Open Interest Analysis Charts: Major Bonds

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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 June 18th.

Open Interest is a key component to price trends and a gauge to whether the trends are gaining steam, losing steam or could be ripe for a trend change. High open interest simply means there are many more opinions (long and short) in the market while low open interest is evidence of less enthusiasm about that particular market.

In his book, ‘Volume and Open Interest’, Ken Shaleen describes open interest as the “fuel” to sustain prices trends and when “open interest declines, fuel is being removed and the prevailing price trend is running on borrowed time.”

The higher open interest goes in tandem with the dominant price trend, the farther the current trend will continue. Shaleen refers to this as a “healthy” trend.

From the table above, you can see that there are some general interpretations to be made from the combination of price and open interest.

Here are the weekly charts of each major futures bond market with open interest and large trader trends.


Two Year Bond:


Five Year Bond:


Ten Year Bond:


US Treasury Bond (Between 15 & 25 Years):


Eurodollar:


Fed Funds:


*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 (speculators & large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators).

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).

All information and opinions on this website are for general informational purposes only and do not constitute investment advice.

Article by CountingPips Research

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