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 April 29th 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 1-M
The COT bond market speculator bets were overall lower this week as four out of the nine 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 (91,618 contracts) with the SOFR 1-Month (61,386 contracts), the 10-Year Bonds (34,569 contracts) and the US Treasury Bonds (22,131 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-141,796 contracts), the 5-Year Bonds (-101,110 contracts), the Fed Funds (-95,303 contracts), the Ultra 10-Year Bonds (-53,801 contracts) and the Ultra Treasury Bonds (-3,792 contracts) also registering lower bets on the week.
Bonds Data:
Legend: Open Interest | Speculators Current Net Position | Weekly Specs Change | Specs Strength Score compared to last 3-Years (0-100 range)
Strength Scores led by Ultra Treasury Bonds & SOFR 1-Month
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 Ultra Treasury Bonds (78 percent) and the SOFR 1-Month (64 percent) lead the bond markets this week. The US Treasury Bonds (54 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 5-Year Bond (0.0 percent) and the 2-Year Bonds (19 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores were the Ultra 10-Year Bonds (21 percent), the 10-Year Bonds (26 percent) and the SOFR 3-Months (31 percent).
Strength Statistics:
Fed Funds (34.7 percent) vs Fed Funds previous week (52.3 percent)
2-Year Bond (19.3 percent) vs 2-Year Bond previous week (13.0 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (4.6 percent)
10-Year Bond (25.7 percent) vs 10-Year Bond previous week (22.5 percent)
Ultra 10-Year Bond (20.8 percent) vs Ultra 10-Year Bond previous week (40.6 percent)
US Treasury Bond (53.6 percent) vs US Treasury Bond previous week (45.9 percent)
Ultra US Treasury Bond (78.3 percent) vs Ultra US Treasury Bond previous week (79.8 percent)
SOFR 1-Month (63.7 percent) vs SOFR 1-Month previous week (48.6 percent)
SOFR 3-Months (31.1 percent) vs SOFR 3-Months previous week (38.4 percent)
Fed Funds & 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 Fed Funds (11 percent) and the SOFR 3-Months (5 percent) lead the past six weeks trends for bonds.
The Ultra 10-Year Bond (-49.6 percent), the US Treasury Bonds (-25 percent) and the 5-Year Bonds (-18 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (10.7 percent) vs Fed Funds previous week (33.8 percent)
2-Year Bond (1.0 percent) vs 2-Year Bond previous week (-5.2 percent)
5-Year Bond (-17.7 percent) vs 5-Year Bond previous week (-14.5 percent)
10-Year Bond (0.9 percent) vs 10-Year Bond previous week (-16.0 percent)
Ultra 10-Year Bond (-49.6 percent) vs Ultra 10-Year Bond previous week (-42.7 percent)
US Treasury Bond (-25.1 percent) vs US Treasury Bond previous week (-25.6 percent)
Ultra US Treasury Bond (-1.6 percent) vs Ultra US Treasury Bond previous week (1.4 percent)
SOFR 1-Month (2.0 percent) vs SOFR 1-Month previous week (-10.3 percent)
SOFR 3-Months (5.3 percent) vs SOFR 3-Months previous week (16.8 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week resulted in a net position of -107,720 contracts in the data reported through Tuesday. This was a weekly decrease of -95,303 contracts from the previous week which had a total of -12,417 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 34.7 percent. The commercials are Bullish with a score of 58.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 16.8 | 68.0 | 2.1 |
| – Percent of Open Interest Shorts: | 21.1 | 64.3 | 1.5 |
| – Net Position: | -107,720 | 92,574 | 15,146 |
| – Gross Longs: | 428,336 | 1,729,750 | 54,431 |
| – Gross Shorts: | 536,056 | 1,637,176 | 39,285 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 34.7 | 58.9 | 82.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 10.7 | -8.1 | -17.3 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week resulted in a net position of -565,606 contracts in the data reported through Tuesday. This was a weekly decline of -141,796 contracts from the previous week which had a total of -423,810 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 31.1 percent. The commercials are Bullish with a score of 68.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.6 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| SOFR 3-Months Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.8 | 60.1 | 0.3 |
| – Percent of Open Interest Shorts: | 17.1 | 54.8 | 0.3 |
| – Net Position: | -565,606 | 565,988 | -382 |
| – Gross Longs: | 1,254,667 | 6,381,339 | 34,681 |
| – Gross Shorts: | 1,820,273 | 5,815,351 | 35,063 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 31.1 | 68.9 | 83.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.3 | -5.0 | -3.0 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week resulted in a net position of -19,404 contracts in the data reported through Tuesday. This was a weekly boost of 61,386 contracts from the previous week which had a total of -80,790 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 63.7 percent. The commercials are Bearish with a score of 36.8 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.5 | 66.6 | 0.1 |
| – Percent of Open Interest Shorts: | 15.7 | 65.2 | 0.2 |
| – Net Position: | -19,404 | 21,480 | -2,076 |
| – Gross Longs: | 231,199 | 1,064,063 | 846 |
| – Gross Shorts: | 250,603 | 1,042,583 | 2,922 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 0.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 63.7 | 36.8 | 80.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.0 | -5.8 | 41.1 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,206,377 contracts in the data reported through Tuesday. This was a weekly boost of 91,618 contracts from the previous week which had a total of -1,297,995 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 19.3 percent. The commercials are Bullish with a score of 78.7 percent and the small traders (not shown in chart) are Bullish with a score of 77.4 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.4 | 77.9 | 5.9 |
| – Percent of Open Interest Shorts: | 43.9 | 51.7 | 2.6 |
| – Net Position: | -1,206,377 | 1,073,007 | 133,370 |
| – Gross Longs: | 588,984 | 3,188,309 | 239,843 |
| – Gross Shorts: | 1,795,361 | 2,115,302 | 106,473 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 19.3 | 78.7 | 77.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.0 | -0.9 | -1.2 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,292,544 contracts in the data reported through Tuesday. This was a weekly lowering of -101,110 contracts from the previous week which had a total of -2,191,434 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 91.3 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.8 | 82.8 | 6.7 |
| – Percent of Open Interest Shorts: | 42.2 | 52.5 | 3.6 |
| – Net Position: | -2,292,544 | 2,079,747 | 212,797 |
| – Gross Longs: | 605,281 | 5,682,152 | 460,646 |
| – Gross Shorts: | 2,897,825 | 3,602,405 | 247,849 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 91.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.7 | 20.2 | 5.6 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week resulted in a net position of -871,537 contracts in the data reported through Tuesday. This was a weekly advance of 34,569 contracts from the previous week which had a total of -906,106 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 25.7 percent. The commercials are Bullish with a score of 66.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.0 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.2 | 78.3 | 9.7 |
| – Percent of Open Interest Shorts: | 28.0 | 63.6 | 6.5 |
| – Net Position: | -871,537 | 715,931 | 155,606 |
| – Gross Longs: | 496,546 | 3,818,873 | 472,429 |
| – Gross Shorts: | 1,368,083 | 3,102,942 | 316,823 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 25.7 | 66.4 | 98.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.9 | -9.8 | 20.3 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -221,689 contracts in the data reported through Tuesday. This was a weekly fall of -53,801 contracts from the previous week which had a total of -167,888 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 20.8 percent. The commercials are Bullish with a score of 56.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.9 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.9 | 76.1 | 10.0 |
| – Percent of Open Interest Shorts: | 22.6 | 65.7 | 10.7 |
| – Net Position: | -221,689 | 237,815 | -16,126 |
| – Gross Longs: | 295,654 | 1,738,406 | 229,056 |
| – Gross Shorts: | 517,343 | 1,500,591 | 245,182 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 20.8 | 56.0 | 94.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -49.6 | 47.6 | 9.9 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week resulted in a net position of -85,556 contracts in the data reported through Tuesday. This was a weekly rise of 22,131 contracts from the previous week which had a total of -107,687 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 53.6 percent. The commercials are Bearish with a score of 36.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.4 | 75.5 | 12.5 |
| – Percent of Open Interest Shorts: | 15.2 | 75.9 | 7.3 |
| – Net Position: | -85,556 | -7,853 | 93,409 |
| – Gross Longs: | 188,518 | 1,362,011 | 225,910 |
| – Gross Shorts: | 274,074 | 1,369,864 | 132,501 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 53.6 | 36.7 | 82.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.1 | 23.7 | -6.9 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -251,394 contracts in the data reported through Tuesday. This was a weekly reduction of -3,792 contracts from the previous week which had a total of -247,602 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 78.3 percent. The commercials are Bearish with a score of 23.0 percent and the small traders (not shown in chart) are Bullish with a score of 55.7 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.7 | 82.9 | 9.2 |
| – Percent of Open Interest Shorts: | 20.1 | 71.3 | 7.5 |
| – Net Position: | -251,394 | 217,821 | 33,573 |
| – Gross Longs: | 126,053 | 1,557,821 | 173,657 |
| – Gross Shorts: | 377,447 | 1,340,000 | 140,084 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 78.3 | 23.0 | 55.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.6 | 0.6 | 3.6 |
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.
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