Market Data Analysis

COT Mar 24 – 2Y Treasury Shorts Hit Record Low

Mar 24, 2026

Market Data Analysis

This week's CFTC positioning data shows hedge funds holding their largest net short position in 2-year Treasuries on record, while Australian Dollar net longs reached the 99th percentile — a crowding extreme matched by Bitcoin and several agricultural markets.

Previous week's analysis highlighted positioning shifts across commodity and currency markets. This week, we observe a historic Treasury positioning extreme alongside continued hedge-fund crowding in FX and crypto.

Methodology & Data Source

Source: CFTC Commitment of Traders Report (Legacy Format)
Analysis: Non-Commercial traders (large speculators — hedge funds, asset managers)
Percentiles: Dual window — 2-year (104 weeks) primary + 10-year (520 weeks) structural context | Full Methodology →
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Executive Summary

2-year Treasury net short positioning reached -1,638,179 contracts, registering at the 1st percentile in both the 2-year and 10-year windows with a Z-score of -3.11. This represents the most extreme Treasury short positioning in the full 10-year dataset. Non-commercial net positions account for -34.3% of open interest — a concentration level rarely observed in interest rate futures.

On the opposite end, Australian Dollar net longs hit 70,872 contracts (99th percentile in both windows, Z-score +2.52), with hedge-fund crowding at 27.5% of open interest. Bitcoin, Soybean Meal, and Soybean Oil also reached 99th percentile net long extremes.

What Stood Out This Week

The 2-year Treasury short position stands out as the primary structural finding this week. At -1.64 million contracts, positioning is 686,206 contracts more short than the 4-week average and 601,200 contracts more short than the 13-week average — indicating a sustained, multi-month build rather than a tactical spike. Within this 104-week sample, readings beyond Z-score -3.0 have been uncommon. Commercial hedgers hold the opposite side at +1.56 million contracts (32.6% of open interest), reflecting institutional positioning intensity at the long end of the curve.

📊 Top 10 Extreme Positions

The following table shows the 10 most extreme positions relative to their 104-week history:

Rank	Market	Net Position	2Y Percentile	10Y Percentile	Z-Score
1	2Y Treasury	-1,638,179	1st	1st	-3.11
2	Australian Dollar	70,872	99th	99th	+2.52
3	Bitcoin	2,106	99th	99th	+2.34
4	Cocoa	-20,116	1st	5th	-2.24
5	Soybean Meal	127,071	99th	93rd	+2.30
6	Soybean Oil	117,135	99th	91st	+2.12
7	Ethanol	9,043	98th	88th	+1.43
8	Cotton	22,267	96th	41st	+1.98
9	Corn	375,360	94th	84th	+1.94
10	Wheat (HRW)	3,158	94th	50th	+1.48

Extreme Positions Deep Dive

2-year Treasury net short positioning reached the 1st percentile across both the 2-year and 10-year windows, a rare instance of structural alignment between recent and long-term datasets. The current position is -408,347 contracts below the full-period average, with the build sustained across both 4-week (-686,206) and 13-week (-601,200) periods. This reflects a multi-quarter accumulation of short exposure rather than event-driven positioning. Non-commercial crowding at -34.3% of open interest means hedge funds hold net short exposure equivalent to one-third of the entire market's open interest — a concentration level that amplifies sensitivity to rate repricing or technical unwind triggers.

Australian Dollar positioning reached the 99th percentile in both windows, with net longs at 70,872 contracts. The sustained build (4-week deviation +168,959, 13-week +140,475) indicates structural conviction rather than tactical entry. Non-commercial crowding at 27.5% of open interest marks this as a heavily concentrated net long trade. Commercial hedgers hold -94,367 contracts (-36.6% of OI) on the opposite side, reflecting normal hedging intensity but also highlighting the leverage embedded in the speculative position.

Bitcoin net long positioning hit 2,106 contracts (99th percentile, Z-score +2.34), matching the Australian Dollar's percentile rank across both timeframes. Non-commercial crowding at 9.1% of open interest is lower in absolute terms than AUD, but the dual-window extreme suggests this represents the upper boundary of hedge-fund participation in the futures market during the current cycle.

Cocoa net short positioning reached -20,116 contracts, registering at the 1st percentile over two years (5th over ten years). This marks a washed-out net short extreme, with speculative exposure heavily negative relative to recent history. The divergence between the 2-year and 10-year percentiles indicates that while current positioning is extreme within the recent sample, longer-term history includes deeper net short episodes.

Soybean Meal and Soybean Oil both reached the 99th percentile over two years (93rd and 91st over ten years, respectively), reflecting crowded net long positioning across the soy complex. Soybean Meal net longs hit 127,071 contracts (Z-score +2.30), with crowding at 45.4% of open interest. Soybean Oil reached 117,135 contracts (Z-score +2.12), with 99th percentile positioning sustained across both the 4-week and 13-week averages. These are structural net long builds, not tactical spikes.

Ethanol net longs reached 9,043 contracts (98th percentile, Z-score +1.43), with non-commercial crowding at 18.7% of open interest. The 10-year percentile (88th) suggests this level has precedent in earlier cycles, but within the 2-year window it represents near-peak positioning.

Gold & Silver (Metals Complex) both registered at low percentiles this week, though neither crossed into 5th-percentile territory. Gold net longs reached 168,327 contracts (11th percentile over two years, 35th over ten years), sitting -63,378 contracts below the full-period average (Z-score -1.56). Silver net longs hit 24,673 contracts (7th percentile over two years, 30th over ten years), with a Z-score of -2.00. Both reflect washed-out net long positioning, with speculative exposure meaningfully below recent norms. Non-commercial crowding in Gold sits at 41.7% of open interest (still elevated in absolute terms despite the low percentile), while Silver crowding is at 21.8%.

"So What?" — Positioning Scenarios

2-year Treasury (Bonds — 1st percentile, Z-score -3.11)

If yields stabilise or decline while positioning remains at this extreme net short level, then the crowding is "working" in the sense that speculators are positioned for higher yields — but within this 104-week sample, Z-scores beyond -3.0 have been uncommon, suggesting limited room for further build at this velocity.
If yields stall or reverse lower while net short positioning stays elevated at -34.3% of open interest, then this may be consistent with a late-cycle short crowding condition where technical unwind risk rises — particularly if commercials begin reducing their long hedge (+32.6% of OI).
If positioning rapidly retraces toward median over 2–3 weeks without a corresponding yield move, then the repositioning may reflect profit-taking or macro reassessment rather than a fundamental shift in rate expectations — though the sustained build (4-week and 13-week deviations similar in magnitude) suggests this is structural conviction, not a spike.

Australian Dollar (FX — 99th percentile, Z-score +2.52)

If price continues higher while positioning stays at 99th percentile (27.5% of OI net long), then the crowding is confirming and may persist — though extreme positioning across both the 2-year and 10-year windows suggests this level represents a structural ceiling within the dataset.
If price stalls while net long positioning remains at this extreme, then this may be consistent with a crowded consensus trade vulnerable to macro disappointment — the sustained build (4-week +168,959, 13-week +140,475) indicates conviction rather than tactical entry, which can prolong the position but also amplify unwind volatility when it occurs.
If positioning rapidly retraces toward median over 2–3 weeks without a corresponding price breakdown, then the repositioning may reflect tactical profit-taking as leveraged accounts lock in gains — particularly if commercial hedgers (-36.6% of OI) reduce short exposure in parallel.

Gold & Silver (Metals Complex — 11th and 7th percentiles, Z-scores -1.56 and -2.00)

If prices stabilise or begin climbing while positioning remains at these low percentiles, then this may be consistent with a washed-out net long condition where speculative selling has exhausted — though low positioning can persist for extended periods without signalling a price floor.
If prices continue lower while net long positioning at 7th–11th percentiles persists or weakens further, then this may indicate that fundamental or macro pressures are overwhelming positioning dynamics — and the low speculative exposure may not yet reflect a structural floor.
If positioning rapidly rebounds toward median (30th–50th percentile) over 2–3 weeks while price remains range-bound, then the repositioning may reflect short-covering or renewed tactical interest rather than a sustained structural shift — given the speed of potential mean reversion from these low levels.

Top Weekly Changes

The largest absolute change versus moving averages this week occurred in 2-year Treasuries, where net short positioning moved -686,206 contracts below the 4-week average and -601,200 below the 13-week average. The similar magnitude across both windows confirms a sustained build rather than a single-week spike. Australian Dollar net longs moved +168,959 contracts above the 4-week average and +140,475 above the 13-week average, reflecting persistent accumulation. 5-year Treasury net shorts moved -246,378 contracts below the 4-week average, registering at the 91st percentile over two years (18th over ten years) — an extreme within the recent sample but mid-range in longer history.

Category Breakdown

FX (10 markets tracked): Australian Dollar reached the 99th percentile in both windows (net long 70,872 contracts, Z-score +2.52), with non-commercial crowding at 27.5% of open interest — the standout FX positioning extreme this week. Canadian Dollar net shorts hit -1,602 contracts (93rd percentile over two years, 63rd over ten years), with non-commercial crowding at -0.9% of OI. Remaining 8 markets near median: Euro FX (26th percentile), British Pound (8th), Japanese Yen (20th), Brazilian Real (80th), Mexican Peso (67th), Swiss Franc (67th), US Dollar Index (68th), New Zealand Dollar (40th).

Metals (4 markets tracked): Silver net longs reached 24,673 contracts (7th percentile over two years, 30th over ten years), with non-commercial crowding at 21.8% of open interest. Gold net longs hit 168,327 contracts (11th percentile over two years, 35th over ten years), sitting 41.7% of OI — elevated in absolute terms despite the low percentile. Both reflect washed-out net long positioning relative to recent history. Remaining 2 markets near median: Copper (56th percentile), Platinum (45th).

Energy (5 markets tracked): Ethanol net longs reached 9,043 contracts (98th percentile over two years, 88th over ten years), with non-commercial crowding at 18.7% of open interest. Natural Gas net shorts hit -172,607 contracts (7th percentile over two years, 7th over ten years), with crowding at -11.5% of OI — a meaningful net short concentration. Remaining 3 markets near median: Crude Oil WTI (80th percentile), Gasoline RBOB (76th), Heating Oil (40th).

Grains (13 markets tracked): Soybean Meal net longs reached 127,071 contracts (99th percentile over two years, 93rd over ten years, Z-score +2.30), with crowding at 45.4% of open interest. Soybean Oil hit 117,135 contracts (99th percentile over two years, 91st over ten years, Z-score +2.12). Cotton net longs reached 22,267 contracts (96th percentile over two years, 41st over ten years), with crowding at 6.8% of OI — extreme within the recent sample but mid-range in longer history. Cocoa net shorts hit -20,116 contracts (1st percentile over two years, 5th over ten years), reflecting washed-out net short positioning. Remaining 9 markets near median: Wheat (SRW) (89th percentile), Corn (94th), Soybeans (91st), Coffee C (9th), Sugar #11 (27th), Lean Hogs (45th), Live Cattle (40th), Feeder Cattle (45th), Wheat (HRW) (94th).

Index (5 markets tracked): Dow Jones net shorts reached -6,563 contracts (13th percentile over two years, 20th over ten years), with non-commercial crowding at -9.7% of open interest. Nasdaq 100 net longs hit 4,103 contracts (12th percentile over two years, 44th over ten years), with crowding at just 1.7% of OI. Both reflect low speculative participation relative to recent norms. Remaining 3 markets near median: S&P 500 (50th percentile), Russell 2000 (48th), VIX (67th).

Bonds (4 markets tracked): 2-year Treasury net shorts reached -1,638,179 contracts (1st percentile in both windows, Z-score -3.11), with non-commercial crowding at -34.3% of open interest. 30-year Treasury net longs hit 6,570 contracts (88th percentile over two years, 80th over ten years), with crowding at just 0.4% of OI. 5-year Treasury net shorts registered at the 91st percentile over two years (18th over ten years), with net position at -1,448,436 contracts. The divergence across the curve is notable: extreme net short positioning at the front end (2Y and 5Y) versus elevated net long positioning at the long end (30Y). Remaining 1 market near median: 10Y Treasury (79th percentile).

Crypto (2 markets tracked): Bitcoin net longs reached 2,106 contracts (99th percentile in both windows, Z-score +2.34), with non-commercial crowding at 9.1% of open interest. This matches the Australian Dollar's dual-window extreme and reflects the upper boundary of hedge-fund futures participation during the current cycle. Remaining 1 market near median: Micro Ethereum (33rd percentile).

⚡ Alignment Signal — Large Specs + Commercials on Same Side

Two markets show the alignment signal this week, where both large speculators and commercials are positioned on the same side — leaving small speculators (retail public) holding the entire counterparty position.

Canadian Dollar (FX) shows both large speculators and commercials net short, leaving small speculators holding the entire net long position. Large speculator net position: -1,602 contracts (-0.9% of OI). Commercial net position: -1,371 contracts (-0.8% of OI). The signal coincides with a 93rd percentile reading over two years, amplifying the configuration flag. Because futures markets are zero-sum, when two groups align on one side, the third group holds 100% of the other side. Historically, similar configurations have sometimes coincided with periods of elevated positioning volatility for the retail-held side — though this is a structural observation, not a directional indicator.

S&P 500 (Index) shows both groups net short, with small speculators holding the entire net long. Large speculator net position: -77,843 contracts (-4.1% of OI). Commercial net position: -3,766 contracts (-0.2% of OI). The COT percentile sits at the 50th, so this alignment occurs at median positioning rather than an extreme. This is a positioning concentration flag, not a standalone directional indicator.

📍 Key Questions for Next Week

Will 2Y Treasury net shorts extend beyond Z-score -3.11, or does the 1st percentile mark a floor for further accumulation within this sample?
Will Australian Dollar net longs persist at the 99th percentile, or does the dual-window extreme (2Y and 10Y) trigger a repositioning wave?
Do Gold and Silver stabilise at 7th–11th percentile positioning, or weaken further despite washed-out speculative exposure?

This analysis is for educational purposes only and does not constitute financial advice.

Check back next Friday for the latest COT report analysis covering the week ending March 31, 2026.

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