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 20th 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-Months & 5-Year Bonds
The COT bond market speculator bets were overall 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 10-Year Bonds (38,920 contracts) with the SOFR 1-Month (20,104 contracts), the Ultra Treasury Bonds (15,087 contracts) and the US Treasury Bonds (5,596 contracts) also having positive weeks.
The bond markets with declines in speculator bets for the week were the SOFR 3-Months (-232,067 contracts), the 5-Year Bonds (-95,898 contracts), the Fed Funds (-51,861 contracts), the 2-Year Bonds (-45,099 contracts) and with the Ultra 10-Year Bonds (-8,837 contracts) also seeing 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 (80 percent) and the SOFR 1-Month (72 percent) lead the bond markets this week. The US Treasury Bonds (58 percent) comes in as the next highest in the weekly strength scores.
On the downside, the Ultra 10-Year Bonds (0 percent), the 5-Year Bonds (1 percent), the SOFR 3-Months (10 percent) and the 2-Year Bonds (15 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (30.4 percent) vs Fed Funds previous week (39.9 percent)
2-Year Bond (15.4 percent) vs 2-Year Bond previous week (18.6 percent)
5-Year Bond (0.9 percent) vs 5-Year Bond previous week (5.3 percent)
10-Year Bond (28.2 percent) vs 10-Year Bond previous week (24.5 percent)
Ultra 10-Year Bond (0.0 percent) vs Ultra 10-Year Bond previous week (2.7 percent)
US Treasury Bond (58.3 percent) vs US Treasury Bond previous week (56.4 percent)
Ultra US Treasury Bond (80.3 percent) vs Ultra US Treasury Bond previous week (74.6 percent)
SOFR 1-Month (72.2 percent) vs SOFR 1-Month previous week (67.2 percent)
SOFR 3-Months (9.8 percent) vs SOFR 3-Months previous week (21.8 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 (22 percent) and the SOFR 1-Month (22 percent) lead the past six weeks trends for bonds.
The Ultra 10-Year Bond (-55 percent), the US Treasury Bonds (-19 percent) and the Ultra Treasury Bonds (-18 percent) lead the downside trend scores.
Strength Trend Statistics:
Fed Funds (-9.3 percent) vs Fed Funds previous week (13.0 percent)
2-Year Bond (-4.9 percent) vs 2-Year Bond previous week (0.3 percent)
5-Year Bond (-11.6 percent) vs 5-Year Bond previous week (-7.2 percent)
10-Year Bond (21.9 percent) vs 10-Year Bond previous week (-2.6 percent)
Ultra 10-Year Bond (-54.7 percent) vs Ultra 10-Year Bond previous week (-66.4 percent)
US Treasury Bond (-18.7 percent) vs US Treasury Bond previous week (-15.6 percent)
Ultra US Treasury Bond (-17.5 percent) vs Ultra US Treasury Bond previous week (-2.7 percent)
SOFR 1-Month (22.3 percent) vs SOFR 1-Month previous week (8.7 percent)
SOFR 3-Months (-15.7 percent) vs SOFR 3-Months previous week (5.5 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week came in at a net position of -131,330 contracts in the data reported through Tuesday. This was a weekly fall of -51,861 contracts from the previous week which had a total of -79,469 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 30.4 percent. The commercials are Bullish with a score of 61.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 92.9 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: | 17.4 | 67.4 | 2.5 |
| – Percent of Open Interest Shorts: | 23.5 | 62.4 | 1.4 |
| – Net Position: | -131,330 | 107,990 | 23,340 |
| – Gross Longs: | 371,441 | 1,439,977 | 53,265 |
| – Gross Shorts: | 502,771 | 1,331,987 | 29,925 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 30.4 | 61.7 | 92.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -9.3 | 6.2 | 21.4 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week came in at a net position of -976,935 contracts in the data reported through Tuesday. This was a weekly reduction of -232,067 contracts from the previous week which had a total of -744,868 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 89.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.1 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: | 10.2 | 59.9 | 0.5 |
| – Percent of Open Interest Shorts: | 19.1 | 51.2 | 0.4 |
| – Net Position: | -976,935 | 966,625 | 10,310 |
| – Gross Longs: | 1,121,206 | 6,592,088 | 50,941 |
| – Gross Shorts: | 2,098,141 | 5,625,463 | 40,631 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 9.8 | 89.6 | 89.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.7 | 15.5 | 2.7 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week came in at a net position of 15,032 contracts in the data reported through Tuesday. This was a weekly boost of 20,104 contracts from the previous week which had a total of -5,072 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 72.2 percent. The commercials are Bearish with a score of 29.0 percent and the small traders (not shown in chart) are Bullish with a score of 57.4 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: | 17.5 | 64.6 | 0.0 |
| – Percent of Open Interest Shorts: | 16.3 | 65.4 | 0.4 |
| – Net Position: | 15,032 | -10,453 | -4,579 |
| – Gross Longs: | 227,059 | 838,502 | 566 |
| – Gross Shorts: | 212,027 | 848,955 | 5,145 |
| – Long to Short Ratio: | 1.1 to 1 | 1.0 to 1 | 0.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 72.2 | 29.0 | 57.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 22.3 | -21.6 | -5.6 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week came in at a net position of -1,267,331 contracts in the data reported through Tuesday. This was a weekly decrease of -45,099 contracts from the previous week which had a total of -1,222,232 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 15.4 percent. The commercials are Bullish-Extreme with a score of 83.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.3 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: | 14.0 | 76.2 | 5.9 |
| – Percent of Open Interest Shorts: | 43.8 | 49.4 | 2.9 |
| – Net Position: | -1,267,331 | 1,140,386 | 126,945 |
| – Gross Longs: | 592,294 | 3,235,687 | 250,064 |
| – Gross Shorts: | 1,859,625 | 2,095,301 | 123,119 |
| – 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): | 15.4 | 83.7 | 75.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -4.9 | 5.9 | -0.3 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week came in at a net position of -2,275,941 contracts in the data reported through Tuesday. This was a weekly decline of -95,898 contracts from the previous week which had a total of -2,180,043 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 0.9 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 83.4 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: | 8.0 | 80.7 | 6.1 |
| – Percent of Open Interest Shorts: | 39.5 | 51.7 | 3.6 |
| – Net Position: | -2,275,941 | 2,097,939 | 178,002 |
| – Gross Longs: | 579,514 | 5,832,382 | 439,625 |
| – Gross Shorts: | 2,855,455 | 3,734,443 | 261,623 |
| – 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): | 0.9 | 100.0 | 83.4 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -11.6 | 16.2 | -8.7 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week came in at a net position of -851,431 contracts in the data reported through Tuesday. This was a weekly advance of 38,920 contracts from the previous week which had a total of -890,351 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 28.2 percent. The commercials are Bullish with a score of 72.6 percent and the small traders (not shown in chart) are Bullish with a score of 77.1 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: | 9.6 | 76.1 | 8.4 |
| – Percent of Open Interest Shorts: | 25.9 | 61.4 | 6.8 |
| – Net Position: | -851,431 | 766,540 | 84,891 |
| – Gross Longs: | 503,706 | 3,980,135 | 438,754 |
| – Gross Shorts: | 1,355,137 | 3,213,595 | 353,863 |
| – 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): | 28.2 | 72.6 | 77.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 21.9 | -18.3 | -22.9 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week came in at a net position of -328,444 contracts in the data reported through Tuesday. This was a weekly decrease of -8,837 contracts from the previous week which had a total of -319,607 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 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: | 11.6 | 76.0 | 9.2 |
| – Percent of Open Interest Shorts: | 25.5 | 60.5 | 10.9 |
| – Net Position: | -328,444 | 368,159 | -39,715 |
| – Gross Longs: | 276,250 | 1,805,143 | 218,835 |
| – Gross Shorts: | 604,694 | 1,436,984 | 258,550 |
| – Long to Short Ratio: | 0.5 to 1 | 1.3 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 100.0 | 78.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -54.7 | 76.0 | -21.9 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week came in at a net position of -72,033 contracts in the data reported through Tuesday. This was a weekly gain of 5,596 contracts from the previous week which had a total of -77,629 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 58.3 percent. The commercials are Bearish with a score of 33.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.0 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: | 9.9 | 73.9 | 12.7 |
| – Percent of Open Interest Shorts: | 13.8 | 75.0 | 7.8 |
| – Net Position: | -72,033 | -19,934 | 91,967 |
| – Gross Longs: | 184,197 | 1,369,023 | 235,851 |
| – Gross Shorts: | 256,230 | 1,388,957 | 143,884 |
| – 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): | 58.3 | 33.2 | 81.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -18.7 | 17.6 | -4.9 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week came in at a net position of -246,135 contracts in the data reported through Tuesday. This was a weekly lift of 15,087 contracts from the previous week which had a total of -261,222 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 80.3 percent. The commercials are Bearish with a score of 29.8 percent and the small traders (not shown in chart) are Bearish with a score of 25.7 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: | 5.9 | 79.9 | 9.4 |
| – Percent of Open Interest Shorts: | 18.4 | 68.0 | 8.8 |
| – Net Position: | -246,135 | 234,924 | 11,211 |
| – Gross Longs: | 117,127 | 1,577,209 | 184,656 |
| – Gross Shorts: | 363,262 | 1,342,285 | 173,445 |
| – Long to Short Ratio: | 0.3 to 1 | 1.2 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 80.3 | 29.8 | 25.7 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -17.5 | 29.8 | -39.8 |
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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