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 July 15th 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 SOFR 3-Months & 10-Year Bonds
The COT bond market speculator bets were 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 SOFR 3-Months (156,120 contracts), the 10-Year Bonds (68,202 contracts), the Ultra 10-Year Bonds (29,162 contracts), the Fed Funds (20,490 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the 2-Year Bonds (-33,727 contracts), the US Treasury Bonds (-21,386 contracts), the 5-Year Bonds (11,259 contracts), the Ultra Treasury Bonds (-5,794 contracts), and the SOFR 1-Month (-1,100 contracts) also registering lower bets on the week.
The 3-month Secured Overnight Financing Rate (SOFR) contracts were the leaders in the bond market for positive changes this week, gaining by over 150,000 positions. This market represents a short-term bond utilized by banks, broker-dealers and other entities and consistently has the highest open interest on a weekly basis.
On the other hand, the 2-year bond experienced the most significant decline this week, with a decrease of over -30,000 contracts.
Overall, most of the bond contract prices, ranging from the 2-year to the long treasury bonds, are trading within the same range that they have been for the past couple of years. While they are down from their 2020 levels, they continue to be in a holding pattern for the recent price history.
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 & Fed Funds
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 (85 percent) and the Fed Funds (65 percent) lead the bond markets this week.
On the downside, the 5-Year Bond (1 percent), the Ultra 10-Year Bonds (7 percent) and the 2-Year Bonds (13 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (64.7 percent) vs Fed Funds previous week (60.9 percent)
2-Year Bond (13.4 percent) vs 2-Year Bond previous week (15.8 percent)
5-Year Bond (0.5 percent) vs 5-Year Bond previous week (0.0 percent)
10-Year Bond (39.4 percent) vs 10-Year Bond previous week (32.1 percent)
Ultra 10-Year Bond (7.3 percent) vs Ultra 10-Year Bond previous week (0.0 percent)
US Treasury Bond (38.1 percent) vs US Treasury Bond previous week (45.5 percent)
Ultra US Treasury Bond (85.4 percent) vs Ultra US Treasury Bond previous week (87.6 percent)
SOFR 1-Month (31.8 percent) vs SOFR 1-Month previous week (32.1 percent)
SOFR 3-Months (35.1 percent) vs SOFR 3-Months previous week (27.0 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 (37 percent) and the SOFR 3-Months (23 percent) lead the past six weeks trends for bonds.
The SOFR 1-Month (-32 percent), the 2-Year Bonds (-11 percent), the US Treasury Bonds (-10 percent) and the 10-Year Bonds (-7 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (36.8 percent) vs Fed Funds previous week (55.1 percent)
2-Year Bond (-11.2 percent) vs 2-Year Bond previous week (-10.5 percent)
5-Year Bond (-5.0 percent) vs 5-Year Bond previous week (-8.3 percent)
10-Year Bond (-7.1 percent) vs 10-Year Bond previous week (-7.5 percent)
Ultra 10-Year Bond (-1.9 percent) vs Ultra 10-Year Bond previous week (-27.4 percent)
US Treasury Bond (-9.7 percent) vs US Treasury Bond previous week (-19.1 percent)
Ultra US Treasury Bond (-0.1 percent) vs Ultra US Treasury Bond previous week (4.0 percent)
SOFR 1-Month (-31.6 percent) vs SOFR 1-Month previous week (-48.3 percent)
SOFR 3-Months (22.9 percent) vs SOFR 3-Months previous week (21.3 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week resulted in a net position of 54,744 contracts in the data reported through Tuesday. This was a weekly boost of 20,490 contracts from the previous week which had a total of 34,254 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 64.7 percent. The commercials are Bearish with a score of 31.1 percent and the small traders (not shown in chart) are Bullish with a score of 69.1 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: | 20.5 | 61.7 | 2.4 |
| – Percent of Open Interest Shorts: | 17.9 | 64.5 | 2.2 |
| – Net Position: | 54,744 | -60,193 | 5,449 |
| – Gross Longs: | 437,919 | 1,318,062 | 51,540 |
| – Gross Shorts: | 383,175 | 1,378,255 | 46,091 |
| – Long to Short Ratio: | 1.1 to 1 | 1.0 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 64.7 | 31.1 | 69.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 36.8 | -35.2 | -8.2 |
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 -487,148 contracts in the data reported through Tuesday. This was a weekly advance of 156,120 contracts from the previous week which had a total of -643,268 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 35.1 percent. The commercials are Bullish with a score of 62.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 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: | 12.2 | 60.0 | 0.8 |
| – Percent of Open Interest Shorts: | 16.5 | 56.1 | 0.4 |
| – Net Position: | -487,148 | 442,642 | 44,506 |
| – Gross Longs: | 1,394,554 | 6,835,065 | 90,452 |
| – Gross Shorts: | 1,881,702 | 6,392,423 | 45,946 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 35.1 | 62.5 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 22.9 | -24.2 | 12.1 |
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 -149,007 contracts in the data reported through Tuesday. This was a weekly decline of -1,100 contracts from the previous week which had a total of -147,907 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 31.8 percent. The commercials are Bullish with a score of 67.3 percent and the small traders (not shown in chart) are Bullish with a score of 74.1 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: | 10.6 | 69.7 | 0.4 |
| – Percent of Open Interest Shorts: | 21.1 | 59.5 | 0.2 |
| – Net Position: | -149,007 | 145,500 | 3,507 |
| – Gross Longs: | 151,257 | 991,715 | 5,958 |
| – Gross Shorts: | 300,264 | 846,215 | 2,451 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 2.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 31.8 | 67.3 | 74.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -31.6 | 29.7 | 15.4 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,299,860 contracts in the data reported through Tuesday. This was a weekly reduction of -33,727 contracts from the previous week which had a total of -1,266,133 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 13.4 percent. The commercials are Bullish-Extreme with a score of 86.4 percent and the small traders (not shown in chart) are Bullish with a score of 69.1 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: | 13.8 | 77.7 | 5.7 |
| – Percent of Open Interest Shorts: | 43.6 | 50.8 | 2.8 |
| – Net Position: | -1,299,860 | 1,174,486 | 125,374 |
| – Gross Longs: | 600,084 | 3,389,554 | 247,372 |
| – Gross Shorts: | 1,899,944 | 2,215,068 | 121,998 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.4 | 86.4 | 69.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.2 | 12.8 | 1.8 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,505,528 contracts in the data reported through Tuesday. This was a weekly advance of 11,259 contracts from the previous week which had a total of -2,516,787 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 0.5 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bullish with a score of 77.9 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: | 6.9 | 84.4 | 6.1 |
| – Percent of Open Interest Shorts: | 42.6 | 51.0 | 3.8 |
| – Net Position: | -2,505,528 | 2,344,691 | 160,837 |
| – Gross Longs: | 487,008 | 5,932,240 | 430,351 |
| – Gross Shorts: | 2,992,536 | 3,587,549 | 269,514 |
| – Long to Short Ratio: | 0.2 to 1 | 1.7 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.5 | 100.0 | 77.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -5.0 | 6.3 | -2.9 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week resulted in a net position of -772,377 contracts in the data reported through Tuesday. This was a weekly boost of 68,202 contracts from the previous week which had a total of -840,579 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 39.4 percent. The commercials are Bullish with a score of 57.9 percent and the small traders (not shown in chart) are Bullish with a score of 68.9 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: | 11.7 | 77.6 | 8.9 |
| – Percent of Open Interest Shorts: | 27.5 | 63.5 | 7.1 |
| – Net Position: | -772,377 | 686,019 | 86,358 |
| – Gross Longs: | 572,071 | 3,797,640 | 435,018 |
| – Gross Shorts: | 1,344,448 | 3,111,621 | 348,660 |
| – 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): | 39.4 | 57.9 | 68.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -7.1 | 7.3 | 4.8 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -379,116 contracts in the data reported through Tuesday. This was a weekly gain of 29,162 contracts from the previous week which had a total of -408,278 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 7.3 percent. The commercials are Bullish-Extreme with a score of 93.1 percent and the small traders (not shown in chart) are Bullish with a score of 53.2 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: | 10.6 | 79.1 | 9.3 |
| – Percent of Open Interest Shorts: | 26.3 | 60.8 | 11.9 |
| – Net Position: | -379,116 | 443,999 | -64,883 |
| – Gross Longs: | 255,630 | 1,913,429 | 223,664 |
| – Gross Shorts: | 634,746 | 1,469,430 | 288,547 |
| – 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): | 7.3 | 93.1 | 53.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -1.9 | -0.1 | 6.5 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week resulted in a net position of -130,144 contracts in the data reported through Tuesday. This was a weekly lowering of -21,386 contracts from the previous week which had a total of -108,758 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 38.1 percent. The commercials are Bullish with a score of 54.6 percent and the small traders (not shown in chart) are Bullish with a score of 60.0 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.0 | 77.9 | 12.5 |
| – Percent of Open Interest Shorts: | 15.2 | 74.9 | 8.3 |
| – Net Position: | -130,144 | 53,908 | 76,236 |
| – Gross Longs: | 145,115 | 1,405,838 | 226,498 |
| – Gross Shorts: | 275,259 | 1,351,930 | 150,262 |
| – Long to Short Ratio: | 0.5 to 1 | 1.0 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 38.1 | 54.6 | 60.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -9.7 | 11.4 | -10.8 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -228,618 contracts in the data reported through Tuesday. This was a weekly reduction of -5,794 contracts from the previous week which had a total of -222,824 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 85.4 percent. The commercials are Bearish with a score of 33.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 4.7 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.5 | 82.0 | 9.1 |
| – Percent of Open Interest Shorts: | 19.2 | 69.9 | 9.6 |
| – Net Position: | -228,618 | 238,681 | -10,063 |
| – Gross Longs: | 147,388 | 1,610,288 | 179,361 |
| – Gross Shorts: | 376,006 | 1,371,607 | 189,424 |
| – 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): | 85.4 | 33.5 | 4.7 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.1 | 3.2 | -8.4 |
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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