Dealer’s Bonds Positions: Ultra 10-Year Notes, 3-MONTH SOFR lead weekly Bullish & Bearish Bets

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The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on Tuesday October 1st.

This weekly Bonds Financial Futures Leaders report highlights the Top 5 Most Bullish and Top 5 Most Bearish Positions for the dealers category. Extreme positioning in these markets can foreshadow strong moves in the underlying instrument.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, which has been a common method among many leading COT practitioners. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data tables)


Dealers Notes:

The large dealers are classified by the CFTC as the sell side participants in the futures markets.

These traders usually consist of large commercial brokerages and dealers that are in the futures markets to sell financial market instruments and/or to hedge other positions and financial liabilities from the sales of financial instruments.

 


This Week’s Most Bullish Dealers Positions:

Ultra 10-Year Notes

The Ultra 10-Year Notes dealer’s financial futures position comes in as the most bullish standing this week. The TN dealer level is currently at a 88 percent score of its 3-year range.

The dealer position totaled 22,904 net contracts this week which was a change by -172 contracts from last week. The dealer long position was a total of 90,542 contracts compared to the total dealer short position of 67,638 contracts.


Ultra Treasury Notes

The Ultra Treasury Notes dealer’s futures position comes next in the bullish standings this week. The UB dealer position is now at a 75 percent score of its 3-year range.

The dealer trader position was -112,122 net contracts this week, a change by 9,693 contracts from last week. The dealer long position was a total of 37,265 contracts versus the total dealer short position of 149,387 contracts.


10-Year Note

The 10-Year Note dealer’s futures position follows up next in the bullish standings. The TY dealer level resides at a 59 percent score of its 3-year range.

The dealer position was -104,274 net contracts this week which marked a change by 9,204 contracts from last week. The dealer long position was a total of 190,709 contracts versus the total dealer short position of 294,983 contracts.


1-MONTH SOFR (Secured Overnight Financing Rate)

The 1-MONTH SOFR dealer’s futures position comes up next in line for the bullish standings this week. The SR1 dealer position is at a 51 percent score of its 3-year range.

The dealer position was 4,549 net contracts this week and changed by 3,887 contracts from last week. The dealer long position was a total of 36,138 contracts against the total dealer short position of 31,589 contracts.


5-Year Bond

The 5-Year Bond dealer’s futures position rounds out the top leaders in this week’s bullish standings. The FV dealer level sits at a 48 percent score of its 3-year range.

The dealer position was -335,218 net contracts this week which was a move of -41,471 contracts from last week. The dealer long position was a total of 78,424 contracts in comparison to the total dealer short position of 413,642 contracts.


This Week’s Most Bearish Dealers Positions:

3-MONTH SOFR (Secured Overnight Financing Rate)

The 3-MONTH SOFR dealer’s futures position comes in as the most bearish standing this week. The SR3 dealer level is at a 0 percent score of its 3-year range.

The dealer position was -53,186 net contracts this week, a weekly change of -2,431 contracts from last week. The dealer long position was a total of 15,511 contracts versus the total dealer short position of 68,697 contracts.


Fed Funds

The Fed Funds dealer’s futures position slides in next for the most bearish standing on the week. The FF dealer position is at a 8 percent score of its 3-year range.

The dealer position was -44,947 net contracts this week which was a change by -68,686 contracts from last week. The dealer long position was a total of 281,933 contracts compared to the total dealer short position of 326,880 contracts.


2-Year Bond

The 2-Year Bond dealer’s futures position comes in as third most bearish standing of the week. The TU dealer level resides at a 10 percent score of its 3-year range.

The dealer position was -211,866 net contracts this week saw movement by -38,336 contracts from last week. The dealer long position was a total of 69,406 contracts against the total dealer short position of 281,272 contracts.


Eurodollar

The Eurodollar dealer’s futures position comes in as this week’s fourth most bearish standing. The ED dealer level is at a 15 percent score of its 3-year range.

The dealer position was 427,687 net contracts this week which was a change by -96,118 contracts on the week. The dealer long position was a total of 2,424,691 contracts versus the total dealer short position of 1,997,004 contracts.


5-Year Swap

Finally, the 5-Year Swap dealer’s futures position comes in as the final most bearish standing for this week. The LIW dealer position is at a 17 percent score of its 3-year range.

The dealer position was -6,781 net contracts this week and changed by -3,578 contracts from last week. The dealer long position was a total of 983 contracts compared to the total dealer short position of 7,764 contracts.


*COT Report: The weekly commitment of traders report summarizes the total trader positions for open contracts in the futures trading 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), nonreportable traders (usually small traders/speculators), dealers (companies who sell financial products), leveraged money (Hedge funds, money managers, other trading funds) and asset managers (insurance companies, mutual funds, pension funds, endowments). Find CFTC criteria here: (https://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

The Commitment of Traders report is published every Friday by the Commodity Futures Trading Commission (CFTC) and shows futures positions data that was reported as of the previous Tuesday (3 days behind).

Article by CountingPips Research


 

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