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 February 18th 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 5-Year Bonds & Fed Funds
The COT bond market speculator bets were higher this week as seven out of the nine bond markets we cover had higher positioning while the other two markets had lower speculator contracts.
Leading the gains for the bond markets was the 5-Year Bonds (124,202 contracts) with the Fed Funds (73,169 contracts), the 10-Year Bonds (41,507 contracts), the SOFR 3-Months (10,481 contracts), the 2-Year Bonds (9,093 contracts), the SOFR 1-Month (7,490 contracts) and the US Treasury Bonds (3,780 contracts) also showing positive weeks.
The bond markets with declines in speculator bets for the week were the Ultra Treasury Bonds (-6,301 contracts) and with the Ultra 10-Year Bonds (-5,859 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 US Treasury Bonds & Ultra 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 US Treasury Bonds (100 percent) and the Ultra Treasury Bonds (83 percent) lead the bond markets this week. The SOFR 1-Month (81 percent) comes in as the next highest in the weekly strength scores.
On the downside, the 2-Year Bonds (13 percent) and the 5-Year Bond (13 percent) come in at the lowest strength level currently and are in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
Fed Funds (28.0 percent) vs Fed Funds previous week (14.4 percent)
2-Year Bond (13.4 percent) vs 2-Year Bond previous week (12.8 percent)
5-Year Bond (13.1 percent) vs 5-Year Bond previous week (6.5 percent)
10-Year Bond (41.1 percent) vs 10-Year Bond previous week (37.1 percent)
Ultra 10-Year Bond (65.7 percent) vs Ultra 10-Year Bond previous week (67.7 percent)
US Treasury Bond (100.0 percent) vs US Treasury Bond previous week (98.7 percent)
Ultra US Treasury Bond (82.7 percent) vs Ultra US Treasury Bond previous week (81.3 percent)
SOFR 1-Month (81.1 percent) vs SOFR 1-Month previous week (79.2 percent)
SOFR 3-Months (22.0 percent) vs SOFR 3-Months previous week (21.4 percent)
US Treasury 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 US Treasury Bonds (22 percent) and the SOFR 1-Month (19 percent) lead the past six weeks trends for bonds. The Ultra 10-Year Bonds (15 percent) and are the next highest positive movers in the latest trends data.
The SOFR 3-Months (-16 percent), the 2-Year Bonds (-7 percent) and 10-Year Bonds (-4 percent) leads the downside trend scores currently.
Strength Trend Statistics:
Fed Funds (4.2 percent) vs Fed Funds previous week (-26.5 percent)
2-Year Bond (-6.6 percent) vs 2-Year Bond previous week (-1.8 percent)
5-Year Bond (3.4 percent) vs 5-Year Bond previous week (-2.2 percent)
10-Year Bond (-3.5 percent) vs 10-Year Bond previous week (-9.2 percent)
Ultra 10-Year Bond (14.8 percent) vs Ultra 10-Year Bond previous week (26.7 percent)
US Treasury Bond (22.5 percent) vs US Treasury Bond previous week (27.4 percent)
Ultra US Treasury Bond (-0.5 percent) vs Ultra US Treasury Bond previous week (-15.0 percent)
SOFR 1-Month (19.0 percent) vs SOFR 1-Month previous week (29.6 percent)
SOFR 3-Months (-15.5 percent) vs SOFR 3-Months previous week (-18.5 percent)
30-Day Federal Funds Futures:
The 30-Day Federal Funds large speculator standing this week totaled a net position of -144,305 contracts in the data reported through Tuesday. This was a weekly advance of 73,169 contracts from the previous week which had a total of -217,474 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 28.0 percent. The commercials are Bullish with a score of 63.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.1 | 66.6 | 3.3 |
| – Percent of Open Interest Shorts: | 20.1 | 60.2 | 1.7 |
| – Net Position: | -144,305 | 115,677 | 28,628 |
| – Gross Longs: | 216,604 | 1,194,529 | 58,796 |
| – Gross Shorts: | 360,909 | 1,078,852 | 30,168 |
| – Long to Short Ratio: | 0.6 to 1 | 1.1 to 1 | 1.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 28.0 | 63.1 | 100.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 4.2 | -8.7 | 33.0 |
Secured Overnight Financing Rate (3-Month) Futures:
The Secured Overnight Financing Rate (3-Month) large speculator standing this week totaled a net position of -741,428 contracts in the data reported through Tuesday. This was a weekly rise of 10,481 contracts from the previous week which had a total of -751,909 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 22.0 percent. The commercials are Bullish with a score of 77.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.4 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.
| SOFR 3-Months Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 13.2 | 62.9 | 0.4 |
| – Percent of Open Interest Shorts: | 20.3 | 55.9 | 0.3 |
| – Net Position: | -741,428 | 731,384 | 10,044 |
| – Gross Longs: | 1,379,494 | 6,555,793 | 38,925 |
| – Gross Shorts: | 2,120,922 | 5,824,409 | 28,881 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 22.0 | 77.4 | 93.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.5 | 15.7 | -1.6 |
Individual Bond Markets:
Secured Overnight Financing Rate (1-Month) Futures:
The Secured Overnight Financing Rate (1-Month) large speculator standing this week totaled a net position of 51,077 contracts in the data reported through Tuesday. This was a weekly boost of 7,490 contracts from the previous week which had a total of 43,587 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 81.1 percent. The commercials are Bearish with a score of 26.9 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 0.0 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: | 24.2 | 59.4 | 0.2 |
| – Percent of Open Interest Shorts: | 20.7 | 60.7 | 2.4 |
| – Net Position: | 51,077 | -18,806 | -32,271 |
| – Gross Longs: | 352,869 | 866,616 | 3,103 |
| – Gross Shorts: | 301,792 | 885,422 | 35,374 |
| – Long to Short Ratio: | 1.2 to 1 | 1.0 to 1 | 0.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 81.1 | 26.9 | 0.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 19.0 | -11.1 | -84.7 |
2-Year Treasury Note Futures:
The 2-Year Treasury Note large speculator standing this week totaled a net position of -1,289,519 contracts in the data reported through Tuesday. This was a weekly gain of 9,093 contracts from the previous week which had a total of -1,298,612 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 87.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.6 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.2 | 76.5 | 5.9 |
| – Percent of Open Interest Shorts: | 43.2 | 48.2 | 3.3 |
| – Net Position: | -1,289,519 | 1,180,540 | 108,979 |
| – Gross Longs: | 509,383 | 3,187,914 | 244,396 |
| – Gross Shorts: | 1,798,902 | 2,007,374 | 135,417 |
| – Long to Short Ratio: | 0.3 to 1 | 1.6 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.4 | 87.6 | 70.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -6.6 | 10.4 | -10.4 |
5-Year Treasury Note Futures:
The 5-Year Treasury Note large speculator standing this week totaled a net position of -1,737,533 contracts in the data reported through Tuesday. This was a weekly advance of 124,202 contracts from the previous week which had a total of -1,861,735 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 Bearish-Extreme with a score of 13.1 percent. The commercials are Bullish-Extreme with a score of 85.5 percent and the small traders (not shown in chart) are Bullish with a score of 71.3 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: | 5.9 | 79.2 | 6.2 |
| – Percent of Open Interest Shorts: | 30.8 | 55.8 | 4.7 |
| – Net Position: | -1,737,533 | 1,633,016 | 104,517 |
| – Gross Longs: | 412,913 | 5,533,519 | 433,254 |
| – Gross Shorts: | 2,150,446 | 3,900,503 | 328,737 |
| – Long to Short Ratio: | 0.2 to 1 | 1.4 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 13.1 | 85.5 | 71.3 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.4 | -3.4 | -2.0 |
10-Year Treasury Note Futures:
The 10-Year Treasury Note large speculator standing this week totaled a net position of -709,527 contracts in the data reported through Tuesday. This was a weekly gain of 41,507 contracts from the previous week which had a total of -751,034 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 41.1 percent. The commercials are Bullish with a score of 60.6 percent and the small traders (not shown in chart) are Bullish with a score of 68.9 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: | 13.9 | 70.1 | 8.1 |
| – Percent of Open Interest Shorts: | 27.4 | 57.3 | 7.4 |
| – Net Position: | -709,527 | 668,096 | 41,431 |
| – Gross Longs: | 727,934 | 3,672,440 | 426,916 |
| – Gross Shorts: | 1,437,461 | 3,004,344 | 385,485 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 41.1 | 60.6 | 68.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.5 | 8.2 | -7.9 |
Ultra 10-Year Notes Futures:
The Ultra 10-Year Notes large speculator standing this week totaled a net position of -91,433 contracts in the data reported through Tuesday. This was a weekly lowering of -5,859 contracts from the previous week which had a total of -85,574 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 65.7 percent. The commercials are Bearish with a score of 21.6 percent and the small traders (not shown in chart) are Bullish with a score of 70.3 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 14.7 | 72.8 | 9.4 |
| – Percent of Open Interest Shorts: | 18.5 | 66.4 | 11.9 |
| – Net Position: | -91,433 | 150,480 | -59,047 |
| – Gross Longs: | 346,091 | 1,717,063 | 222,552 |
| – Gross Shorts: | 437,524 | 1,566,583 | 281,599 |
| – 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): | 65.7 | 21.6 | 70.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 14.8 | -5.4 | -22.0 |
US Treasury Bonds Futures:
The US Treasury Bonds large speculator standing this week totaled a net position of 47,781 contracts in the data reported through Tuesday. This was a weekly rise of 3,780 contracts from the previous week which had a total of 44,001 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.3 percent and the small traders (not shown in chart) are Bullish with a score of 67.2 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: | 23.5 | 63.7 | 10.3 |
| – Percent of Open Interest Shorts: | 21.2 | 69.4 | 6.9 |
| – Net Position: | 47,781 | -118,538 | 70,757 |
| – Gross Longs: | 485,270 | 1,311,974 | 211,937 |
| – Gross Shorts: | 437,489 | 1,430,512 | 141,180 |
| – Long to Short Ratio: | 1.1 to 1 | 0.9 to 1 | 1.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 100.0 | 0.3 | 67.2 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 22.5 | -23.6 | 9.0 |
Ultra US Treasury Bonds Futures:
The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -246,242 contracts in the data reported through Tuesday. This was a weekly decrease of -6,301 contracts from the previous week which had a total of -239,941 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 82.7 percent. The commercials are Bearish-Extreme with a score of 11.9 percent and the small traders (not shown in chart) are Bearish with a score of 44.3 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: | 8.5 | 80.8 | 10.0 |
| – Percent of Open Interest Shorts: | 21.8 | 68.8 | 8.6 |
| – Net Position: | -239,941 | 214,843 | 25,098 |
| – Gross Longs: | 152,029 | 1,450,800 | 179,900 |
| – Gross Shorts: | 391,970 | 1,235,957 | 154,802 |
| – 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): | 82.7 | 11.9 | 44.3 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.5 | -14.0 | 43.9 |
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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