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 4th 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 lower by Fed Funds & 5-Year Bonds
The COT bond market speculator bets were lower this week as just one out of the nine bond markets we cover had higher positioning while the other eight markets had lower speculator contracts.
Leading the gains for the bond markets was the SOFR 1-Month with a gain of 42,737 contracts also showing positive weeks.
The bond markets with declines in speculator bets for the week were the Fed Funds (-233,685 contracts), the 5-Year Bonds (-172,588 contracts), the SOFR 3-Months (-114,073 contracts), the US Treasury Bonds (-58,709 contracts), the 2-Year Bonds (-21,846 contracts), the Ultra 10-Year Bonds (-21,236 contracts), the 10-Year Bonds (-12,185 contracts) and the Ultra Treasury Bonds (-4,169 contracts) also registering lower bets on the week.
Bonds Net Speculators Leaderboard
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators 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 (86 percent) and the US Treasury Bonds (77 percent) lead the bond markets this week. The Ultra 10-Year Bonds (75 percent) come in as the next highest in the weekly strength scores.
On the downside, the Fed Funds (10 percent) and the SOFR 3-Months (17 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 (21 percent) and the 10-Year Bonds (41 percent).
Strength Statistics:
Fed Funds (10.3 percent) vs Fed Funds previous week (53.4 percent)
2-Year Bond (21.5 percent) vs 2-Year Bond previous week (23.0 percent)
5-Year Bond (9.8 percent) vs 5-Year Bond previous week (19.0 percent)
10-Year Bond (40.8 percent) vs 10-Year Bond previous week (42.0 percent)
Ultra 10-Year Bond (75.1 percent) vs Ultra 10-Year Bond previous week (83.0 percent)
US Treasury Bond (77.2 percent) vs US Treasury Bond previous week (97.6 percent)
Ultra US Treasury Bond (85.8 percent) vs Ultra US Treasury Bond previous week (87.4 percent)
SOFR 1-Month (60.2 percent) vs SOFR 1-Month previous week (49.7 percent)
SOFR 3-Months (16.9 percent) vs SOFR 3-Months previous week (22.8 percent)
Ultra 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 10-Year Bonds (36 percent) and the lead the past six weeks trends for bonds.
The SOFR 1-Month (-17 percent), the US Treasury Bond (-15 percent) and the 10-Year Bonds (-12 percent) lead the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (-9.1 percent) vs Fed Funds previous week (33.3 percent)
2-Year Bond (0.2 percent) vs 2-Year Bond previous week (7.4 percent)
5-Year Bond (-0.1 percent) vs 5-Year Bond previous week (8.1 percent)
10-Year Bond (-12.5 percent) vs 10-Year Bond previous week (-12.5 percent)
Ultra 10-Year Bond (36.3 percent) vs Ultra 10-Year Bond previous week (32.2 percent)
US Treasury Bond (-14.7 percent) vs US Treasury Bond previous week (14.2 percent)
Ultra US Treasury Bond (-0.7 percent) vs Ultra US Treasury Bond previous week (5.6 percent)
SOFR 1-Month (-17.0 percent) vs SOFR 1-Month previous week (-16.9 percent)
SOFR 3-Months (-8.6 percent) vs SOFR 3-Months previous week (-0.2 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week reached a net position of -240,075 contracts in the data reported through Tuesday. This was a weekly decline of -233,685 contracts from the previous week which had a total of -6,390 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 10.3 percent. The commercials are Bullish-Extreme with a score of 82.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.4 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: | 12.1 | 69.2 | 2.5 |
| – Percent of Open Interest Shorts: | 25.7 | 56.7 | 1.4 |
| – Net Position: | -240,075 | 220,897 | 19,178 |
| – Gross Longs: | 214,528 | 1,224,314 | 43,847 |
| – Gross Shorts: | 454,603 | 1,003,417 | 24,669 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 10.3 | 82.2 | 87.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -9.1 | 4.8 | 30.3 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week reached a net position of -838,944 contracts in the data reported through Tuesday. This was a weekly lowering of -114,073 contracts from the previous week which had a total of -724,871 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 16.9 percent. The commercials are Bullish-Extreme with a score of 81.7 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: | 12.9 | 61.2 | 0.6 |
| – Percent of Open Interest Shorts: | 20.9 | 53.5 | 0.4 |
| – Net Position: | -838,944 | 814,365 | 24,579 |
| – Gross Longs: | 1,367,058 | 6,463,732 | 66,088 |
| – Gross Shorts: | 2,206,002 | 5,649,367 | 41,509 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 16.9 | 81.7 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.6 | 7.7 | 9.3 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week reached a net position of -33,587 contracts in the data reported through Tuesday. This was a weekly lift of 42,737 contracts from the previous week which had a total of -76,324 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 60.2 percent. The commercials are Bearish with a score of 45.0 percent and the small traders (not shown in chart) are Bearish with a score of 29.6 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| SOFR 1-Month Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 24.3 | 54.6 | 0.4 |
| – Percent of Open Interest Shorts: | 27.0 | 50.3 | 2.0 |
| – Net Position: | -33,587 | 54,688 | -21,101 |
| – Gross Longs: | 311,799 | 699,458 | 4,676 |
| – Gross Shorts: | 345,386 | 644,770 | 25,777 |
| – Long to Short Ratio: | 0.9 to 1 | 1.1 to 1 | 0.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 60.2 | 45.0 | 29.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.0 | 22.1 | -55.2 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week reached a net position of -1,171,299 contracts in the data reported through Tuesday. This was a weekly lowering of -21,846 contracts from the previous week which had a total of -1,149,453 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 75.7 percent and the small traders (not shown in chart) are Bullish with a score of 80.0 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: | 14.4 | 74.1 | 6.3 |
| – Percent of Open Interest Shorts: | 45.0 | 47.2 | 2.6 |
| – Net Position: | -1,171,299 | 1,032,223 | 139,076 |
| – Gross Longs: | 553,273 | 2,841,528 | 240,539 |
| – Gross Shorts: | 1,724,572 | 1,809,305 | 101,463 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 2.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 21.5 | 75.7 | 80.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 0.2 | -0.2 | -0.1 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week reached a net position of -1,798,361 contracts in the data reported through Tuesday. This was a weekly reduction of -172,588 contracts from the previous week which had a total of -1,625,773 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 9.8 percent. The commercials are Bullish-Extreme with a score of 85.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.9 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 7.2 | 82.8 | 7.0 |
| – Percent of Open Interest Shorts: | 36.3 | 56.5 | 4.3 |
| – Net Position: | -1,798,361 | 1,632,826 | 165,535 |
| – Gross Longs: | 447,699 | 5,131,809 | 430,704 |
| – Gross Shorts: | 2,246,060 | 3,498,983 | 265,169 |
| – Long to Short Ratio: | 0.2 to 1 | 1.5 to 1 | 1.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 9.8 | 85.4 | 82.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.1 | -2.4 | 8.2 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week reached a net position of -712,040 contracts in the data reported through Tuesday. This was a weekly decline of -12,185 contracts from the previous week which had a total of -699,855 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 40.8 percent. The commercials are Bullish with a score of 58.7 percent and the small traders (not shown in chart) are Bullish with a score of 72.5 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.5 | 75.2 | 8.7 |
| – Percent of Open Interest Shorts: | 28.7 | 61.4 | 7.4 |
| – Net Position: | -712,040 | 653,140 | 58,900 |
| – Gross Longs: | 637,490 | 3,542,653 | 408,077 |
| – Gross Shorts: | 1,349,530 | 2,889,513 | 349,177 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 40.8 | 58.7 | 72.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.5 | 10.8 | 12.0 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week reached a net position of -74,193 contracts in the data reported through Tuesday. This was a weekly reduction of -21,236 contracts from the previous week which had a total of -52,957 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 75.1 percent. The commercials are Bearish-Extreme with a score of 9.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 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: | 15.2 | 73.6 | 10.3 |
| – Percent of Open Interest Shorts: | 18.5 | 68.3 | 12.3 |
| – Net Position: | -74,193 | 118,891 | -44,698 |
| – Gross Longs: | 339,134 | 1,641,606 | 228,663 |
| – Gross Shorts: | 413,327 | 1,522,715 | 273,361 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 75.1 | 9.1 | 81.5 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 36.3 | -40.4 | 3.3 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week reached a net position of -17,797 contracts in the data reported through Tuesday. This was a weekly fall of -58,709 contracts from the previous week which had a total of 40,912 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 77.2 percent. The commercials are Bearish-Extreme with a score of 15.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 87.6 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 17.7 | 67.5 | 12.1 |
| – Percent of Open Interest Shorts: | 18.6 | 71.7 | 6.9 |
| – Net Position: | -17,797 | -82,656 | 100,453 |
| – Gross Longs: | 341,103 | 1,303,352 | 234,473 |
| – Gross Shorts: | 358,900 | 1,386,008 | 134,020 |
| – Long to Short Ratio: | 1.0 to 1 | 0.9 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 77.2 | 15.0 | 87.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.7 | 2.3 | 23.5 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week reached a net position of -231,904 contracts in the data reported through Tuesday. This was a weekly decline of -4,169 contracts from the previous week which had a total of -227,735 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 85.8 percent. The commercials are Bearish-Extreme with a score of 5.7 percent and the small traders (not shown in chart) are Bullish with a score of 52.2 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: | 8.2 | 80.9 | 10.5 |
| – Percent of Open Interest Shorts: | 21.3 | 69.5 | 8.8 |
| – Net Position: | -231,904 | 200,977 | 30,927 |
| – Gross Longs: | 143,596 | 1,425,013 | 185,058 |
| – Gross Shorts: | 375,500 | 1,224,036 | 154,131 |
| – 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): | 85.8 | 5.7 | 52.2 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.7 | -12.6 | 40.7 |
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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