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 September 9th 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 & Ultra 10-Year Bonds
The COT bond market speculator bets were overall slightly higher this week as five out of the nine bond markets we cover had higher positioning while the other four markets had lower speculator contracts.
Leading the gains for the bond markets was the 5-Year Bonds (127,224 contracts) with the Ultra 10-Year Bonds (59,952 contracts), the SOFR 3-Months (59,011 contracts), the 10-Year Bonds (10,386 contracts) and the Fed Funds (8,418 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-78,878 contracts), the SOFR 1-Month (-72,136 contracts), the US Treasury Bonds (-21,340 contracts), and the Ultra Treasury Bonds (-14,274 contracts) also registering lower bets on the week.
US Treasury Bond leads Price Performance
The bond market price performance this week was led by the long US Treasury Bond with a gain of 1.56% on the week. The US Treasury Bond has been up by 3.50% over the last 30 days and higher by 3.10% over the last 90 days.
The Fed Funds increased by 0.29% for the week. The 1-Month Secured Overnight Financing Rate was up by a quarter of a percent, followed by the 10-Year Note, which rose by 0.23% on the week. The 10-year is higher over 2% in the last 30 days, and for the last 90 days, the 10-year has risen by 2.62%.
The 3-Month Secured Overnight Financing Rate and the 2-Year Bond were virtually unchanged, as well as the 5-Year Bond, which saw a minuscule dip of -0.05%.
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
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 (72 percent) lead the bond markets this week.
On the downside, the 5-Year Bond (6 percent), the 2-Year Bonds (9 percent) and the SOFR 1-Month (17 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (29.1 percent) vs Fed Funds previous week (27.8 percent)
2-Year Bond (9.4 percent) vs 2-Year Bond previous week (16.1 percent)
5-Year Bond (5.7 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (31.3 percent) vs 10-Year Bond previous week (30.1 percent)
Ultra 10-Year Bond (35.1 percent) vs Ultra 10-Year Bond previous week (19.3 percent)
US Treasury Bond (49.1 percent) vs US Treasury Bond previous week (56.5 percent)
Ultra US Treasury Bond (72.4 percent) vs Ultra US Treasury Bond previous week (77.8 percent)
SOFR 1-Month (16.8 percent) vs SOFR 1-Month previous week (34.6 percent)
SOFR 3-Months (46.5 percent) vs SOFR 3-Months previous week (43.5 percent)
Ultra 10-Year Bonds & 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 Ultra 10-Year Bonds (19 percent) and the SOFR 3-Months (12 percent) lead the past six weeks trends for bonds. The US Treasury Bonds (4 percent) and the 10-Year Bond (4 percent) are the next highest positive movers in the latest trends data.
The Fed Funds (-36 percent) leads the downside trend scores currently with the 2-Year Bonds (-15 percent), the SOFR 1-Month (-15 percent) and the Ultra Treasury Bonds (-12 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-36.0 percent) vs Fed Funds previous week (-42.3 percent)
2-Year Bond (-14.6 percent) vs 2-Year Bond previous week (-4.0 percent)
5-Year Bond (-1.9 percent) vs 5-Year Bond previous week (-9.5 percent)
10-Year Bond (4.2 percent) vs 10-Year Bond previous week (-13.0 percent)
Ultra 10-Year Bond (19.0 percent) vs Ultra 10-Year Bond previous week (15.4 percent)
US Treasury Bond (4.2 percent) vs US Treasury Bond previous week (2.0 percent)
Ultra US Treasury Bond (-11.6 percent) vs Ultra US Treasury Bond previous week (-7.6 percent)
SOFR 1-Month (-15.1 percent) vs SOFR 1-Month previous week (6.4 percent)
SOFR 3-Months (12.0 percent) vs SOFR 3-Months previous week (8.0 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week was a net position of -207,456 contracts in the data reported through Tuesday. This was a weekly increase of 8,418 contracts from the previous week which had a total of -215,874 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 29.1 percent. The commercials are Bullish with a score of 70.6 percent and the small traders (not shown in chart) are Bullish with a score of 64.0 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.6 | 69.8 | 1.9 |
| – Percent of Open Interest Shorts: | 19.8 | 60.7 | 1.8 |
| – Net Position: | -207,456 | 205,810 | 1,646 |
| – Gross Longs: | 241,031 | 1,579,710 | 42,737 |
| – Gross Shorts: | 448,487 | 1,373,900 | 41,091 |
| – Long to Short Ratio: | 0.5 to 1 | 1.1 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 29.1 | 70.6 | 64.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -36.0 | 40.7 | -29.6 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week was a net position of -266,004 contracts in the data reported through Tuesday. This was a weekly gain of 59,011 contracts from the previous week which had a total of -325,015 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 46.5 percent. The commercials are Bullish with a score of 52.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 83.3 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: | 14.3 | 55.4 | 0.3 |
| – Percent of Open Interest Shorts: | 16.3 | 53.5 | 0.2 |
| – Net Position: | -266,004 | 255,762 | 10,242 |
| – Gross Longs: | 1,927,628 | 7,452,204 | 41,362 |
| – Gross Shorts: | 2,193,632 | 7,196,442 | 31,120 |
| – 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): | 46.5 | 52.8 | 83.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 12.0 | -13.2 | 11.7 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week was a net position of -209,777 contracts in the data reported through Tuesday. This was a weekly decline of -72,136 contracts from the previous week which had a total of -137,641 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 16.8 percent. The commercials are Bullish-Extreme with a score of 82.9 percent and the small traders (not shown in chart) are Bullish with a score of 68.0 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: | 13.7 | 68.3 | 0.1 |
| – Percent of Open Interest Shorts: | 27.1 | 54.9 | 0.0 |
| – Net Position: | -209,777 | 209,228 | 549 |
| – Gross Longs: | 213,010 | 1,065,129 | 958 |
| – Gross Shorts: | 422,787 | 855,901 | 409 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 2.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 16.8 | 82.9 | 68.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.1 | 15.7 | -5.9 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week was a net position of -1,374,961 contracts in the data reported through Tuesday. This was a weekly reduction of -78,878 contracts from the previous week which had a total of -1,296,083 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 9.4 percent. The commercials are Bullish-Extreme with a score of 88.4 percent and the small traders (not shown in chart) are Bullish with a score of 76.1 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.1 | 78.8 | 5.5 |
| – Percent of Open Interest Shorts: | 42.4 | 51.8 | 2.3 |
| – Net Position: | -1,374,961 | 1,225,975 | 148,986 |
| – Gross Longs: | 549,072 | 3,577,509 | 251,198 |
| – Gross Shorts: | 1,924,033 | 2,351,534 | 102,212 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 9.4 | 88.4 | 76.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.6 | 19.4 | -3.3 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week was a net position of -2,554,763 contracts in the data reported through Tuesday. This was a weekly rise of 127,224 contracts from the previous week which had a total of -2,681,987 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 5.7 percent. The commercials are Bullish-Extreme with a score of 91.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 97.0 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.7 | 84.2 | 7.2 |
| – Percent of Open Interest Shorts: | 44.3 | 50.1 | 3.6 |
| – Net Position: | -2,554,763 | 2,315,862 | 238,901 |
| – Gross Longs: | 455,152 | 5,716,348 | 486,457 |
| – Gross Shorts: | 3,009,915 | 3,400,486 | 247,556 |
| – Long to Short Ratio: | 0.2 to 1 | 1.7 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 5.7 | 91.0 | 97.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.9 | -1.7 | 19.2 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week was a net position of -857,972 contracts in the data reported through Tuesday. This was a weekly rise of 10,386 contracts from the previous week which had a total of -868,358 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 31.3 percent. The commercials are Bullish with a score of 61.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.4 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.9 | 77.4 | 8.9 |
| – Percent of Open Interest Shorts: | 28.2 | 63.8 | 6.3 |
| – Net Position: | -857,972 | 719,102 | 138,870 |
| – Gross Longs: | 627,289 | 4,079,093 | 471,296 |
| – Gross Shorts: | 1,485,261 | 3,359,991 | 332,426 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 31.3 | 61.8 | 86.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 4.2 | -11.7 | 14.8 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week was a net position of -274,924 contracts in the data reported through Tuesday. This was a weekly advance of 59,952 contracts from the previous week which had a total of -334,876 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 35.1 percent. The commercials are Bullish with a score of 62.4 percent and the small traders (not shown in chart) are Bullish with a score of 60.3 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: | 14.5 | 74.7 | 10.0 |
| – Percent of Open Interest Shorts: | 26.1 | 60.9 | 12.3 |
| – Net Position: | -274,924 | 329,264 | -54,340 |
| – Gross Longs: | 344,178 | 1,775,423 | 237,817 |
| – Gross Shorts: | 619,102 | 1,446,159 | 292,157 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 35.1 | 62.4 | 60.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.0 | -23.3 | 13.3 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week was a net position of -98,608 contracts in the data reported through Tuesday. This was a weekly lowering of -21,340 contracts from the previous week which had a total of -77,268 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 49.1 percent. The commercials are Bearish with a score of 29.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.7 | 76.4 | 13.8 |
| – Percent of Open Interest Shorts: | 14.0 | 78.2 | 6.7 |
| – Net Position: | -98,608 | -32,796 | 131,404 |
| – Gross Longs: | 159,934 | 1,409,130 | 254,567 |
| – Gross Shorts: | 258,542 | 1,441,926 | 123,163 |
| – Long to Short Ratio: | 0.6 to 1 | 1.0 to 1 | 2.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 49.1 | 29.4 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 4.2 | -12.9 | 27.6 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week was a net position of -263,219 contracts in the data reported through Tuesday. This was a weekly lowering of -14,274 contracts from the previous week which had a total of -248,945 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 72.4 percent. The commercials are Bearish with a score of 42.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.8 percent.
Price Trend-Following Model: Strong Uptrend
Our weekly trend-following model classifies the current market price position as: Strong Uptrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.8 | 82.3 | 9.2 |
| – Percent of Open Interest Shorts: | 20.0 | 69.2 | 9.2 |
| – Net Position: | -263,219 | 262,589 | 630 |
| – Gross Longs: | 135,468 | 1,645,379 | 183,916 |
| – Gross Shorts: | 398,687 | 1,382,790 | 183,286 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 72.4 | 42.7 | 15.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.6 | 11.2 | 1.5 |
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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