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 May 6th 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 SOFR 3-Month & 10-Year Bonds
The COT bond market speculator bets were decisively 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 11,313 contracts for the week.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-172,797 contracts), the 10-Year Bonds (-81,631 contracts), the Ultra 10-Year Bonds (-62,008 contracts), the 2-Year Bonds (-14,416 contracts), the Ultra Treasury Bonds (-13,381 contracts), the US Treasury Bonds (-10,233 contracts), the Fed Funds (-8,245 contracts) and the 5-Year Bonds (-3,952 contracts) also registering lower bets on the week.
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 (73 percent) and the SOFR 1-Month (66 percent) lead the bond markets this week. The US Treasury Bonds (50 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 5-Year Bonds (0 percent), the 10-Year Bonds (18 percent) and the 2-Year Bonds (18 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (33.2 percent) vs Fed Funds previous week (34.7 percent)
2-Year Bond (18.3 percent) vs 2-Year Bond previous week (19.3 percent)
5-Year Bond (0.0 percent) vs 5-Year Bond previous week (0.2 percent)
10-Year Bond (18.4 percent) vs 10-Year Bond previous week (26.3 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (22.4 percent)
US Treasury Bond (50.0 percent) vs US Treasury Bond previous week (53.6 percent)
Ultra US Treasury Bond (73.2 percent) vs Ultra US Treasury Bond previous week (78.3 percent)
SOFR 1-Month (66.5 percent) vs SOFR 1-Month previous week (63.7 percent)
SOFR 3-Months (22.1 percent) vs SOFR 3-Months previous week (31.1 percent)
SOFR 1-Month & 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 SOFR 1-Month (11 percent) and the SOFR 3-Months (1 percent) lead the past six weeks trends for bonds. The Fed Funds (0 percent) and the are the next highest positive movers in the latest trends data.
The Ultra 10-Year Bond (-72 percent) and the US Treasury Bonds (-20 percent) lead the downside trend scores currently with the 5-Year Bonds (-18 percent), the 10-Year Bonds (-14 percent) and the Ultra Treasury Bonds (-12 percent) following next with lower trend scores.
Strength Trend Statistics:
Fed Funds (-0.4 percent) vs Fed Funds previous week (10.7 percent)
2-Year Bond (-2.7 percent) vs 2-Year Bond previous week (1.0 percent)
5-Year Bond (-18.1 percent) vs 5-Year Bond previous week (-17.6 percent)
10-Year Bond (-13.8 percent) vs 10-Year Bond previous week (0.9 percent)
Ultra 10-Year Bond (-71.9 percent) vs Ultra 10-Year Bond previous week (-48.6 percent)
US Treasury Bond (-20.0 percent) vs US Treasury Bond previous week (-25.1 percent)
Ultra US Treasury Bond (-12.4 percent) vs Ultra US Treasury Bond previous week (-1.6 percent)
SOFR 1-Month (11.0 percent) vs SOFR 1-Month previous week (2.0 percent)
SOFR 3-Months (1.1 percent) vs SOFR 3-Months previous week (5.3 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week equaled a net position of -115,965 contracts in the data reported through Tuesday. This was a weekly fall of -8,245 contracts from the previous week which had a total of -107,720 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 33.2 percent. The commercials are Bullish with a score of 60.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 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: | 16.7 | 67.5 | 2.4 |
| – Percent of Open Interest Shorts: | 22.9 | 62.0 | 1.7 |
| – Net Position: | -115,965 | 103,159 | 12,806 |
| – Gross Longs: | 313,631 | 1,265,461 | 45,399 |
| – Gross Shorts: | 429,596 | 1,162,302 | 32,593 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 33.2 | 60.8 | 78.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.4 | 2.1 | -12.9 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week equaled a net position of -738,403 contracts in the data reported through Tuesday. This was a weekly decline of -172,797 contracts from the previous week which had a total of -565,606 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 22.1 percent. The commercials are Bullish with a score of 77.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.2 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: | 11.1 | 61.0 | 0.3 |
| – Percent of Open Interest Shorts: | 18.0 | 54.1 | 0.3 |
| – Net Position: | -738,403 | 735,570 | 2,833 |
| – Gross Longs: | 1,195,710 | 6,541,847 | 35,761 |
| – Gross Shorts: | 1,934,113 | 5,806,277 | 32,928 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 22.1 | 77.6 | 85.2 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 1.1 | -1.2 | 1.4 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week equaled a net position of -8,091 contracts in the data reported through Tuesday. This was a weekly gain of 11,313 contracts from the previous week which had a total of -19,404 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 66.5 percent. The commercials are Bearish with a score of 34.1 percent and the small traders (not shown in chart) are Bullish with a score of 79.1 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: | 17.4 | 63.3 | 0.0 |
| – Percent of Open Interest Shorts: | 18.1 | 62.4 | 0.2 |
| – Net Position: | -8,091 | 10,503 | -2,412 |
| – Gross Longs: | 198,034 | 721,268 | 283 |
| – Gross Shorts: | 206,125 | 710,765 | 2,695 |
| – Long to Short Ratio: | 1.0 to 1 | 1.0 to 1 | 0.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 66.5 | 34.1 | 79.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 11.0 | -14.2 | 35.4 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week equaled a net position of -1,220,793 contracts in the data reported through Tuesday. This was a weekly fall of -14,416 contracts from the previous week which had a total of -1,206,377 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 18.3 percent. The commercials are Bullish with a score of 78.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 82.0 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.4 | 78.3 | 6.2 |
| – Percent of Open Interest Shorts: | 43.1 | 52.2 | 2.6 |
| – Net Position: | -1,220,793 | 1,073,415 | 147,378 |
| – Gross Longs: | 549,885 | 3,219,754 | 256,003 |
| – Gross Shorts: | 1,770,678 | 2,146,339 | 108,625 |
| – Long to Short Ratio: | 0.3 to 1 | 1.5 to 1 | 2.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 18.3 | 78.7 | 82.0 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.7 | 1.1 | 8.3 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week equaled a net position of -2,296,496 contracts in the data reported through Tuesday. This was a weekly lowering of -3,952 contracts from the previous week which had a total of -2,292,544 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 99.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.2 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.5 | 82.1 | 6.5 |
| – Percent of Open Interest Shorts: | 40.8 | 53.0 | 3.3 |
| – Net Position: | -2,296,496 | 2,066,750 | 229,746 |
| – Gross Longs: | 603,900 | 5,833,463 | 461,099 |
| – Gross Shorts: | 2,900,396 | 3,766,713 | 231,353 |
| – Long to Short Ratio: | 0.2 to 1 | 1.5 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 99.3 | 95.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.1 | 19.5 | 10.7 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week equaled a net position of -953,168 contracts in the data reported through Tuesday. This was a weekly decline of -81,631 contracts from the previous week which had a total of -871,537 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 18.4 percent. The commercials are Bullish with a score of 78.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.7 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.4 | 78.8 | 9.2 |
| – Percent of Open Interest Shorts: | 28.5 | 62.5 | 6.4 |
| – Net Position: | -953,168 | 812,188 | 140,980 |
| – Gross Longs: | 468,266 | 3,936,983 | 458,736 |
| – Gross Shorts: | 1,421,434 | 3,124,795 | 317,756 |
| – Long to Short Ratio: | 0.3 to 1 | 1.3 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 18.4 | 78.2 | 93.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -13.8 | 12.8 | 11.2 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week equaled a net position of -283,697 contracts in the data reported through Tuesday. This was a weekly lowering of -62,008 contracts from the previous week which had a total of -221,689 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 89.7 percent and the small traders (not shown in chart) are Bullish with a score of 78.1 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: | 12.5 | 77.2 | 9.4 |
| – Percent of Open Interest Shorts: | 24.9 | 63.1 | 11.2 |
| – Net Position: | -283,697 | 323,389 | -39,692 |
| – Gross Longs: | 286,185 | 1,769,437 | 216,393 |
| – Gross Shorts: | 569,882 | 1,446,048 | 256,085 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 89.7 | 78.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -71.9 | 79.3 | -1.4 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week equaled a net position of -95,789 contracts in the data reported through Tuesday. This was a weekly fall of -10,233 contracts from the previous week which had a total of -85,556 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 50.0 percent. The commercials are Bearish with a score of 38.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.7 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 10.4 | 75.5 | 12.8 |
| – Percent of Open Interest Shorts: | 15.7 | 75.6 | 7.3 |
| – Net Position: | -95,789 | -2,704 | 98,493 |
| – Gross Longs: | 187,829 | 1,361,393 | 230,957 |
| – Gross Shorts: | 283,618 | 1,364,097 | 132,464 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 50.0 | 38.2 | 85.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -20.0 | 16.9 | -0.4 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week equaled a net position of -264,775 contracts in the data reported through Tuesday. This was a weekly decrease of -13,381 contracts from the previous week which had a total of -251,394 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 73.2 percent. The commercials are Bearish with a score of 31.5 percent and the small traders (not shown in chart) are Bearish with a score of 44.8 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.6 | 82.9 | 9.4 |
| – Percent of Open Interest Shorts: | 20.6 | 70.2 | 8.1 |
| – Net Position: | -264,775 | 239,311 | 25,464 |
| – Gross Longs: | 123,949 | 1,565,107 | 177,814 |
| – Gross Shorts: | 388,724 | 1,325,796 | 152,350 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 73.2 | 31.5 | 44.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.4 | 18.1 | -17.9 |
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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