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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 March 19th 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 5-Year Bonds & 2-Year Bonds

Bonds Futures Speculator Net Position Changes 2

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

Leading the gains for the bond markets was the 5-Year Bonds (105,077 contracts), the 2-Year Bonds (36,461 contracts), the US Treasury Bonds (32,079 contracts), the 10-Year Bonds (29,536 contracts), the Ultra Treasury Bonds (12,156 contracts) and the Fed Funds (905 contracts) also showing positive weeks.

The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-125,140 contracts) and the Ultra 10-Year Bonds (-19,601 contracts).


Net Speculators Leaderboard

bonds leaders 2

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)


Strength Scores led by US Treasury Bonds & SOFR 3-Months

Bonds Speculator Strength Scores 3 YR Range 0 100 2

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 US Treasury Bonds (76 percent) and the SOFR 3-Months (76 percent) lead the bond markets this week. The Ultra Treasury Bonds (63 percent) comes in as the next highest in the weekly strength scores.

On the downside, the 5-Year Bonds (20 percent) and the Ultra 10-Year Bonds (24 percent) come in at the lowest strength level currently. The next lowest strength scores were the Fed Funds (27 percent) and the 10-Year Bonds (29 percent).

Strength Statistics:
Fed Funds (26.9 percent) vs Fed Funds previous week (26.7 percent)
2-Year Bond (36.7 percent) vs 2-Year Bond previous week (34.4 percent)
5-Year Bond (19.9 percent) vs 5-Year Bond previous week (13.2 percent)
10-Year Bond (29.5 percent) vs 10-Year Bond previous week (26.7 percent)
Ultra 10-Year Bond (24.3 percent) vs Ultra 10-Year Bond previous week (28.1 percent)
US Treasury Bond (75.7 percent) vs US Treasury Bond previous week (64.5 percent)
Ultra US Treasury Bond (63.2 percent) vs Ultra US Treasury Bond previous week (58.1 percent)
SOFR 3-Months (75.9 percent) vs SOFR 3-Months previous week (82.3 percent)


US Treasury Bonds & 2-Year Bonds top the 6-Week Strength Trends

Bonds Speculator Strength Score Trends 6 Weeks 2

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the US Treasury Bonds (42 percent) and the 2-Year Bonds (26 percent) lead the past six weeks trends for bonds. The 10-Year Bonds (24 percent) are the next highest positive movers in the latest trends data.

The SOFR 3-Months (-13 percent) and the Fed Funds (-13 percent) leads the downside currently with negative trend scores.

Strength Trend Statistics:
Fed Funds (-12.6 percent) vs Fed Funds previous week (-8.5 percent)
2-Year Bond (25.8 percent) vs 2-Year Bond previous week (23.6 percent)
5-Year Bond (9.0 percent) vs 5-Year Bond previous week (-4.4 percent)
10-Year Bond (23.8 percent) vs 10-Year Bond previous week (23.9 percent)
Ultra 10-Year Bond (12.2 percent) vs Ultra 10-Year Bond previous week (8.9 percent)
US Treasury Bond (41.9 percent) vs US Treasury Bond previous week (28.9 percent)
Ultra US Treasury Bond (15.2 percent) vs Ultra US Treasury Bond previous week (5.7 percent)
SOFR 3-Months (-13.1 percent) vs SOFR 3-Months previous week (-14.4 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 302,139 contracts in the data reported through Tuesday. This was a weekly decline of -125,140 contracts from the previous week which had a total of 427,279 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 75.9 percent. The commercials are Bearish with a score of 24.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.9 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 17.3 56.3 0.3
– Percent of Open Interest Shorts: 14.5 59.1 0.3
– Net Position: 302,139 -298,573 -3,566
– Gross Longs: 1,899,123 6,195,531 28,551
– Gross Shorts: 1,596,984 6,494,104 32,117
– Long to Short Ratio: 1.2 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 75.9 24.1 85.9
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.1 13.0 1.6

 


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 -194,845 contracts in the data reported through Tuesday. This was a weekly advance of 905 contracts from the previous week which had a total of -195,750 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 26.9 percent. The commercials are Bullish with a score of 70.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.5 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 Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.1 72.9 2.1
– Percent of Open Interest Shorts: 18.6 62.5 2.0
– Net Position: -194,845 192,059 2,786
– Gross Longs: 151,004 1,352,227 39,137
– Gross Shorts: 345,849 1,160,168 36,351
– Long to Short Ratio: 0.4 to 1 1.2 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 26.9 70.5 96.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -12.6 10.1 22.0

 


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 -901,595 contracts in the data reported through Tuesday. This was a weekly advance of 36,461 contracts from the previous week which had a total of -938,056 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 36.7 percent. The commercials are Bullish with a score of 60.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.2 percent.

Price Trend-Following Model: Uptrend

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

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.4 80.3 6.6
– Percent of Open Interest Shorts: 35.8 59.0 3.6
– Net Position: -901,595 787,910 113,685
– Gross Longs: 422,597 2,969,326 245,616
– Gross Shorts: 1,324,192 2,181,416 131,931
– Long to Short Ratio: 0.3 to 1 1.4 to 1 1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 36.7 60.4 87.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 25.8 -27.4 -9.6

 


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 -1,157,057 contracts in the data reported through Tuesday. This was a weekly boost of 105,077 contracts from the previous week which had a total of -1,262,134 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 19.9 percent. The commercials are Bullish with a score of 79.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.3 percent.

Price Trend-Following Model: Uptrend

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

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.8 84.0 7.0
– Percent of Open Interest Shorts: 26.6 65.7 5.5
– Net Position: -1,157,057 1,069,939 87,118
– Gross Longs: 395,194 4,907,528 406,591
– Gross Shorts: 1,552,251 3,837,589 319,473
– Long to Short Ratio: 0.3 to 1 1.3 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 19.9 79.9 81.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 9.0 -8.0 -7.4

 


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 -574,010 contracts in the data reported through Tuesday. This was a weekly rise of 29,536 contracts from the previous week which had a total of -603,546 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 29.5 percent. The commercials are Bullish with a score of 62.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.8 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.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.8 77.6 9.7
– Percent of Open Interest Shorts: 24.1 65.3 8.6
– Net Position: -574,010 526,781 47,229
– Gross Longs: 461,066 3,327,859 414,071
– Gross Shorts: 1,035,076 2,801,078 366,842
– Long to Short Ratio: 0.4 to 1 1.2 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 29.5 62.3 83.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 23.8 -31.3 -1.8

 


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 -153,271 contracts in the data reported through Tuesday. This was a weekly decline of -19,601 contracts from the previous week which had a total of -133,670 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 24.3 percent. The commercials are Bullish with a score of 75.1 percent and the small traders (not shown in chart) are Bullish with a score of 66.6 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.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.5 73.7 10.0
– Percent of Open Interest Shorts: 22.0 62.2 13.9
– Net Position: -153,271 233,014 -79,743
– Gross Longs: 294,809 1,497,187 203,561
– Gross Shorts: 448,080 1,264,173 283,304
– Long to Short Ratio: 0.7 to 1 1.2 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 24.3 75.1 66.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 12.2 -18.9 12.8

 


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 -22,454 contracts in the data reported through Tuesday. This was a weekly increase of 32,079 contracts from the previous week which had a total of -54,533 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 75.7 percent. The commercials are Bearish-Extreme with a score of 5.5 percent and the small traders (not shown in chart) are Bullish with a score of 79.3 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.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.2 69.4 12.9
– Percent of Open Interest Shorts: 17.7 70.7 10.0
– Net Position: -22,454 -19,971 42,425
– Gross Longs: 242,086 1,034,162 191,844
– Gross Shorts: 264,540 1,054,133 149,419
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 75.7 5.5 79.3
– Strength Index Reading (3 Year Range): Bullish Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 41.9 -42.7 -12.0

 


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 -304,714 contracts in the data reported through Tuesday. This was a weekly lift of 12,156 contracts from the previous week which had a total of -316,870 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 63.2 percent. The commercials are Bearish with a score of 36.7 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 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 US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 8.8 79.8 11.1
– Percent of Open Interest Shorts: 28.0 61.6 10.0
– Net Position: -304,714 287,081 17,633
– Gross Longs: 139,244 1,263,105 175,999
– Gross Shorts: 443,958 976,024 158,366
– Long to Short Ratio: 0.3 to 1 1.3 to 1 1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 63.2 36.7 53.8
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 15.2 -19.0 1.2

 


Article By InvestMacroReceive 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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