252-day rolling percentile rank of CTA positioning (100 = most short-duration in the past year, 0 = most long-duration).
Extremes flag crowded positions; crossbacks through the 95th/5th percentile mark the unwind.
▼ Short Unwind = crowded short-duration bet reversing ·
▲ Long Unwind = crowded long-duration bet reversing.
Range:
Signal Performance — Fast Mode
Positive = signal was correct. Hit% ≥ 55 highlighted green, ≤ 48 red.
Tenor
Signal
N
1 Week
2 Weeks
1 Month
3 Months
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
2Y
Short Unwind
21
52%
+3.2
+1.0
57%
+5.3
+5.0
62%
+9.0
+3.0
80%
+19.3
+12.5
2Y
Long Unwind
26
42%
-3.5
-1.0
58%
-2.3
+2.0
46%
-7.0
-4.0
42%
-5.5
-3.5
5Y
Short Unwind
21
43%
-0.8
-1.0
52%
+2.6
+4.0
48%
+6.3
-1.0
48%
+2.8
+0.0
5Y
Long Unwind
22
41%
-2.8
-2.5
45%
-2.4
-1.0
55%
-5.3
+2.5
45%
-5.7
-5.0
10Y
Short Unwind
25
56%
+1.3
+1.0
48%
+0.5
-1.0
52%
+2.2
+2.0
45%
-1.9
-5.5
10Y
Long Unwind
30
53%
+1.6
+1.5
53%
+1.5
+2.0
67%
+3.0
+5.0
43%
+3.1
-0.5
30Y
Short Unwind
19
58%
+2.6
+2.0
47%
+1.3
-1.0
42%
-3.9
-2.0
53%
+0.5
+1.0
30Y
Long Unwind
21
43%
-2.0
-2.0
43%
-2.4
-1.0
57%
+4.5
+5.0
62%
+14.1
+10.0
Signal Performance — Slow Mode
Positive = signal was correct. Hit% ≥ 55 highlighted green, ≤ 48 red.
Tenor
Signal
N
1 Week
2 Weeks
1 Month
3 Months
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
Hit%
Avg(bp)
Med(bp)
2Y
Short Unwind
12
50%
-0.5
-0.0
67%
+4.0
+2.0
83%
+14.8
+10.0
82%
+17.1
+7.0
2Y
Long Unwind
18
61%
+0.1
+2.0
56%
-1.8
+1.5
50%
+3.1
+0.5
44%
-1.3
-1.5
5Y
Short Unwind
11
36%
-0.9
-2.0
45%
+1.2
-1.0
55%
+5.7
+8.0
64%
+21.8
+22.0
5Y
Long Unwind
21
48%
+1.5
+0.0
48%
-2.0
+0.0
62%
+5.8
+4.0
67%
+7.3
+13.0
10Y
Short Unwind
14
50%
+2.3
+0.5
57%
+2.6
+1.5
57%
-1.4
+1.5
64%
+21.9
+17.0
10Y
Long Unwind
18
61%
+3.2
+2.5
72%
+1.1
+3.5
61%
+8.8
+7.5
67%
+15.6
+21.5
30Y
Short Unwind
12
42%
-2.4
-2.5
50%
-4.2
+0.0
25%
-9.1
-6.0
42%
+6.4
-4.0
30Y
Long Unwind
17
65%
+2.6
+3.0
59%
+5.1
+3.0
76%
+8.7
+6.0
59%
+4.7
+9.0
AI Commentary
Generated 2026-10-12 12:43 UTC · google/gemma-4-31B-it
Positioning is uniformly positive (+) across the curve, indicating a systemic short-duration bias (betting on rising yields). The 10Y (+71.4 Fast / +75.9 Slow) is the most crowded tenor. This suggests a high-conviction "bear steepening" or parallel shift trade, where CTAs are heavily leaned into the belly of the curve.
2. Yield Curve Context
With the 10Y-2Y at +47bps and 30Y-2Y at +85bps, the curve is comfortably steep. CTAs are not merely betting on a rate hike (2Y), but are aggressively shorting the long end (30Y +62.6). The alignment of positive positioning with a steepening curve suggests CTAs are riding a strong momentum trend of term-premium expansion.
3. Fast vs. Slow Divergences
There is strong alignment between Fast and Slow modes.
* 10Y: Fast (+71.4) vs. Slow (+75.9)
* 2Y: Fast (+49.7) vs. Slow (+55.4)
The lack of divergence indicates high trend conviction. We are not seeing "fast" signals flip to long duration while "slow" remains short; the trend is synchronized, reducing the probability of an immediate trend-reversal based on technicals alone.
4. Exhaustion Signals
While conviction is high, the 10Y positioning (>70) is entering the "extreme" zone. When both modes converge at these levels, the trade becomes "crowded to the exit." Any fundamental catalyst (e.g., unexpected dovish pivot or flight-to-quality) could trigger a violent short-covering rally, as there is little room for further CTA entry.
5. Actionable Watch-list (Next 5 Days)
Watch: 10Y Yield 5.25% - 5.30% Zone.
If yields stall or dip slightly from this level, watch for a breakdown in the Fast Mode 10Y signal. A drop below +60 in the Fast Mode would be the first signal of "trend exhaustion," potentially triggering a rapid unwind of the crowded short-duration trade.
CTA Positioning Analysis: Treasury Markets (2026-10-12)
1. Duration Crowding
Positioning is uniformly positive (+) across the curve, indicating a systemic short-duration bias (betting on rising yields). The 10Y (+71.4 Fast / +75.9 Slow) is the most crowded tenor. This suggests a high-conviction "bear steepening" or parallel shift trade, where CTAs are heavily leaned into the belly of the curve.
2. Yield Curve Context
With the 10Y-2Y at +47bps and 30Y-2Y at +85bps, the curve is comfortably steep. CTAs are not merely betting on a rate hike (2Y), but are aggressively shorting the long end (30Y +62.6). The alignment of positive positioning with a steepening curve suggests CTAs are riding a strong momentum trend of term-premium expansion.
3. Fast vs. Slow Divergences
There is strong alignment between Fast and Slow modes. * 10Y: Fast (+71.4) vs. Slow (+75.9) * 2Y: Fast (+49.7) vs. Slow (+55.4) The lack of divergence indicates high trend conviction. We are not seeing "fast" signals flip to long duration while "slow" remains short; the trend is synchronized, reducing the probability of an immediate trend-reversal based on technicals alone.
4. Exhaustion Signals
While conviction is high, the 10Y positioning (>70) is entering the "extreme" zone. When both modes converge at these levels, the trade becomes "crowded to the exit." Any fundamental catalyst (e.g., unexpected dovish pivot or flight-to-quality) could trigger a violent short-covering rally, as there is little room for further CTA entry.
5. Actionable Watch-list (Next 5 Days)
Watch: 10Y Yield 5.25% - 5.30% Zone. If yields stall or dip slightly from this level, watch for a breakdown in the Fast Mode 10Y signal. A drop below +60 in the Fast Mode would be the first signal of "trend exhaustion," potentially triggering a rapid unwind of the crowded short-duration trade.