Benchmark · weekly · pp of OI

Treasury cohort divergence

How wide is the positioning gap between asset managers and leveraged funds across Treasury futures?

Treasury cohort divergence measures the gap between Asset Manager and Leveraged Funds Net/OI across the front-end (2Y), the belly (10Y) and the long-end (30Y) of the Treasury curve. Asset managers hold structural duration to match liabilities and are typically net-long, and leveraged funds express more tactical views. A wide positive divergence means asset managers are positioned much more bullishly than leveraged funds: the institutional-versus-speculative gap. It is a structural-versus-tactical gauge for the rates complex.

Readingsweekly

Composite: 70.03pp of OI
13-week change: +1.16 pp of OI; from 68.87
Strongest component: 91.66pp of OI; 10Y divergence · 2026-08-04
Weakest component: 49.62pp of OI; 30Y divergence · 2026-08-04
Composite percentile: 90th; of 884 readings · since 2009-09-01

Overall divergence

2Y divergence

10Y divergence

30Y divergence

Treasury cohort divergence: summary statistics (Max range)
Series	First	Latest	Min	Max
Overall divergence	6.65	70.03	-22.01	82.44
2Y divergence	-56.57	68.80	-62.27	112.57
10Y divergence	17.13	91.66	-53.58	95.80
30Y divergence	59.37	49.62	-3.53	80.54

Source: CFTC
Series: divergence:overall divergence:2y divergence:10y divergence:30y
Frequency: weekly
Data through: 4 August 2026
Refreshed: 04 Aug 2026

Copy as markdown

How this is calculated

Formula

divergence_i = AssetManager Net/OI_i − Leveraged Funds Net/OI_i; overall = equal-weight mean

For 2Y, 10Y and 30Y Treasury futures, the divergence is Asset Manager Net/OI minus Leveraged Funds Net/OI. A positive reading means asset managers are positioned more long (or less short) than leveraged funds. The overall index is the equal-weight mean of the three divergences.

As of 4 August 2026, the latest reading is 70.03 pp of OI. That is down 7.73 pp of OI over the past year and above its long-run median of 20.79 pp of OI.

Source series

CFTC

Plotteddivergence:overallOverall divergencepp of OI · weekly · Not seasonally adjusted Plotteddivergence:2y2Y divergencepp of OI · weekly · Not seasonally adjusted Plotteddivergence:10y10Y divergencepp of OI · weekly · Not seasonally adjusted Plotteddivergence:30y30Y divergencepp of OI · weekly · Not seasonally adjusted

How to read it

What a wide or narrow divergence means

A wide divergence (asset managers longer than leveraged funds) describes the normal state of the Treasury futures market: asset managers need duration, leveraged funds take the other side. When the divergence narrows, both cohorts are closer together in their positioning, which typically happens when leveraged funds turn less bearish as the macro picture shifts. An unusually narrow or negative divergence means speculators are positioned more bullishly than institutions, a rare state worth noting.

Why the three tenors as the components

2Y, 10Y and 30Y capture the curve from front to long end. Cohort dynamics differ by tenor. The front-end divergence is often driven by SOFR-rate expectations, the long-end by term-premium and inflation views. Averaging the three gives the broad cohort split.

Limitations

The divergence does not distinguish whether the gap widened from asset managers buying or leveraged funds selling, and the driver matters. It is measured in percentage points of OI, so contracts with different OI scales are compared. Treat the chart as context for the institutional-versus-speculative positioning gap, not investment advice.

How this benchmark is used

Duration norm vs exception

The structural norm is positive divergence: asset managers long, leveraged funds short. A negative or near-zero reading is the exception that flags a positioning regime shift, often ahead of or during a risk-off move.

Frequently asked questions

4 answers

What is the current treasury cohort divergence?

As of 4 August 2026, the latest reading is 70.03 pp of OI. That is down 7.73 pp of OI over the past year and above its long-run median of 20.79 pp of OI.

How often is this benchmark updated?

This benchmark is built on weekly data. The page is refreshed when the source publishes new observations; the freshness block below the chart shows the exact data-through date and when PIER20 last fetched the file.

What data sources does this chart use?

The chart is built from Overall divergence, 2Y divergence, 10Y divergence and 30Y divergence, sourced from the CFTC Commitments of Traders report.

What does a negative divergence mean?

Leveraged funds are positioned more long (or less short) than asset managers across the curve: speculators are more bullish than the structural holders. It is unusual and has historically marked moments of acute rate-market dislocation.

MarkdownMachine-readable version of this benchmark