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 June 10th 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 slightly 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 Fed Funds (38,246 contracts) with the Ultra Treasury Bonds (24,696 contracts), the US Treasury Bonds (22,628 contracts) and the Ultra 10-Year Bonds (2,306 contracts) also seeing positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-202,389 contracts), the 5-Year Bonds (-74,384 contracts), the SOFR 1-Month (-53,898 contracts), the 2-Year Bonds (-36,591 contracts) and with the 10-Year Bonds (-18,845 contracts) also having lower bets on the week.
Bonds Price Changes:
– US Treasury Long bonds: up over 1%
– 10-year bond: up just under 1%
– 5-year bond: up 0.5%
– 2-year bond: up 0.25%
– Fed bonds and shorter duration bonds: basically unchanged
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 & 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 Ultra Treasury Bonds (97 percent) and the US Treasury Bonds (56 percent) lead the bond markets this week. The SOFR 1-Month (50 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 5-Year Bond (0 percent), the Ultra 10-Year Bonds (1 percent) and the SOFR 3-Months (2 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (34.9 percent) vs Fed Funds previous week (27.9 percent)
2-Year Bond (21.5 percent) vs 2-Year Bond previous week (24.1 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (3.1 percent)
10-Year Bond (40.5 percent) vs 10-Year Bond previous week (42.4 percent)
Ultra 10-Year Bond (0.6 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (55.6 percent) vs US Treasury Bond previous week (47.8 percent)
Ultra US Treasury Bond (96.5 percent) vs Ultra US Treasury Bond previous week (87.1 percent)
SOFR 1-Month (50.1 percent) vs SOFR 1-Month previous week (63.4 percent)
SOFR 3-Months (1.8 percent) vs SOFR 3-Months previous week (12.2 percent)
Ultra 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 Ultra Treasury Bonds (18 percent) and the 10-Year Bonds (14 percent) lead the past six weeks trends for bonds.
The Ultra 10-Year Bond (-41 percent), the SOFR 3-Months (-29 percent) and the SOFR 1-Month (-14 percent) leads the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (0.2 percent) vs Fed Funds previous week (-24.4 percent)
2-Year Bond (1.8 percent) vs 2-Year Bond previous week (10.8 percent)
5-Year Bond (-7.5 percent) vs 5-Year Bond previous week (-8.7 percent)
10-Year Bond (14.2 percent) vs 10-Year Bond previous week (19.4 percent)
Ultra 10-Year Bond (-40.5 percent) vs Ultra 10-Year Bond previous week (-55.8 percent)
US Treasury Bond (2.0 percent) vs US Treasury Bond previous week (1.8 percent)
Ultra US Treasury Bond (18.2 percent) vs Ultra US Treasury Bond previous week (7.3 percent)
SOFR 1-Month (-13.6 percent) vs SOFR 1-Month previous week (14.8 percent)
SOFR 3-Months (-29.3 percent) vs SOFR 3-Months previous week (-26.2 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week recorded a net position of -106,475 contracts in the data reported through Tuesday. This was a weekly lift of 38,246 contracts from the previous week which had a total of -144,721 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 34.9 percent. The commercials are Bullish with a score of 59.0 percent and the small traders (not shown in chart) are Bullish with a score of 79.5 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: | 13.6 | 67.7 | 2.9 |
| – Percent of Open Interest Shorts: | 19.9 | 62.2 | 2.1 |
| – Net Position: | -106,475 | 93,223 | 13,252 |
| – Gross Longs: | 230,849 | 1,149,922 | 49,699 |
| – Gross Shorts: | 337,324 | 1,056,699 | 36,447 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 34.9 | 59.0 | 79.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.2 | 0.1 | -2.5 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week recorded a net position of -1,132,456 contracts in the data reported through Tuesday. This was a weekly decline of -202,389 contracts from the previous week which had a total of -930,067 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 1.8 percent. The commercials are Bullish-Extreme with a score of 97.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.0 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: | 11.0 | 63.2 | 0.4 |
| – Percent of Open Interest Shorts: | 20.6 | 53.7 | 0.3 |
| – Net Position: | -1,132,456 | 1,118,673 | 13,783 |
| – Gross Longs: | 1,291,149 | 7,445,466 | 51,781 |
| – Gross Shorts: | 2,423,605 | 6,326,793 | 37,998 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 1.8 | 97.5 | 91.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -29.3 | 28.6 | 7.4 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week recorded a net position of -74,749 contracts in the data reported through Tuesday. This was a weekly fall of -53,898 contracts from the previous week which had a total of -20,851 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 50.1 percent. The commercials are Bullish with a score of 50.9 percent and the small traders (not shown in chart) are Bullish with a score of 58.7 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 15.8 | 61.5 | 0.1 |
| – Percent of Open Interest Shorts: | 22.1 | 54.8 | 0.5 |
| – Net Position: | -74,749 | 78,663 | -3,914 |
| – Gross Longs: | 186,662 | 725,834 | 1,456 |
| – Gross Shorts: | 261,411 | 647,171 | 5,370 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 0.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 50.1 | 50.9 | 58.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -13.6 | 14.0 | -3.8 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week recorded a net position of -1,180,516 contracts in the data reported through Tuesday. This was a weekly reduction of -36,591 contracts from the previous week which had a total of -1,143,925 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 21.5 percent. The commercials are Bullish with a score of 76.2 percent and the small traders (not shown in chart) are Bullish with a score of 70.4 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.8 | 77.6 | 6.1 |
| – Percent of Open Interest Shorts: | 44.6 | 51.1 | 2.8 |
| – Net Position: | -1,180,516 | 1,050,501 | 130,015 |
| – Gross Longs: | 585,398 | 3,073,993 | 242,461 |
| – Gross Shorts: | 1,765,914 | 2,023,492 | 112,446 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 21.5 | 76.2 | 70.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.8 | -1.9 | -1.0 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week recorded a net position of -2,470,920 contracts in the data reported through Tuesday. This was a weekly fall of -74,384 contracts from the previous week which had a total of -2,396,536 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 80.9 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: | 6.1 | 85.4 | 6.1 |
| – Percent of Open Interest Shorts: | 42.5 | 51.5 | 3.6 |
| – Net Position: | -2,470,920 | 2,303,366 | 167,554 |
| – Gross Longs: | 416,395 | 5,797,061 | 414,640 |
| – Gross Shorts: | 2,887,315 | 3,493,695 | 247,086 |
| – Long to Short Ratio: | 0.1 to 1 | 1.7 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 80.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.5 | 11.1 | -10.4 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week recorded a net position of -724,101 contracts in the data reported through Tuesday. This was a weekly decline of -18,845 contracts from the previous week which had a total of -705,256 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 40.5 percent. The commercials are Bullish with a score of 57.8 percent and the small traders (not shown in chart) are Bullish with a score of 71.6 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.4 | 77.5 | 9.1 |
| – Percent of Open Interest Shorts: | 26.8 | 63.9 | 7.5 |
| – Net Position: | -724,101 | 645,726 | 78,375 |
| – Gross Longs: | 541,692 | 3,667,589 | 431,976 |
| – Gross Shorts: | 1,265,793 | 3,021,863 | 353,601 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 40.5 | 57.8 | 71.6 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 14.2 | -8.6 | -21.7 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week recorded a net position of -369,282 contracts in the data reported through Tuesday. This was a weekly gain of 2,306 contracts from the previous week which had a total of -371,588 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 0.6 percent. The commercials are Bullish-Extreme with a score of 92.0 percent and the small traders (not shown in chart) are Bullish with a score of 72.9 percent.
Price Trend-Following Model: Weak Uptrend
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: | 10.3 | 79.0 | 9.6 |
| – Percent of Open Interest Shorts: | 26.1 | 61.2 | 11.6 |
| – Net Position: | -369,282 | 416,219 | -46,937 |
| – Gross Longs: | 238,872 | 1,840,747 | 223,564 |
| – Gross Shorts: | 608,154 | 1,424,528 | 270,501 |
| – Long to Short Ratio: | 0.4 to 1 | 1.3 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.6 | 92.0 | 72.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -40.5 | 51.2 | -21.9 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week recorded a net position of -79,745 contracts in the data reported through Tuesday. This was a weekly increase of 22,628 contracts from the previous week which had a total of -102,373 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 55.6 percent. The commercials are Bearish with a score of 36.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.6 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.3 | 75.5 | 13.3 |
| – Percent of Open Interest Shorts: | 14.9 | 76.1 | 8.1 |
| – Net Position: | -79,745 | -9,503 | 89,248 |
| – Gross Longs: | 177,328 | 1,304,982 | 229,114 |
| – Gross Shorts: | 257,073 | 1,314,485 | 139,866 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.6 | 36.2 | 78.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 2.0 | -0.5 | -3.0 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week recorded a net position of -203,747 contracts in the data reported through Tuesday. This was a weekly boost of 24,696 contracts from the previous week which had a total of -228,443 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 96.5 percent. The commercials are Bearish with a score of 23.8 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 percent.
Price Trend-Following Model: Strong Downtrend
Our weekly trend-following model classifies the current market price position as: Strong Downtrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.2 | 82.2 | 8.8 |
| – Percent of Open Interest Shorts: | 17.9 | 71.0 | 9.3 |
| – Net Position: | -203,747 | 213,290 | -9,543 |
| – Gross Longs: | 136,921 | 1,562,597 | 167,180 |
| – Gross Shorts: | 340,668 | 1,349,307 | 176,723 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 96.5 | 23.8 | 0.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 18.2 | -1.7 | -46.8 |
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.
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