U.S. Treasury Notes 10-Year - Individual Market Analysis

CoT signals and diagnostics for U.S. Treasury 10-Year Note futures.

As of 2022-02-01

Gemini Summary

Signal Summary:

  • Configuration statement (mandatory): Given a Spec Net %OI of -7.0 and a controller gap of -7.3, this setup aligns with Indeterminate price paths and Indeterminate volatility, where the dominant risk is Data uncertainty, not mean reversion.
  • The signal reflects a historical state where speculators are net short and hedgers maintain net long control (1).
  • Conviction Band: Low; Interpretation Confidence: Low Confidence; Internal Conflict Flag: Yes.

Methodology Applied:

  • Spec_Net_%OI: Determines directional dominance; negative values indicate speculative traders are net short (1).
  • Positioning Stretch: Measured by |z| scores; values under 1.0 are classified as normal or un-stretched (1).
  • Macro Conviction: Speculative positioning is the primary read on duration regime views (1).
  • CoT 10-Year U.S. Treasury Notes: Latest observation 2022-02-01 (1).

Key Dynamics:

  • Speculative Net %OI (-7.0) indicates a net short posture, but the lack of z-score data prevents stretch assessment (1).
  • Flow_4w is currently classified as a "Long_Build" (0.1), suggesting a marginal increase in exposure (1).
  • Internal Tensions: Data is severely stale and missing standard deviation metrics required for high-confidence diagnostics.
  • Conditional Invalidation: A Spec_zscore shift exceeding ±2.0 would trigger a crowding regime flag.

Scenario Balance:

  • Base case dominant; risks balanced due to lack of positioning stretch.
  • Upside risk: Short covering triggered by a shift in growth-vs-inflation expectations.
  • Downside risk: Trend continuation if term-premium reset accelerates.

Time Horizon & Aggregation:

  • Tactical (weeks): CoT signals are designed for near-term fragility and flow monitoring.
  • Aggregation Weight Hint: Low; justified by stale observation dates and missing z-score metrics.

Macro Relevance:

  • Duration demand and term-premium expression; informs broad risk asset pricing (1).
  • Cycle position: Mid-cycle (historical 2022 context).
  • Typical interaction: Serves as a discount-rate anchor for equities and credit spreads (1).

Data & References:

  • 10-YEAR U.S. TREASURY NOTES - CBOT (2022-02-01) (1).
  • Spec_Net_%OI and Hedger_Net_%OI are the most influential available metrics.
  • Relevant public data: 10-Year Treasury Constant Maturity (DGS10) and 5-Year Breakeven Inflation Rate.

U.S. Treasury 10-Year CoT Diagnostics Chart

Signal chart

10-Year Treasury notes: CoT diagnostics, positioning, crowding, reversal risk, and price overlay.

U.S. Treasury Notes 10-Year CoT Signals Table▸
Report_Date Market_and_Exchange_Names Spec_Net_%OI Hedger_Net_%OI Spec_zscore Hedger_zscore Flow_4w controller controller_gap_%OI spec_extreme_1y hedger_extreme_1y any_extreme_1y extreme_side flow_4w_label flow_4w_strength crowded_long crowded_short squeeze_risk exhaustion_risk hedger_pressure_regime bullish_reversal_risk bearish_reversal_risk reversal_regime market_structure_regime positioning_tension_score risk_flags_count synthetic_state CFTC_Contract_Market_Code CFTC_Market_Code CFTC_Region_Code CFTC_Commodity_Code Commodity_Class Commodity_SubClass Region_Class COT_Index_Spec Spec_Net_Contracts Hedger_Net_Contracts hedger_pressure specs_vs_hedgers_divergence source Market and Exchange Names CFTC Contract Market Code CFTC Region Code CFTC Commodity Code hedger_deep_short hedger_deep_long reversal_score Price
0 2022-01-04 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE -7.1 13.3 NaN NaN NaN Hedgers -6.2 False False False None Unknown NaN False False False False Unknown False False No_Clear_Reversal Neutral_or_Flat NaN 0 Normal NaN NaN NaN NaN Other Unknown Other / Unknown NaN -276923 516075 False False legacy 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE 043602 0.0 43.0 False False 0 129.281250
1 2022-01-11 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE -9.0 15.8 NaN NaN -1.900000e+00 Hedgers -6.8 False False False None Long_Reduction -1.900000e+00 False False False False Unknown False False No_Clear_Reversal Hedger_Adding_Short NaN 0 Normal NaN NaN NaN NaN Other Unknown Other / Unknown NaN -343839 602618 False False legacy 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE 043602 0.0 43.0 False False 0 128.390625
2 2022-01-18 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE -6.9 13.8 NaN NaN 2.000000e-01 Hedgers -6.9 False False False None Long_Build 2.000000e-01 False False False False Unknown False False No_Clear_Reversal Hedger_Covering NaN 0 Normal NaN NaN NaN NaN Other Unknown Other / Unknown NaN -271442 538664 False False legacy 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE 043602 0.0 43.0 False False 0 127.375000
3 2022-01-25 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE -7.1 13.4 NaN NaN 3.552714e-15 Hedgers -6.3 False False False None Flat 3.552714e-15 False False False False Unknown False False No_Clear_Reversal Neutral_or_Flat NaN 0 Normal NaN NaN NaN NaN Other Unknown Other / Unknown NaN -264656 500631 False False legacy 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE 043602 0.0 43.0 False False 0 128.125000
4 2022-02-01 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE -7.0 14.3 NaN NaN 1.000000e-01 Hedgers -7.3 False False False None Long_Build 1.000000e-01 False False False False Unknown False False No_Clear_Reversal Hedger_Covering NaN 0 Normal NaN NaN NaN NaN Other Unknown Other / Unknown NaN -274875 563801 False False legacy 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE 043602 0.0 43.0 False False 0 127.875000
Methodology: U.S. Treasury Notes 10-Year CoT Signals
The information presented is for general informational purposes only and does not constitute financial or investment advice. It has been prepared without regard to individual objectives, financial situation, or needs. You should consider whether it is appropriate for your circumstances and seek independent advice where necessary.