Bonds Speculators Push Their Surging Bearish Bets In Eurodollars To 166-Week High

Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday February 15th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT bonds data is the continued rise in the Eurodollar bearish bets. The speculative position in the Eurodollar futures has been dropping sharply with higher bearish bets since flipping over from bullish to bearish in May of 2021. The Eurodollar futures are the largest futures market with open interest normally over 10 million contracts each week and are used to make a bet on short-term interest rates (3-month Libor). A decline in Eurodollar futures shows an increase in (deposit) interest rates while an increase in Eurodollar futures shows the opposite. In times of stress (Great Financial Crisis, Covid Crisis), Eurodollar futures have surged higher and in times of normalization, Eurodollar futures usually trend downward. The speculators' Eurodollar positioning has been on a downtrend and is currently at the most bearish level of the past one hundred and sixty-six weeks, dating back to December 11th of 2018.

Joining the Eurodollar (-256,945 contracts) in falling this week were the 2-Year Bond (-104,328 contracts), Ultra 10-Year (-30,140 contracts), Fed Funds (-6,129 contracts), 5-Year Bond (-59,036 contracts) and the Ultra US Bond (-14,287 contracts) while increasing bets for the week were seen in the 10-Year Bond (27,847 contracts) and the Long US Bond (8,180 contracts).


Data Snapshot of Bond Market Traders | Columns Legend

Eurodollar 10,998,807 45 -2,293,237 0 2,731,451 100 -438,214 8
10-Year 4,123,745 73 -174,063 45 436,449 77 -262,386 18
5-Year 4,084,291 52 -191,415 48 418,890 69 -227,475 19
2-Year 2,207,292 17 -115,758 59 184,249 60 -68,491 15
FedFunds 1,999,560 72 22,521 42 -3,214 59 -19,307 14
Long T-Bond 1,239,190 56 -24,845 84 42,910 34 -18,065 38

 


3-Month Eurodollars Futures:

Eurodollar Bonds Futures COT Chart

The 3-Month Eurodollars large speculator standing this week recorded a net position of -2,293,237 contracts in the data reported through Tuesday. This was a weekly decline of -256,945 contracts from the previous week which had a total of -2,036,292 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 Bearish-Extreme with a score of 8.0 percent.

3-Month Eurodollars Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.6 75.3 3.9
– Percent of Open Interest Shorts: 25.5 50.5 7.9
– Net Position: -2,293,237 2,731,451 -438,214
– Gross Longs: 510,859 8,287,260 430,172
– Gross Shorts: 2,804,096 5,555,809 868,386
– Long to Short Ratio: 0.2 to 1 1.5 to 1 0.5 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 0.0 100.0 8.0
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -10.0 10.7 -11.9

 


30-Day Federal Funds Futures:

Federal Funds 30-Day Bonds Futures COT Chart

The 30-Day Federal Funds large speculator standing this week recorded a net position of 22,521 contracts in the data reported through Tuesday. This was a weekly decline of -6,129 contracts from the previous week which had a total of 28,650 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 with a score of 42.4 percent. The commercials are Bullish with a score of 59.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 13.9 percent.

30-Day Federal Funds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 9.7 75.2 1.5
– Percent of Open Interest Shorts: 8.6 75.3 2.4
– Net Position: 22,521 -3,214 -19,307
– Gross Longs: 193,542 1,503,220 29,243
– Gross Shorts: 171,021 1,506,434 48,550
– Long to Short Ratio: 1.1 to 1 1.0 to 1 0.6 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 42.4 59.5 13.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 13.3 -12.5 -12.6

 


2-Year Treasury Note Futures:

2-Year Treasury Bonds Futures COT Chart

The 2-Year Treasury Note large speculator standing this week recorded a net position of -115,758 contracts in the data reported through Tuesday. This was a weekly lowering of -104,328 contracts from the previous week which had a total of -11,430 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 58.9 percent. The commercials are Bullish with a score of 60.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.6 percent.

2-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.1 77.7 6.4
– Percent of Open Interest Shorts: 18.4 69.4 9.6
– Net Position: -115,758 184,249 -68,491
– Gross Longs: 289,318 1,715,204 142,310
– Gross Shorts: 405,076 1,530,955 210,801
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.7 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 58.9 60.1 14.6
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -31.9 34.4 0.2

 


5-Year Treasury Note Futures:

5-Year Treasury Bonds Futures COT Chart

The 5-Year Treasury Note large speculator standing this week recorded a net position of -191,415 contracts in the data reported through Tuesday. This was a weekly reduction of -59,036 contracts from the previous week which had a total of -132,379 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 47.7 percent. The commercials are Bullish with a score of 68.5 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 18.6 percent.

5-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.7 79.5 6.6
– Percent of Open Interest Shorts: 15.4 69.2 12.1
– Net Position: -191,415 418,890 -227,475
– Gross Longs: 436,662 3,244,990 267,923
– Gross Shorts: 628,077 2,826,100 495,398
– Long to Short Ratio: 0.7 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 47.7 68.5 18.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 38.6 -31.5 8.6

 


10-Year Treasury Note Futures:

10-Year Treasury Notes Bonds Futures COT Chart

The 10-Year Treasury Note large speculator standing this week recorded a net position of -174,063 contracts in the data reported through Tuesday. This was a weekly boost of 27,847 contracts from the previous week which had a total of -201,910 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 45.3 percent. The commercials are Bullish with a score of 76.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.6 percent.

10-Year Treasury Note Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.8 73.7 7.6
– Percent of Open Interest Shorts: 18.0 63.1 14.0
– Net Position: -174,063 436,449 -262,386
– Gross Longs: 569,973 3,038,412 314,742
– Gross Shorts: 744,036 2,601,963 577,128
– Long to Short Ratio: 0.8 to 1 1.2 to 1 0.5 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 45.3 76.6 17.6
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 15.9 -9.8 -5.4

 


Ultra 10-Year Notes Futures:

Ultra 10-Year Treasury Notes Bonds Futures COT Chart

The Ultra 10-Year Notes large speculator standing this week recorded a net position of 13,871 contracts in the data reported through Tuesday. This was a weekly reduction of -30,140 contracts from the previous week which had a total of 44,011 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 31.4 percent. The commercials are Bullish-Extreme with a score of 80.9 percent and the small traders (not shown in chart) are Bearish with a score of 28.4 percent.

Ultra 10-Year Notes Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 14.8 73.5 8.4
– Percent of Open Interest Shorts: 13.9 64.5 18.4
– Net Position: 13,871 130,856 -144,727
– Gross Longs: 215,580 1,067,199 122,654
– Gross Shorts: 201,709 936,343 267,381
– Long to Short Ratio: 1.1 to 1 1.1 to 1 0.5 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 31.4 80.9 28.4
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -21.8 19.4 8.0

 


US Treasury Bonds Futures:

US Year Treasury Notes Long Bonds Futures COT Chart

The US Treasury Bonds large speculator standing this week recorded a net position of -24,845 contracts in the data reported through Tuesday. This was a weekly rise of 8,180 contracts from the previous week which had a total of -33,025 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 84.5 percent. The commercials are Bearish with a score of 33.8 percent and the small traders (not shown in chart) are Bearish with a score of 38.2 percent.

US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.7 72.9 13.7
– Percent of Open Interest Shorts: 12.7 69.4 15.1
– Net Position: -24,845 42,910 -18,065
– Gross Longs: 133,138 902,892 169,162
– Gross Shorts: 157,983 859,982 187,227
– Long to Short Ratio: 0.8 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:      
– Strength Index Score (3 Year Range Pct): 84.5 33.8 38.2
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish Bearish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: 8.9 5.0 -32.0

 


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 recorded a net position of -330,139 contracts in the data reported through Tuesday. This was a weekly decrease of -14,287 contracts from the previous week which had a total of -315,852 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 50.5 percent. The commercials are Bullish with a score of 61.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.9 percent.

Ultra US Treasury Bonds Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 5.5 81.1 11.9
– Percent of Open Interest Shorts: 30.6 58.4 9.5
– Net Position: -330,139 298,631 31,508
– Gross Longs: 72,504 1,065,871 156,998
– Gross Shorts: 402,643 767,240 125,490
– 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): 50.5 61.1 50.9
– Strength Index Reading (3 Year Range): Bullish Bullish Bullish
NET POSITION MOVEMENT INDEX:      
– 6-Week Change in Strength Index: -16.5 14.6 7.7

 


*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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