1. OK, I feel the need to explain. Because someone has to teach and people might as well learn from someone who KNOWS as opposed to pretends to know. God knows there are enough charlatans on this Twatter thing. https://twitter.com/NickGiva/status/1260250792587599880

2. COT in bonds is nearly meaningless. The CFTC themselves tell you as much in their notes and definitions on their own web site. Below I have highlighted some of their comments but please go and read them in their entirety, so you can understand better.

3. As further explanation, take something that I used to do all the time at Salomon: buy off-the-runs from bond funds. Whenever an auction is announced with a new coupon as opposed to a re-opening (happens all the time), the previous benchmark bond goes off-the-run.

4. What does it mean? It means that it will trade with lower liquidity, wider spreads and a few basis points worse than the benchmark curve. Some retail will not want to own it. So they "roll". They sell me their old bond and buy the new issue one off me.

5. Over the course of days/weeks, I would get stuck with 100s of millions of these bonds. They could be of any duration. But mostly they would be about 1 year off their original maturity. So: 9 years, 29 years, 4 years, etc...
You get the idea. With time, bonds come off-the-run.

6. What would I do with them? I would hedge them with futures, mostly. And try to earn a few basis points of extra carry on them.
Now, if I am a primary dealer, in this example, my futures short would appear in Dealer/Intermediary.

7. Once in a while a hedge fund would come along and try to do exactly the same: hoover up the off-the-runs (and there are many more off-the-runs than benchmarks) and earn some extra carry. He would need to hedge them with futures.

8. So now, I cover my short and his short appears in the "Leveraged Funds" category. How has anything changed? It has not. Net market position is completely and utterly unchanged. But the CoT now shows that "speculators" are short and dealers have covered. Bollocks.

9. It stands to logic in this example that the more the Treasury issues, the more off-the-runs with time and therefore a greater amount of futures are need to be shorted for the same hedge.

10. This is just 1 example. There are literally dozens of other strategies which involve shorting futures which have absolutely no effect on true market positioning. You can know nothing about true positioning until you see the cash side of the transaction. Which you cannot.

11. Therefore the warning that the CFTC themselves give you about reading too much into the CoT in bonds.

And I stress, there are DOZENS of HUGE strategies which involve shorting of futures which make you FLAT, not NET SHORT. I only gave this one as a simple example.

12. Now that you understand, you won't be one of these 572 lemmings who will go long treasuries for the wrong reason. All I can say is that if this guy has been in the markets 25 years, he must have been sitting at the back of the class, fast asleep.