultra 10-Year Bonds (1 percent) and the 5-Year Bonds (18 percent) come in at the lowest strength levels currently and are all in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (24.6 percent) vs Fed Funds previous week (5.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (4.6 percent)
5-Year Bond (18.3 percent) vs 5-Year Bond previous week (9.3 percent)
10-Year Bond (27.8 percent) vs 10-Year Bond previous week (13.5 percent)
Ultra 10-Year Bond (0.7 percent) vs Ultra 10-Year Bond previous week (2.3 percent)
US Treasury Bond (39.5 percent) vs US Treasury Bond previous week (24.3 percent)
Ultra US Treasury Bond (37.5 percent) vs Ultra US Treasury Bond previous week (38.4 percent)
SOFR 3-Months (87.1 percent) vs SOFR 3-Months previous week (83.3 percent)

 

US Treasury Bonds & 10-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 US Treasury Bonds (19 percent) and the 10-Year Bonds (18 percent) lead the past six weeks trends for bonds. The Ultra Treasury Bonds (5 percent) and the are the next highest positive movers in the latest trends data.

The Ultra 10-Year Bonds (-20 percent) and the 2-Year Bonds (-12 percent) lead the downside trend scores this week.

Strength Trend Statistics:
Fed Funds (-4.5 percent) vs Fed Funds previous week (-31.8 percent)
2-Year Bond (-12.2 percent) vs 2-Year Bond previous week (-9.0 percent)
5-Year Bond (1.6 percent) vs 5-Year Bond previous week (-5.5 percent)
10-Year Bond (17.5 percent) vs 10-Year Bond previous week (7.8 percent)
Ultra 10-Year Bond (-19.6 percent) vs Ultra 10-Year Bond previous week (-12.2 percent)
US Treasury Bond (18.6 percent) vs US Treasury Bond previous week (5.2 percent)
Ultra US Treasury Bond (5.4 percent) vs Ultra US Treasury Bond previous week (6.8 percent)
SOFR 3-Months (-2.0 percent) vs SOFR 3-Months previous week (-3.1 percent)

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 283,813 contracts in the data reported through Tuesday. This was a weekly lift of 62,572 contracts from the previous week which had a total of 221,241 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 87.1 percent. The commercials are Bearish-Extreme with a score of 12.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.0 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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.456.20.4
– Percent of Open Interest Shorts:17.759.00.4
– Net Position:283,813-284,065252
– Gross Longs:2,097,6455,767,00939,391
– Gross Shorts:1,813,8326,051,07439,139
– Long to Short Ratio:1.2 to 11.0 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):87.112.688.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-2.01.81.8

 

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 -205,834 contracts in the data reported through Tuesday. This was a weekly increase of 89,836 contracts from the previous week which had a total of -295,670 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 24.6 percent. The commercials are Bullish with a score of 78.0 percent and the small traders (not shown in chart) are Bearish with a score of 49.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.074.81.7
– Percent of Open Interest Shorts:18.263.52.7
– Net Position:-205,834226,924-21,090
– Gross Longs:160,6151,506,97133,662
– Gross Shorts:366,4491,280,04754,752
– Long to Short Ratio:0.4 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):24.678.049.6
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-4.56.8-21.6

 

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 -1,424,312 contracts in the data reported through Tuesday. This was a weekly lowering of -69,613 contracts from the previous week which had a total of -1,354,699 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 Bullish-Extreme with a score of 95.9 percent.

Price Trend-Following Model: Weak Downtrend

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

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.282.16.3
– Percent of Open Interest Shorts:44.151.23.3
– Net Position:-1,424,3121,297,860126,452
– Gross Longs:429,9783,452,942267,147
– Gross Shorts:1,854,2902,155,082140,695
– Long to Short Ratio:0.2 to 11.6 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.095.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.212.66.1

 

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 -1,008,903 contracts in the data reported through Tuesday. This was a weekly rise of 122,184 contracts from the previous week which had a total of -1,131,087 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 18.3 percent. The commercials are Bullish with a score of 78.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

Price Trend-Following Model: Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.482.07.1
– Percent of Open Interest Shorts:27.565.06.0
– Net Position:-1,008,903946,80162,102
– Gross Longs:524,7374,567,066395,064
– Gross Shorts:1,533,6403,620,265332,962
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):18.378.886.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.6-0.6-3.5

 

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 -563,362 contracts in the data reported through Tuesday. This was a weekly lift of 147,378 contracts from the previous week which had a total of -710,740 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 27.8 percent. The commercials are Bullish with a score of 65.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.5 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.777.09.5
– Percent of Open Interest Shorts:23.966.97.4
– Net Position:-563,362467,00196,361
– Gross Longs:542,3243,562,693438,802
– Gross Shorts:1,105,6863,095,692342,441
– Long to Short Ratio:0.5 to 11.2 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):27.865.394.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:17.5-29.015.7

 

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 -249,869 contracts in the data reported through Tuesday. This was a weekly reduction of -8,704 contracts from the previous week which had a total of -241,165 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 0.7 percent. The commercials are Bullish-Extreme with a score of 99.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.8 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:9.977.410.8
– Percent of Open Interest Shorts:22.662.013.5
– Net Position:-249,869304,036-54,167
– Gross Longs:194,3921,523,392212,339
– Gross Shorts:444,2611,219,356266,506
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.799.481.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.615.119.8

 

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 -136,238 contracts in the data reported through Tuesday. This was a weekly gain of 46,218 contracts from the previous week which had a total of -182,456 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 39.5 percent. The commercials are Bearish with a score of 43.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.5 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.977.013.8
– Percent of Open Interest Shorts:16.870.210.6
– Net Position:-136,23892,12344,115
– Gross Longs:93,7361,051,787189,136
– Gross Shorts:229,974959,664145,021
– Long to Short Ratio:0.4 to 11.1 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):39.543.580.5
– Strength Index Reading (3 Year Range):BearishBearishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.6-21.63.0

 

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 -363,546 contracts in the data reported through Tuesday. This was a weekly lowering of -2,065 contracts from the previous week which had a total of -361,481 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 37.5 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bullish with a score of 60.5 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.082.911.0
– Percent of Open Interest Shorts:29.361.19.4
– Net Position:-363,546338,82024,726
– Gross Longs:92,6551,288,162170,435
– Gross Shorts:456,201949,342145,709
– Long to Short Ratio:0.2 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):37.564.260.5
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:5.4-2.4-7.9

 

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
08 Oct

COT Bonds Charts: Speculator Bets led lower by 2-Year & 5-Year Notes

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 October 3rd 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 lower by the 2-Year & 5-Year Bonds

The COT bond market speculator bets were lower this week as one out of the eight 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 Ultra Treasury Bonds with an increase by 5,305 contracts also showing positive on the week.

The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-68,001 contracts), the 5-Year Bonds (-67,690 contracts), the Ultra 10-Year Bonds (-46,781 contracts), the Fed Funds (-34,081 contracts), the SOFR 3-Months (-24,840 contracts), the US Treasury Bonds (-6,835 contracts) and the 10-Year Bonds (-1,883 contracts) also seeing lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Oct-03-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,830,94992292,30688-291,83512-47188
FedFunds1,665,59960-229,15917244,66384-15,50461
2-Year3,959,24799-1,278,30101,141,551100136,750100
Long T-Bond1,409,34793-239,6467210,3038629,34370
10-Year4,782,72593-733,88111668,4818865,40088
5-Year5,630,74493-1,093,472121,027,2448566,22888

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (88 percent) leads the bond markets this week.

On the downside, the Ultra 10-Year Bonds (0 percent), the 2-Year Bonds (0 percent), the US Treasury Bonds (7 percent), the 10-Year Bonds (11 percent), the 5-Year Bond (12 percent) and the Fed Funds (17 percent) come in at the lowest strength levels currently and all are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (16.8 percent) vs Fed Funds previous week (23.1 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (5.0 percent)
5-Year Bond (12.1 percent) vs 5-Year Bond previous week (17.1 percent)
10-Year Bond (11.3 percent) vs 10-Year Bond previous week (11.5 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (9.0 percent)
US Treasury Bond (6.6 percent) vs US Treasury Bond previous week (8.8 percent)
Ultra US Treasury Bond (35.7 percent) vs Ultra US Treasury Bond previous week (33.5 percent)
SOFR 3-Months (87.6 percent) vs SOFR 3-Months previous week (89.1 percent)

 

Ultra Treasury Bonds & SOFR 3-Months 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 Treasury Bonds (25 percent) and the SOFR 3-Months (14 percent) lead the past six weeks trends for bonds. The Fed Funds (10 percent) are the next highest positive movers in the latest data.

The US Treasury Bonds (-20 percent) and the Ultra 10-Year Bonds (-18 percent) lead the downside trend scores currently with the 5-Year Bonds (-4 percent) and the 10-Year Bonds (-4 percent) following next with lower trend scores.

Strength Trend Statistics:
Fed Funds (9.6 percent) vs Fed Funds previous week (9.0 percent)
2-Year Bond (-0.5 percent) vs 2-Year Bond previous week (-6.8 percent)
5-Year Bond (-3.7 percent) vs 5-Year Bond previous week (12.2 percent)
10-Year Bond (-3.8 percent) vs 10-Year Bond previous week (1.4 percent)
Ultra 10-Year Bond (-17.8 percent) vs Ultra 10-Year Bond previous week (-11.7 percent)
US Treasury Bond (-19.6 percent) vs US Treasury Bond previous week (-18.2 percent)
Ultra US Treasury Bond (25.5 percent) vs Ultra US Treasury Bond previous week (29.1 percent)
SOFR 3-Months (14.4 percent) vs SOFR 3-Months previous week (18.8 percent)

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 reached a net position of 292,306 contracts in the data reported through Tuesday. This was a weekly decrease of -24,840 contracts from the previous week which had a total of 317,146 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-Extreme with a score of 12.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.6 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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:21.354.70.4
– Percent of Open Interest Shorts:18.357.70.5
– Net Position:292,306-291,835-471
– Gross Longs:2,090,8515,381,52643,842
– Gross Shorts:1,798,5455,673,36144,313
– Long to Short Ratio:1.2 to 10.9 to 11.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):87.612.187.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:14.4-14.61.6

 

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 -229,159 contracts in the data reported through Tuesday. This was a weekly decline of -34,081 contracts from the previous week which had a total of -195,078 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 16.8 percent. The commercials are Bullish-Extreme with a score of 84.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.6 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.675.52.0
– Percent of Open Interest Shorts:21.460.82.9
– Net Position:-229,159244,663-15,504
– Gross Longs:127,1971,258,15033,455
– Gross Shorts:356,3561,013,48748,959
– Long to Short Ratio:0.4 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):16.884.460.6
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.6-8.9-6.2

 

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 -1,278,301 contracts in the data reported through Tuesday. This was a weekly lowering of -68,001 contracts from the previous week which had a total of -1,210,300 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 99.9 percent and 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. The current action for the model is considered to be: Hold – Maintain Short Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.880.67.1
– Percent of Open Interest Shorts:43.151.83.6
– Net Position:-1,278,3011,141,551136,750
– Gross Longs:426,4323,192,262280,084
– Gross Shorts:1,704,7332,050,711143,334
– Long to Short Ratio:0.3 to 11.6 to 12.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.099.9100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-0.5-0.13.5

 

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 -1,093,472 contracts in the data reported through Tuesday. This was a weekly lowering of -67,690 contracts from the previous week which had a total of -1,025,782 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 12.1 percent. The commercials are Bullish-Extreme with a score of 85.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.5 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:9.082.77.2
– Percent of Open Interest Shorts:28.464.56.0
– Net Position:-1,093,4721,027,24466,228
– Gross Longs:505,5664,657,206403,076
– Gross Shorts:1,599,0383,629,962336,848
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):12.185.387.5
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.73.32.2

 

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 -733,881 contracts in the data reported through Tuesday. This was a weekly decline of -1,883 contracts from the previous week which had a total of -731,998 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 11.3 percent. The commercials are Bullish-Extreme with a score of 88.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.7 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.378.09.2
– Percent of Open Interest Shorts:25.664.07.8
– Net Position:-733,881668,48165,400
– Gross Longs:492,0603,728,771440,265
– Gross Shorts:1,225,9413,060,290374,865
– Long to Short Ratio:0.4 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.388.387.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.81.26.2

 

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 -244,907 contracts in the data reported through Tuesday. This was a weekly lowering of -46,781 contracts from the previous week which had a total of -198,126 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 95.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.7 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:8.777.311.6
– Percent of Open Interest Shorts:21.762.213.8
– Net Position:-244,907285,820-40,913
– Gross Longs:165,4411,462,117220,058
– Gross Shorts:410,3481,176,297260,971
– Long to Short Ratio:0.4 to 11.2 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.095.489.7
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-17.87.035.5

 

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 -239,646 contracts in the data reported through Tuesday. This was a weekly fall of -6,835 contracts from the previous week which had a total of -232,811 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 6.6 percent. The commercials are Bullish-Extreme with a score of 85.6 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.780.213.2
– Percent of Open Interest Shorts:22.765.311.1
– Net Position:-239,646210,30329,343
– Gross Longs:79,9981,130,603186,481
– Gross Shorts:319,644920,300157,138
– Long to Short Ratio:0.3 to 11.2 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):6.685.669.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-19.626.0-9.2

 

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 -368,142 contracts in the data reported through Tuesday. This was a weekly rise of 5,305 contracts from the previous week which had a total of -373,447 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 35.7 percent. The commercials are Bullish with a score of 61.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.4 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:6.281.811.8
– Percent of Open Interest Shorts:29.760.59.6
– Net Position:-368,142333,00035,142
– Gross Longs:96,1901,278,994184,419
– Gross Shorts:464,332945,994149,277
– Long to Short Ratio:0.2 to 11.4 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):35.761.470.4
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.5-29.5-2.2

 

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
05 Oct

Interest rates: Monetary policy is always political as central banks opt to back the financial sector

By Dan Cohen, Queen’s University, Ontario; Emily Rosenman, Penn State, and Martine August, University of Waterloo

As the Bank of Canada prepared to announce its decision on interest rates in early September, Tiff Macklem, the bank’s governor, received imploring letters from premiers spanning both the country and the political spectrum.

New Democrat David Eby of British Columbia wrote to the Bank of Canada, followed by Ontario’s Doug Ford, a Conservative, and by Liberal Andrew Furey of Newfoundland and Labrador.

In their letters, the premiers urged the bank against raising rates again and to think of the “human impact of rate increases” on Canadians already burdened by rising mortgage payments and financial pain.

When Macklem announced he was holding the rate at five per cent, Finance Minister Chrystia Freeland called the decision “a welcome relief for Canadians.”

Facing subsequent accusations from economists and journalists that she was meddling, Freeland made clear a few hours later that she respected the independence of the Bank of Canada.

Social impact of monetary policy

But the criticism raises important questions. Is monetary policy really outside the realm of politics? What are the social ramifications of our current monetary policy system?

The view that central banks should be independent of politics has shifted many times over the history of central banks.

While central bank decision-making is independent from government, the banks follow mandates set by governments. These mandates vary in different countries.

The United States Federal Reserve (the Fed), for example, has a dual mandate: to manage inflation and pursue maximum stable employment. The Bank of Canada’s mandate, by contrast, is focused entirely on managing inflation, with an arbitrary target of two per cent.

In theory, central banks pursue these goals without interference from government.

But we don’t believe political debates over monetary policy should be off limits.

Ties between politics and monetary policy

In the 1970s, Fed chairman Paul Volcker famously used monetary policy — specifically a campaign of rapid interest rate increases — to erode the bargaining power of labour as a means of taming inflation.

That decision had wide-ranging effects — including a reduction in union membership — that continue to have an impact on American society and placed the burden of fighting inflation onto the working class.

This logic continues, crudely captured in a recent viral video when Australian real estate developer Tim Gurner argued:

“We need to see unemployment rise, we need to see pain in the economy … to remind people that they work for the employer, not the other way around.”

In more polite language, Phillip Lowe, outgoing governor of Australia’s central bank, recently acknowledged that the effects of monetary policy are “felt unevenly across the community.”

The scene in Canada

According to our research, monetary policy likewise has an impact on wealth inequality in Canada by supporting the financial sector over other parts of the economy.

Indeed, the overt goal of monetary policy is to stabilize the financial system, a priority that disproportionately benefits those in the financial sector.

This has become clear in recent decades, beginning with the 2008 global financial crisis and continuing to the COVID-19 pandemic, when central banks around the world began to use “quantitative easing” to stimulate the economy.

While monetary policy had previously centred on setting the rates at which regulated banks could borrow, central banks expanded their role by undertaking massive asset purchasing campaigns via quantitative easing.

Central banks began supporting not just regulated banks but investment funds, hedge funds and other “non-bank financial intermediaries” — also known as shadow banks — that are largely unregulated.

This involved tactics like purchasing corporate bonds to stabilize the corporate debt market.

Investors benefit

These new Bank of Canada policies grant “infrastructural power” over how monetary policy is implemented to the financial sector, buttressing the profits of investors with public dollars. This allows investors to determine how the capital provided by the bank will be invested — with little regulation or public oversight.

Acknowledging this shift, Bank of Canada deputy governor Toni Gravelle said the bank has moved from its traditional role as “lender of last resort” to “liquidity provider of last resort,” promising to “resolve market-wide stresses when the financial system cannot find its footing.”

When the working class cannot “find its footing,” however, the Bank of Canada doesn’t extend a helping hand. In 2022, for example, Macklem told employers not to increase wages despite rampant inflation, and told unionized workers not to ask for a raise.

The central bank’s decision to support the financial sector is, in fact, political. It benefits some — financial sector executives and investors — at the expense of others, and tilts economic decision-making in their favour.

When a public institution buys hundreds of billions in assets as the Bank of Canada did in March 2020, Canadians are right to ask questions about its impact, and politicians should respond.

Enriching the already rich

The premiers’ letters to the Bank of Canada, while described as unprecedented, expose how monetary policy involves fundamentally political questions about the distribution of wealth in our society.

As we demonstrated in our research, the Bank of Canada’s quantitative easing tactics during the pandemic had a vastly uneven impact, driving up house prices and enriching already wealthier homeowners, while lower-income households and renters faced higher rents and precarity.

It also helped investors who took advantage of cheap capital and rising asset values to scoop up multi-family apartments and houses in Canada.

The impact doesn’t stop at housing. As inflation rose, central banks hiked interest rates, assuming that would boost unemployment, reduce labour costs and slow the economy so that inflation would fall.

But at a time when the causes of inflation are highly contested (there are ongoing debates around supply chain disruptions and “sellers inflation,” for example) choosing to focus on wages is political.

What should central banks do?

Where does this leave us in terms of the politics of monetary policy and central bank independence?

While central bank decisions may need to be independent of government influence, the factors banks consider are determined by our political systems.

Central banks could consider factors that benefit workers and people who don’t own assets — from maximizing employment to promoting housing affordability and addressing climate change risks.

European Central Bank president Christine Lagarde, for example, has said climate change should factor into central bank decision-making.

Others argue monetary policy can be used to fund the green transition, building on the European Central Bank’s practice of using targeted loans to influence the financial sector rather than leaving decision-making in the hands of financial institutions.

Given the connection between monetary policy and inequality, it’s time for a serious debate on why central banks use public institutions to support private finance — and what they should be doing differently.

The authors would like to acknowledge and thank research assistant Yun Liu for her work on this article.The Conversation

Dan Cohen, Assistant Professor, Queen’s University, Ontario; Emily Rosenman, Assistant Professor of Geography, Penn State, and Martine August, Associate Professor, School of Planning, University of Waterloo

This article is republished from The Conversation under a Creative Commons license. Read the original article.

Bonds Economics & Fundamentals Financial News
30 Sep

COT Bonds Charts: Speculators bets led by 2-Year Bonds and Ultra Treasury 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 September 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 Bonds & Ultra Treasury Bonds

The COT bond market speculator bets were lower this week as three out of the eight 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 (31,163 contracts) with the Ultra Treasury Bonds (18,129 contracts) and the Fed Funds (15,454 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week was the SOFR 3-Months (-182,231 contracts) with the Ultra 10-Year Bonds (-61,389 contracts), the US Treasury Bonds (-31,704 contracts), the 10-Year Bonds (-29,682 contracts), and the 5-Year Bonds (-18,836 contracts) also registering lower bets on the week.

Data Snapshot of Bond Market Traders | Columns Legend
Sep-26-2023OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
SOFR-3-Months9,718,98091317,14689-311,98611-5,16085
FedFunds1,630,23657-195,07823217,05279-21,97448
2-Year3,903,50296-1,210,30041,080,59495129,706100
Long T-Bond1,405,06492-232,8119169,0187163,79395
10-Year4,767,69892-731,99811679,6439052,35585
5-Year5,579,72691-1,025,78217964,6058061,17786

 

Strength Scores led by SOFR 3-Months & Ultra 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 3-Months (89 percent) leads the bond markets this week. The Ultra Treasury Bonds (34 percent) come in as the next highest in the weekly strength scores.

On the downside, the Ultra 10-Year Bonds (4 percent), the 2-Year Bonds (4 percent), the US Treasury Bonds (9 percent), the 10-Year Bonds (11 percent) and the 5-Year Bond (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
Fed Funds (23.1 percent) vs Fed Funds previous week (20.2 percent)
2-Year Bond (4.5 percent) vs 2-Year Bond previous week (2.2 percent)
5-Year Bond (17.1 percent) vs 5-Year Bond previous week (18.5 percent)
10-Year Bond (11.5 percent) vs 10-Year Bond previous week (14.4 percent)
Ultra 10-Year Bond (4.1 percent) vs Ultra 10-Year Bond previous week (16.6 percent)
US Treasury Bond (8.8 percent) vs US Treasury Bond previous week (19.1 percent)
Ultra US Treasury Bond (33.5 percent) vs Ultra US Treasury Bond previous week (26.2 percent)
SOFR 3-Months (89.1 percent) vs SOFR 3-Months previous week (100.0 percent)

 

Ultra Treasury Bonds & SOFR 3-Months 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 Treasury Bonds (29 percent) and the SOFR 3-Months (19 percent) lead the past six weeks trends for bonds. The 5-Year Bonds (12 percent) and the  the next highest positive movers in the latest trends data.

The US Treasury Bonds (-18 percent), the Ultra 10-Year Bonds (-12 percent) and the 2-Year Bonds (-7 percent) lead the downside trend scores currently.

Strength Trend Statistics:
Fed Funds (9.0 percent) vs Fed Funds previous week (-3.2 percent)
2-Year Bond (-6.8 percent) vs 2-Year Bond previous week (-9.7 percent)
5-Year Bond (12.2 percent) vs 5-Year Bond previous week (16.5 percent)
10-Year Bond (1.4 percent) vs 10-Year Bond previous week (-1.0 percent)
Ultra 10-Year Bond (-12.3 percent) vs Ultra 10-Year Bond previous week (2.7 percent)
US Treasury Bond (-18.2 percent) vs US Treasury Bond previous week (-0.5 percent)
Ultra US Treasury Bond (29.1 percent) vs Ultra US Treasury Bond previous week (21.6 percent)
SOFR 3-Months (18.8 percent) vs SOFR 3-Months previous week (33.2 percent)

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 resulted in a net position of 317,146 contracts in the data reported through Tuesday. This was a weekly fall of -182,231 contracts from the previous week which had a total of 499,377 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 89.1 percent. The commercials are Bearish-Extreme with a score of 10.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.0 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.

SOFR 3-Months StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:20.155.50.3
– Percent of Open Interest Shorts:16.858.80.4
– Net Position:317,146-311,986-5,160
– Gross Longs:1,953,9875,398,26229,392
– Gross Shorts:1,636,8415,710,24834,552
– Long to Short Ratio:1.2 to 10.9 to 10.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):89.110.985.0
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:18.8-19.45.6

 

30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT ChartThe 30-Day Federal Funds large speculator standing this week resulted in a net position of -195,078 contracts in the data reported through Tuesday. This was a weekly rise of 15,454 contracts from the previous week which had a total of -210,532 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 23.1 percent. The commercials are Bullish with a score of 79.4 percent and the small traders (not shown in chart) are Bearish with a score of 47.9 percent.

Price Trend-Following Model: Downtrend

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

30-Day Federal Funds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.175.81.9
– Percent of Open Interest Shorts:19.162.53.2
– Net Position:-195,078217,052-21,974
– Gross Longs:116,3591,236,20130,537
– Gross Shorts:311,4371,019,14952,511
– Long to Short Ratio:0.4 to 11.2 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):23.179.447.9
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:9.0-7.3-17.3

 

2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT ChartThe 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,210,300 contracts in the data reported through Tuesday. This was a weekly advance of 31,163 contracts from the previous week which had a total of -1,241,463 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 4.5 percent. The commercials are Bullish-Extreme with a score of 94.7 percent and 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. The current action for the model is considered to be: Hold – Maintain Short Position.

2-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:11.080.16.9
– Percent of Open Interest Shorts:42.052.43.6
– Net Position:-1,210,3001,080,594129,706
– Gross Longs:429,5413,127,095269,088
– Gross Shorts:1,639,8412,046,501139,382
– Long to Short Ratio:0.3 to 11.5 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.594.7100.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-6.87.51.7

 

5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT ChartThe 5-Year Treasury Note large speculator standing this week resulted in a net position of -1,025,782 contracts in the data reported through Tuesday. This was a weekly fall of -18,836 contracts from the previous week which had a total of -1,006,946 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 17.1 percent. The commercials are Bullish-Extreme with a score of 80.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.3 percent.

Price Trend-Following Model: Strong Downtrend

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

5-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.882.67.2
– Percent of Open Interest Shorts:27.265.36.1
– Net Position:-1,025,782964,60561,177
– Gross Longs:492,7414,610,560404,260
– Gross Shorts:1,518,5233,645,955343,083
– Long to Short Ratio:0.3 to 11.3 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):17.180.286.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:12.2-11.8-4.8

 

10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT ChartThe 10-Year Treasury Note large speculator standing this week resulted in a net position of -731,998 contracts in the data reported through Tuesday. This was a weekly reduction of -29,682 contracts from the previous week which had a total of -702,316 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 11.5 percent. The commercials are Bullish-Extreme with a score of 89.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.9 percent.

Price Trend-Following Model: Strong Downtrend

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

10-Year Treasury Note StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.778.19.1
– Percent of Open Interest Shorts:26.063.98.0
– Net Position:-731,998679,64352,355
– Gross Longs:509,5783,724,693434,390
– Gross Shorts:1,241,5763,045,050382,035
– Long to Short Ratio:0.4 to 11.2 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):11.589.684.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:1.4-4.45.2

 

Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT ChartThe Ultra 10-Year Notes large speculator standing this week resulted in a net position of -198,126 contracts in the data reported through Tuesday. This was a weekly fall of -61,389 contracts from the previous week which had a total of -136,737 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 4.1 percent. The commercials are Bullish-Extreme with a score of 94.8 percent and the small traders (not shown in chart) are Bullish with a score of 63.8 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:9.677.510.7
– Percent of Open Interest Shorts:20.362.315.2
– Net Position:-198,126282,654-84,528
– Gross Longs:179,4081,441,650198,446
– Gross Shorts:377,5341,158,996282,974
– Long to Short Ratio:0.5 to 11.2 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):4.194.863.8
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-12.310.27.9

 

US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT ChartThe US Treasury Bonds large speculator standing this week resulted in a net position of -232,811 contracts in the data reported through Tuesday. This was a weekly fall of -31,704 contracts from the previous week which had a total of -201,107 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 8.8 percent. The commercials are Bullish with a score of 70.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.

Price Trend-Following Model: Strong Downtrend

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

US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.379.214.6
– Percent of Open Interest Shorts:21.867.210.0
– Net Position:-232,811169,01863,793
– Gross Longs:74,1341,113,332204,449
– Gross Shorts:306,945944,314140,656
– Long to Short Ratio:0.2 to 11.2 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):8.870.994.9
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-18.211.218.1

 

Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT ChartThe Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -373,447 contracts in the data reported through Tuesday. This was a weekly rise of 18,129 contracts from the previous week which had a total of -391,576 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 33.5 percent. The commercials are Bullish with a score of 62.1 percent and the small traders (not shown in chart) are Bullish with a score of 74.0 percent.

Price Trend-Following Model: Strong Downtrend

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

Ultra US Treasury Bonds StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:5.781.612.2
– Percent of Open Interest Shorts:30.059.89.7
– Net Position:-373,447334,47938,968
– Gross Longs:87,9441,256,355187,791
– Gross Shorts:461,391921,876148,823
– Long to Short Ratio:0.2 to 11.4 to 11.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):33.562.174.0
– Strength Index Reading (3 Year Range):BearishBullishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.1-32.4-5.0

 

Article By InvestMacro – Receive our weekly COT Newsletter

See our Weekly Trend Model Readings and Actions for each COT Futures Market and Category. All information contained in this data are for general informational purposes only and do not constitute investment advice.

*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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