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 3rd 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-3M, Fed Funds & 10-Year 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 SOFR 3-Months (124,899 contracts) with the Fed Funds (119,342 contracts), the 10-Year Bonds (64,348 contracts) and the Ultra Treasury Bonds (5,029 contracts) also recording positive weeks.
The bond markets with declines in speculator bets for the week were the Ultra 10-Year Bonds (-73,325 contracts), the SOFR 1-Month (-69,131 contracts), the 5-Year Bonds (-63,299 contracts), the US Treasury Bonds (-48,483 contracts) and with the 2-Year Bonds (-24,022 contracts) also registering lower bets on the week.
Price Performance Bonds last 5-Days:
– Fed funds were virtually unchanged.
– The 3-month secured overnight financing rate was down by -0.5%.
– The 2-year bond was down by -0.5%.
– The 5-year bond was down by approximately -0.90%.
– The longer bonds, the 10-year and the U.S. Treasury bonds were down by approximately -1%.
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 (87 percent) and the SOFR 1-Month (63 percent) lead the bond markets this week.
On the downside, the 5-Year Bonds (0 percent), the Ultra 10-Year Bond (0.0 percent) and the SOFR 3-Months (12 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 2-Year Bonds (24 percent) and the Fed Funds (28 percent).
Strength Statistics:
Fed Funds (27.9 percent) vs Fed Funds previous week (5.8 percent)
2-Year Bond (24.1 percent) vs 2-Year Bond previous week (25.7 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (2.8 percent)
10-Year Bond (42.4 percent) vs 10-Year Bond previous week (36.1 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (20.1 percent)
US Treasury Bond (47.8 percent) vs US Treasury Bond previous week (64.6 percent)
Ultra US Treasury Bond (87.1 percent) vs Ultra US Treasury Bond previous week (85.2 percent)
SOFR 1-Month (63.4 percent) vs SOFR 1-Month previous week (80.4 percent)
SOFR 3-Months (12.2 percent) vs SOFR 3-Months previous week (5.8 percent)
10-Year Bonds & SOFR 1-Month top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the 10-Year Bonds (19 percent) and the SOFR 1-Month (15 percent) lead the past six weeks trends for bonds. The 2-Year Bonds (11 percent) and are the next highest positive movers in the latest trends data.
The Ultra 10-Year Bond (-56 percent), the SOFR 3-Months (-26 percent) and the Fed Funds (-24 percent) leads the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-24.4 percent) vs Fed Funds previous week (-47.5 percent)
2-Year Bond (10.8 percent) vs 2-Year Bond previous week (9.5 percent)
5-Year Bond (-8.9 percent) vs 5-Year Bond previous week (-11.9 percent)
10-Year Bond (19.4 percent) vs 10-Year Bond previous week (16.2 percent)
Ultra 10-Year Bond (-55.8 percent) vs Ultra 10-Year Bond previous week (-41.1 percent)
US Treasury Bond (1.8 percent) vs US Treasury Bond previous week (16.3 percent)
Ultra US Treasury Bond (7.3 percent) vs Ultra US Treasury Bond previous week (-5.1 percent)
SOFR 1-Month (14.8 percent) vs SOFR 1-Month previous week (37.6 percent)
SOFR 3-Months (-26.2 percent) vs SOFR 3-Months previous week (-29.9 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week resulted in a net position of -144,721 contracts in the data reported through Tuesday. This was a weekly increase of 119,342 contracts from the previous week which had a total of -264,063 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 27.9 percent. The commercials are Bullish with a score of 66.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.3 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.5 | 69.4 | 2.5 |
| – Percent of Open Interest Shorts: | 21.5 | 61.1 | 1.8 |
| – Net Position: | -144,721 | 133,095 | 11,626 |
| – Gross Longs: | 199,894 | 1,110,998 | 40,360 |
| – Gross Shorts: | 344,615 | 977,903 | 28,734 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 27.9 | 66.2 | 77.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -24.4 | 23.6 | 3.6 |
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 -930,067 contracts in the data reported through Tuesday. This was a weekly boost of 124,899 contracts from the previous week which had a total of -1,054,966 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 12.2 percent. The commercials are Bullish-Extreme with a score of 86.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 94.1 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: | 11.6 | 62.2 | 0.5 |
| – Percent of Open Interest Shorts: | 19.8 | 54.2 | 0.3 |
| – Net Position: | -930,067 | 910,329 | 19,738 |
| – Gross Longs: | 1,318,995 | 7,061,972 | 55,811 |
| – Gross Shorts: | 2,249,062 | 6,151,643 | 36,073 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 12.2 | 86.7 | 94.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -26.2 | 25.3 | 8.6 |
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 -20,851 contracts in the data reported through Tuesday. This was a weekly fall of -69,131 contracts from the previous week which had a total of 48,280 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 63.4 percent. The commercials are Bearish with a score of 37.6 percent and the small traders (not shown in chart) are Bullish with a score of 58.7 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 17.2 | 59.8 | 0.1 |
| – Percent of Open Interest Shorts: | 19.0 | 57.6 | 0.5 |
| – Net Position: | -20,851 | 24,789 | -3,938 |
| – Gross Longs: | 192,954 | 671,822 | 1,242 |
| – Gross Shorts: | 213,805 | 647,033 | 5,180 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 0.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 63.4 | 37.6 | 58.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 14.8 | -13.7 | -8.3 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week resulted in a net position of -1,143,925 contracts in the data reported through Tuesday. This was a weekly lowering of -24,022 contracts from the previous week which had a total of -1,119,903 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 24.1 percent. The commercials are Bullish with a score of 74.0 percent and the small traders (not shown in chart) are Bullish with a score of 67.3 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: | 15.0 | 77.2 | 6.1 |
| – Percent of Open Interest Shorts: | 44.9 | 50.5 | 3.0 |
| – Net Position: | -1,143,925 | 1,024,516 | 119,409 |
| – Gross Longs: | 574,694 | 2,957,205 | 233,429 |
| – Gross Shorts: | 1,718,619 | 1,932,689 | 114,020 |
| – 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): | 24.1 | 74.0 | 67.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 10.8 | -13.2 | 0.9 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week resulted in a net position of -2,396,536 contracts in the data reported through Tuesday. This was a weekly fall of -63,299 contracts from the previous week which had a total of -2,333,237 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 82.1 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.1 | 84.3 | 6.1 |
| – Percent of Open Interest Shorts: | 42.2 | 51.6 | 3.5 |
| – Net Position: | -2,396,536 | 2,224,020 | 172,516 |
| – Gross Longs: | 480,671 | 5,740,780 | 412,729 |
| – Gross Shorts: | 2,877,207 | 3,516,760 | 240,213 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 82.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.9 | 11.7 | -4.8 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week resulted in a net position of -705,256 contracts in the data reported through Tuesday. This was a weekly boost of 64,348 contracts from the previous week which had a total of -769,604 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 42.4 percent. The commercials are Bullish with a score of 56.3 percent and the small traders (not shown in chart) are Bullish with a score of 69.8 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: | 10.7 | 78.3 | 8.7 |
| – Percent of Open Interest Shorts: | 25.4 | 65.1 | 7.2 |
| – Net Position: | -705,256 | 633,320 | 71,936 |
| – Gross Longs: | 509,034 | 3,739,243 | 415,931 |
| – Gross Shorts: | 1,214,290 | 3,105,923 | 343,995 |
| – 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): | 42.4 | 56.3 | 69.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.4 | -16.0 | -19.6 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week resulted in a net position of -371,588 contracts in the data reported through Tuesday. This was a weekly decline of -73,325 contracts from the previous week which had a total of -298,263 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 with a score of 54.6 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: | 9.6 | 79.9 | 9.0 |
| – Percent of Open Interest Shorts: | 25.8 | 60.6 | 12.2 |
| – Net Position: | -371,588 | 444,200 | -72,612 |
| – Gross Longs: | 221,697 | 1,838,381 | 207,577 |
| – Gross Shorts: | 593,285 | 1,394,181 | 280,189 |
| – Long to Short Ratio: | 0.4 to 1 | 1.3 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 54.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -55.8 | 72.3 | -34.2 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week resulted in a net position of -102,373 contracts in the data reported through Tuesday. This was a weekly decrease of -48,483 contracts from the previous week which had a total of -53,890 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 47.8 percent. The commercials are Bearish with a score of 43.2 percent and the small traders (not shown in chart) are Bullish with a score of 77.5 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: | 10.8 | 75.0 | 12.9 |
| – Percent of Open Interest Shorts: | 16.6 | 74.1 | 8.0 |
| – Net Position: | -102,373 | 14,702 | 87,671 |
| – Gross Longs: | 190,607 | 1,322,293 | 228,215 |
| – Gross Shorts: | 292,980 | 1,307,591 | 140,544 |
| – 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): | 47.8 | 43.2 | 77.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.8 | -4.5 | 7.4 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week resulted in a net position of -228,443 contracts in the data reported through Tuesday. This was a weekly gain of 5,029 contracts from the previous week which had a total of -233,472 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 87.1 percent. The commercials are Bearish with a score of 30.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 6.7 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: | 6.6 | 82.1 | 9.3 |
| – Percent of Open Interest Shorts: | 18.6 | 70.0 | 9.4 |
| – Net Position: | -228,443 | 230,330 | -1,887 |
| – Gross Longs: | 125,006 | 1,564,328 | 177,487 |
| – Gross Shorts: | 353,449 | 1,333,998 | 179,374 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 87.1 | 30.4 | 6.7 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 7.3 | 5.4 | -36.7 |
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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