Bonds Speculator’s Bearish Bets Surge To Push 2-Year Bond Positions To Record Low

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, November 15th 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 Eurodollar & 2-Year Bond

The COT bond market speculator bets were lower overall this week as just two out of the eight bond markets we cover had higher positioning this week while six other markets had lower contracts.

Leading the weekly gains for the bond markets was the Eurodollar (145,719 contracts) with the Ultra US Bond (4,465 contracts) also showing a positive week.

The bond markets leading the weekly declines in speculator bets this week was the 2-Year Bond (-102,997 contracts) with the 10-Year Bond (-59,962 contracts), the Fed Funds (-48,469 contracts), the 5-Year Bond (-48,163 contracts), the Long US Bond (-6,956 contracts) and the Ultra 10-Year (-2,545 contracts) also registering lower bets on the week.

Highlighting the COT bonds data this week is the 2-Year Bond position that continues to see the bearish bets pile up. Large speculators sharply added to their bearish positioning this week by a total of -102,997 contracts and marking the largest one-week bearish gain since February. Overall, bearish bets have risen for the past four straight weeks and for five out of the past six weeks. The bearish position has now risen by a total of -250,758 contracts over just the past four weeks.

This continued weakness for the 2-Year has pushed the overall net position standing to the lowest on record for a third straight week with this week’s standing totaling -586,270 contracts, according to CFTC data going back to 1990.

The 2-Year Bond futures price has continued to be in a steep downtrend but has trended a bit higher in the past week off its recent low touched on November 4th at 101.19.


Data Snapshot of Bond Market Traders | Columns Legend
Nov-15-2022
OI
OI-Index
Spec-Net
Spec-Index
Com-Net
COM-Index
Smalls-Net
Smalls-Index
Eurodollar 7,670,696 0 -1,966,931 17 2,232,777 81 -265,846 46
5-Year 4,333,912 70 -547,618 3 632,207 90 -84,589 58
10-Year 4,015,833 66 -343,021 20 405,129 70 -62,108 65
2-Year 2,261,042 22 -586,270 0 590,806 100 -4,536 50
FedFunds 1,488,043 42 -26,285 36 32,822 64 -6,537 43
Long T-Bond 1,199,687 43 -97,681 53 78,745 39 18,936 68

 


Strength Scores led by US Treasury Bond

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) show that the US Treasury Bond (52.8 percent) leads the bonds category and is the only bond market above the 50 percent level (3-Year Midpoint).

On the downside, the 2-Year Bond (0.0 percent) comes in at the lowest strength level and currently at the bottom of its 3-Year range. The 5-Year Bond (2.7 percent), the Ultra 10-Year Bond (8.2 percent) and the Eurodollar (16.9 percent) join the 2-Year Bond with scores in bearish extreme positions (below 20 percent).

Strength Statistics:
Fed Funds (36.4 percent) vs Fed Funds previous week (42.4 percent)
2-Year Bond (0.0 percent) vs 2-Year Bond previous week (15.3 percent)
5-Year Bond (2.7 percent) vs 5-Year Bond previous week (10.0 percent)
10-Year Bond (20.3 percent) vs 10-Year Bond previous week (29.4 percent)
Ultra 10-Year Bond (8.2 percent) vs Ultra 10-Year Bond previous week (8.9 percent)
US Treasury Bond (52.8 percent) vs US Treasury Bond previous week (55.1 percent)
Ultra US Treasury Bond (31.1 percent) vs Ultra US Treasury Bond previous week (29.3 percent)
Eurodollar (16.9 percent) vs Eurodollar previous week (14.2 percent)

10-Year Bond lead the Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) show that the 10-Year Bond (3.6 percent) leads the past six weeks trends for bonds this week. The Eurodollar (2.2 percent), the US Treasury Bond (1.9 percent) and the Ultra 10-Year Bond (0.8 percent) fill out the other positive movers in the latest trends data.

The 2-Year Bond (-41.6 percent) leads the downside trend scores currently with a steep drop while the next markets with lower trend scores was the 5-Year Bond (-9.8 percent) followed by the Fed Funds (-2.4 percent).

Strength Trend Statistics:
Fed Funds (-2.4 percent) vs Fed Funds previous week (-9.9 percent)
2-Year Bond (-41.6 percent) vs 2-Year Bond previous week (-24.2 percent)
5-Year Bond (-9.8 percent) vs 5-Year Bond previous week (-8.7 percent)
10-Year Bond (3.6 percent) vs 10-Year Bond previous week (12.5 percent)
Ultra 10-Year Bond (0.8 percent) vs Ultra 10-Year Bond previous week (-4.4 percent)
US Treasury Bond (1.9 percent) vs US Treasury Bond previous week (1.9 percent)
Ultra US Treasury Bond (-0.4 percent) vs Ultra US Treasury Bond previous week (-0.1 percent)
Eurodollar (2.2 percent) vs Eurodollar previous week (0.9 percent)


Individual Bond Markets:

3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT Chart

The 3-Month Eurodollars large speculator standing this week totaled a net position of -1,966,931 contracts in the data reported through Tuesday. This was a weekly lift of 145,719 contracts from the previous week which had a total of -2,112,650 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 81.0 percent and the small traders (not shown in chart) are Bearish with a score of 45.9 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.3 67.9 5.2
– Percent of Open Interest Shorts: 32.9 38.8 8.7
– Net Position: -1,966,931 2,232,777 -265,846
– Gross Longs: 559,946 5,207,904 402,188
– Gross Shorts: 2,526,877 2,975,127 668,034
– Long to Short Ratio: 0.2 to 1 1.8 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 16.9 81.0 45.9
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 2.2 -2.0 -2.1

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT Chart

The 30-Day Federal Funds large speculator standing this week totaled a net position of -26,285 contracts in the data reported through Tuesday. This was a weekly lowering of -48,469 contracts from the previous week which had a total of 22,184 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 36.4 percent. The commercials are Bullish with a score of 63.9 percent and the small traders (not shown in chart) are Bearish with a score of 43.0 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.1 75.6 2.6
– Percent of Open Interest Shorts: 11.8 73.4 3.0
– Net Position: -26,285 32,822 -6,537
– Gross Longs: 149,693 1,124,421 38,519
– Gross Shorts: 175,978 1,091,599 45,056
– Long to Short Ratio: 0.9 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 36.4 63.9 43.0
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -2.4 1.0 29.4

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT Chart

The 2-Year Treasury Note large speculator standing this week totaled a net position of -586,270 contracts in the data reported through Tuesday. This was a weekly fall of -102,997 contracts from the previous week which had a total of -483,273 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 50.0 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.5 82.2 8.3
– Percent of Open Interest Shorts: 32.4 56.1 8.5
– Net Position: -586,270 590,806 -4,536
– Gross Longs: 146,333 1,859,038 187,082
– Gross Shorts: 732,603 1,268,232 191,618
– Long to Short Ratio: 0.2 to 1 1.5 to 1 1.0 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 0.0 100.0 50.0
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -41.6 29.6 37.5

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT Chart

The 5-Year Treasury Note large speculator standing this week totaled a net position of -547,618 contracts in the data reported through Tuesday. This was a weekly decline of -48,163 contracts from the previous week which had a total of -499,455 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 2.7 percent. The commercials are Bullish-Extreme with a score of 90.3 percent and the small traders (not shown in chart) are Bullish with a score of 57.8 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 7.1 83.8 7.2
– Percent of Open Interest Shorts: 19.8 69.2 9.1
– Net Position: -547,618 632,207 -84,589
– Gross Longs: 309,373 3,632,210 310,934
– Gross Shorts: 856,991 3,000,003 395,523
– Long to Short Ratio: 0.4 to 1 1.2 to 1 0.8 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 2.7 90.3 57.8
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -9.8 0.9 15.8

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT Chart

The 10-Year Treasury Note large speculator standing this week totaled a net position of -343,021 contracts in the data reported through Tuesday. This was a weekly lowering of -59,962 contracts from the previous week which had a total of -283,059 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 20.3 percent. The commercials are Bullish with a score of 70.0 percent and the small traders (not shown in chart) are Bullish with a score of 65.3 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 11.8 76.1 9.4
– Percent of Open Interest Shorts: 20.3 66.0 11.0
– Net Position: -343,021 405,129 -62,108
– Gross Longs: 472,288 3,054,508 379,476
– Gross Shorts: 815,309 2,649,379 441,584
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.9 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 20.3 70.0 65.3
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 3.6 -1.4 -2.9

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT Chart

The Ultra 10-Year Notes large speculator standing this week totaled a net position of -79,073 contracts in the data reported through Tuesday. This was a weekly decrease of -2,545 contracts from the previous week which had a total of -76,528 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 8.2 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 57.3 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.6 79.9 9.6
– Percent of Open Interest Shorts: 15.3 66.7 17.1
– Net Position: -79,073 184,254 -105,181
– Gross Longs: 133,971 1,114,722 133,372
– Gross Shorts: 213,044 930,468 238,553
– Long to Short Ratio: 0.6 to 1 1.2 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 8.2 87.6 57.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 0.8 4.2 -12.9

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT Chart

The US Treasury Bonds large speculator standing this week totaled a net position of -97,681 contracts in the data reported through Tuesday. This was a weekly fall of -6,956 contracts from the previous week which had a total of -90,725 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 52.8 percent. The commercials are Bearish with a score of 38.7 percent and the small traders (not shown in chart) are Bullish with a score of 67.6 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 79.3 14.5
– Percent of Open Interest Shorts: 12.9 72.8 13.0
– Net Position: -97,681 78,745 18,936
– Gross Longs: 57,233 951,931 174,421
– Gross Shorts: 154,914 873,186 155,485
– Long to Short Ratio: 0.4 to 1 1.1 to 1 1.1 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 52.8 38.7 67.6
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 1.9 -2.3 0.6

 


Ultra US Treasury Bonds Futures:

Ultra US Year Treasury Notes Long Bonds Futures COT Chart

The Ultra US Treasury Bonds large speculator standing this week totaled a net position of -377,708 contracts in the data reported through Tuesday. This was a weekly increase of 4,465 contracts from the previous week which had a total of -382,173 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 31.1 percent. The commercials are Bullish with a score of 72.9 percent and the small traders (not shown in chart) are Bullish with a score of 73.8 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 6.3 81.5 11.4
– Percent of Open Interest Shorts: 31.6 59.7 8.0
– Net Position: -377,708 326,617 51,091
– Gross Longs: 94,540 1,217,889 170,609
– Gross Shorts: 472,248 891,272 119,518
– Long to Short Ratio: 0.2 to 1 1.4 to 1 1.4 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 31.1 72.9 73.8
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -0.4 3.5 -4.6

 


*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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