Large Bond Speculators Drop 5-Year Bonds Bets Lower For 4th Week To 24-Week Low
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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, Aug. 16, and it shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.
Weekly Speculator Changes Week 33: 5-Year Bonds Bets Hit 24-Week Low
COT bond market speculator bets were mixed on the week, as four out of the eight bond markets we cover had higher positioning this week. Meanwhile, four other markets saw a lower number of contracts.
Leading the gains for the bond markets was the Fed Funds Futures (87,697 contracts), with the Eurodollar (16,102 contracts), the Ultra 10-year (14,667 contracts), and the long US bond (261 contracts) also experiencing a positive week.
The bond markets leading the declines in speculator bets this week were the 5-year bond (-116,372 contracts) and the 10-year bond (-76,650 contracts), with the 2-year bond (-41,827 contracts) and the ultra US bond (-13,607 contracts) registering lower bets on the week.
The 5-year Treasury bond futures saw their speculator bets drop sharply again this week. The 5-year fell for the fourth straight week and for the seventh time in the past eight weeks for an eight-week total decline by -363,294 contracts.
This recent weakness has pushed the overall speculator standing to the lowest level since March 1, a span of twenty-four weeks. Overall, the 5-year market is now very close to the bottom of it’s three-year speculator sentiment range (1.2% strength score on a scale of 0-100) and has seen that strength score fall by -37.4% over the past six weeks (as shown by its six-week trend score).
The 5-year bond price has continued in a downtrend, and it’s yield closed the week (yields rise when bond prices fall) higher around 3.09%. Currently, the 5-year yield (3.09%) is inverted with the 10-year yield (2.97%), meaning that the shorter bond pays more yield than the longer bond, an unusual occurrence.
Data Snapshot of Bond Market Traders | Columns Legend
| Eurodollar | 9,585,911 | 15 | -2,869,877 | 0 | 3,208,503 | 98 | -338,626 | 30 |
| 5-Year | 4,066,730 | 55 | -467,375 | 1 | 621,468 | 89 | -154,093 | 39 |
| 10-Year | 3,520,468 | 31 | -363,128 | 17 | 470,732 | 78 | -107,604 | 54 |
| 2-Year | 2,124,688 | 15 | -214,048 | 39 | 249,553 | 74 | -35,505 | 34 |
| FedFunds | 1,665,365 | 54 | 88,658 | 51 | -93,150 | 49 | 4,492 | 71 |
| Long T-Bond | 1,167,915 | 39 | -47,325 | 69 | 21,207 | 18 | 26,118 | 73 |
Strength Scores
Strength Scores (a normalized measure of speculator positions over a three-year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) show that the US Treasury bond (69.2%) continues to generate the highest speculator strength score for bonds, just an edge up from last week’s score of 69.1%.
The Fed Funds (50.6%) comes in as the next highest bonds market in strength scores and the only other one above its three-year midpoint of 50%. On the downside, the Eurodollar (0.3%), the 5-year bond (1.2%), and the 10-year bond (17.2%) come in as the lowest strength scores, and they are all in a bearish extreme level (below 20%).
- Fed Funds (50.6%) vs. Fed Funds the previous week (39.7%).
- 2-year bond (39.0%) vs. 2-year bond the previous week (47.5%).
- 5-year bond (1.2%) vs. 5-year bond the previous week (21.6%).
- 10-year bond (17.2%) vs. 10-year bond the previous week (28.9%).
- Ultra 10-year bond (20.5%) vs. ultra 10-year bond the previous week (16.7%).
- US Treasury bond (69.2%) vs. US Treasury bond the previous week (69.1%).
- Ultra US Treasury bond (32.3%) vs. ultra US Treasury bond the previous week (37.8%).
- Eurodollar (0.3%) vs. Eurodollar the previous week (0.0%).
Strength Trends
Strength Score Trends (or the move index, which calculates the six-week changes in strength scores) showed that all of the bonds markets this week had negative trend scores.
The Fed Funds (-0.9%) had the least negative trend score, followed by the ultra 10-year bond (-2.4%) and the US Treasury bond (-6.4%). The most negative downside trend scores were led by the 5-year bond (-37.4%), followed by the 10-year bond (-29.3%), the 2-year bond (-25.6%), and the ultra US Treasury bond (-23.0%).
- Fed Funds (-0.9%) vs. Fed Funds the previous week (-14.8%).
- 2-year bond (-25.6%) vs. 2-year bond the previous week (-14.2%).
- 5-year bond (-37.4%) vs. 5-year bond the previous week (-26.0%).
- 10-year bond (-29.3%) vs. 10-year bond the previous week (-15.9%).
- Ultra 10-year bond (-2.4%) vs. Ultra 10-year bond the previous week (-5.4%).
- US Treasury bond (-6.4%) vs. US Treasury bond the previous week (-3.0%).
- Ultra US Treasury bond (-23.0%) vs. ultra US Treasury bond the previous week (-9.5%).
- Eurodollar (-9.6%) vs. Eurodollar the previous week (-13.4%).
Individual Markets - Three-Month Eurodollars Futures
The three-month Eurodollars large speculator standing this week recorded a net position of -2,869,877 contracts in the data reported through Tuesday. This was a weekly rise of 16,102 contracts from the previous week, which had a total of -2,885,979 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 0.3%. The commercials are Bullish-Extreme with a score of 98.4%, and the small traders (not shown in chart) are Bearish with a score of 29.9%.
| 3-Month Eurodollars Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 4.5 | 71.3 | 4.5 |
| –% of Open Interest Shorts: | 34.4 | 37.8 | 8.1 |
| – Net Position: | -2,869,877 | 3,208,503 | -338,626 |
| – Gross Longs: | 429,027 | 6,835,497 | 434,367 |
| – Gross Shorts: | 3,298,904 | 3,626,994 | 772,993 |
| – Long to Short Ratio: | 0.1 to 1 | 1.9 to 1 | 0.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.3 | 98.4 | 29.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -9.6 | 10.3 | -13.0 |
30-Day Federal Funds Futures
The 30-day Federal Funds large speculator standing this week recorded a net position of 88,658 contracts in the data reported through Tuesday. This was a weekly rise of 87,697 contracts from the previous week, which had a total of 961 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 50.6%. The commercials are Bearish with a score of 48.6%, and the small traders (not shown in chart) are Bullish with a score of 71.1%.
| 30-Day Federal Funds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 14.6 | 71.0 | 2.6 |
| –% of Open Interest Shorts: | 9.3 | 76.6 | 2.3 |
| – Net Position: | 88,658 | -93,150 | 4,492 |
| – Gross Longs: | 243,264 | 1,183,007 | 43,138 |
| – Gross Shorts: | 154,606 | 1,276,157 | 38,646 |
| – Long to Short Ratio: | 1.6 to 1 | 0.9 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 50.6 | 48.6 | 71.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -0.9 | -0.6 | 30.8 |
2-Year Treasury Note Futures
The 2-year Treasury note large speculator standing this week recorded a net position of -214,048 contracts in the data reported through Tuesday. This was a weekly lowering of -41,827 contracts from the previous week, which had a total of -172,221 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 39.0%. The commercials are Bullish with a score of 74.4%, and the small traders (not shown in chart) are Bearish with a score of 33.8%.
| 2-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 8.5 | 80.9 | 7.4 |
| –% of Open Interest Shorts: | 18.6 | 69.2 | 9.1 |
| – Net Position: | -214,048 | 249,553 | -35,505 |
| – Gross Longs: | 180,858 | 1,718,780 | 158,017 |
| – Gross Shorts: | 394,906 | 1,469,227 | 193,522 |
| – 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): | 39.0 | 74.4 | 33.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -25.6 | 17.1 | 20.4 |
5-Year Treasury Note Futures
The 5-year Treasury note large speculator standing this week recorded a net position of -467,375 contracts in the data reported through Tuesday. This was a weekly decline of -116,372 contracts from the previous week, which had a total of -351,003 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 1.2%. The commercials are Bullish-Extreme with a score of 89.0%, and the small traders (not shown in chart) are Bearish with a score of 38.7%.
| 5-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 6.5 | 83.7 | 7.4 |
| –% of Open Interest Shorts: | 18.0 | 68.4 | 11.2 |
| – Net Position: | -467,375 | 621,468 | -154,093 |
| – Gross Longs: | 265,741 | 3,402,691 | 299,503 |
| – Gross Shorts: | 733,116 | 2,781,223 | 453,596 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 1.2 | 89.0 | 38.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -37.4 | 26.4 | -1.0 |
10-Year Treasury Note Futures
The 10-year Treasury note large speculator standing this week recorded a net position of -363,128 contracts in the data reported through Tuesday. This was a weekly lowering of -76,650 contracts from the previous week, which had a total of -286,478 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 17.2%. The commercials are Bullish with a score of 77.8%, and the small traders (not shown in chart) are Bullish with a score of 54.1%.
| 10-Year Treasury Note Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 6.0 | 81.5 | 9.4 |
| –% of Open Interest Shorts: | 16.3 | 68.2 | 12.5 |
| – Net Position: | -363,128 | 470,732 | -107,604 |
| – Gross Longs: | 209,821 | 2,870,103 | 332,003 |
| – Gross Shorts: | 572,949 | 2,399,371 | 439,607 |
| – 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): | 17.2 | 77.8 | 54.1 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -29.3 | 19.8 | 6.0 |
Ultra 10-Year Notes Futures
The ultra 10-year notes large speculator standing this week recorded a net position of -32,000 contracts in the data reported through Tuesday. This was a weekly increase of 14,667 contracts from the previous week, which had a total of -46,667 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 20.5%. The commercials are Bullish-Extreme with a score of 81.5%, and the small traders (not shown in chart) are Bearish with a score of 41.8%.
| Ultra 10-Year Notes Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 4.6 | 84.7 | 10.0 |
| –% of Open Interest Shorts: | 7.2 | 71.3 | 20.7 |
| – Net Position: | -32,000 | 160,566 | -128,566 |
| – Gross Longs: | 54,965 | 1,016,979 | 120,448 |
| – Gross Shorts: | 86,965 | 856,413 | 249,014 |
| – Long to Short Ratio: | 0.6 to 1 | 1.2 to 1 | 0.5 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 20.5 | 81.5 | 41.8 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.4 | 3.7 | -3.3 |
US Treasury Bonds Futures
The US Treasury bonds large speculator standing this week recorded a net position of -47,325 contracts in the data reported through Tuesday. This was a weekly rise of 261 contracts from the previous week, which had a total of -47,586 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 69.2%. The commercials are Bearish-Extreme with a score of 18.2%, and the small traders (not shown in chart) are Bullish with a score of 73.3%.
| US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 7.6 | 76.8 | 14.4 |
| –% of Open Interest Shorts: | 11.7 | 74.9 | 12.2 |
| – Net Position: | -47,325 | 21,207 | 26,118 |
| – Gross Longs: | 88,791 | 896,481 | 168,447 |
| – Gross Shorts: | 136,116 | 875,274 | 142,329 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 69.2 | 18.2 | 73.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -6.4 | -0.3 | 16.2 |
Ultra US Treasury Bonds Futures
The ultra US Treasury bonds large speculator standing this week recorded a net position of -374,923 contracts in the data reported through Tuesday. This was a weekly reduction of -13,607 contracts from the previous week, which had a total of -361,316 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 32.3%. The commercials are Bullish-Extreme with a score of 80.2%, and the small traders (not shown in chart) are Bullish with a score of 55.1%.
| Ultra US Treasury Bonds Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| –% of Open Interest Longs: | 4.0 | 82.5 | 11.0 |
| –% of Open Interest Shorts: | 31.3 | 57.9 | 8.3 |
| – Net Position: | -374,923 | 337,614 | 37,309 |
| – Gross Longs: | 55,063 | 1,133,222 | 150,925 |
| – Gross Shorts: | 429,986 | 795,608 | 113,616 |
| – Long to Short Ratio: | 0.1 to 1 | 1.4 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 32.3 | 80.2 | 55.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -23.0 | 25.3 | 3.3 |
Article By InvestMacro – Receive our weekly COT Reports by Email
*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is three 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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