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%
+3.3
+1.0
57%
+5.3
+5.0
60%
+8.5
+2.5
74%
+13.0
+8.0
2Y
Long Unwind
25
36%
-4.0
-1.0
56%
-2.8
+1.0
40%
-7.8
-5.0
40%
-6.8
-5.0
5Y
Short Unwind
22
45%
-0.3
-1.0
55%
+2.9
+4.0
50%
+6.2
+0.0
43%
+0.6
-6.0
5Y
Long Unwind
19
37%
-2.9
-3.0
37%
-5.5
-4.0
58%
-7.4
+2.0
37%
-16.1
-8.0
10Y
Short Unwind
22
55%
+0.7
+1.0
41%
-0.7
-2.5
45%
-1.6
-5.5
40%
-5.4
-9.0
10Y
Long Unwind
27
52%
+1.3
+1.0
52%
+0.6
+2.0
67%
+3.1
+5.0
41%
-2.9
-9.0
30Y
Short Unwind
18
56%
+2.1
+1.5
44%
+0.6
-1.0
39%
-4.7
-3.5
53%
-0.2
+1.0
30Y
Long Unwind
19
42%
-1.2
-2.0
42%
+0.4
-1.0
63%
+4.4
+7.0
63%
+8.0
+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
13
38%
-1.5
-1.0
54%
+1.7
+1.0
77%
+10.6
+10.0
67%
+6.4
+4.5
2Y
Long Unwind
15
47%
-2.3
-1.0
53%
-4.9
+1.0
40%
-0.7
+0.0
33%
-5.9
-5.0
5Y
Short Unwind
12
42%
-0.6
-3.5
42%
-0.9
-5.0
58%
+5.0
+4.5
58%
+15.9
+17.0
5Y
Long Unwind
19
53%
+2.5
+1.0
47%
-1.4
+0.0
53%
+4.4
+1.0
63%
+3.1
+11.0
10Y
Short Unwind
16
50%
+3.3
+0.5
56%
+4.1
+1.5
53%
-4.9
+1.0
60%
+13.9
+3.0
10Y
Long Unwind
16
56%
+3.1
+2.5
69%
+0.1
+3.5
56%
+4.7
+5.5
56%
+6.8
+7.5
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
16
62%
+2.4
+3.0
56%
+5.1
+2.5
81%
+9.6
+7.0
56%
-1.0
+9.0
AI Commentary
Generated 2026-07-19 07:28 UTC · google/gemma-4-31B-it
CTAs are currently net short duration across the entire curve (Positive sign convention). Crowding is most acute in the front-end (2Y/5Y), where positioning exceeds +24. The concentration in short-dated tenors signals a strong conviction bet on "higher for longer" or a delayed pivot, while the relatively lower positioning in the 30Y (+11.8 to +12.8) suggests less conviction in a long-term structural bear steepener.
2. Yield Curve Context
With a positive 10Y-2Y (+0.41bps) and 30Y-2Y (+0.93bps) spread, the curve is in a normalized/steepening regime. CTA positioning is aligned with this trend; by being more aggressively short the 2Y than the 30Y, CTAs are effectively betting on the front-end remaining anchored or rising faster than the long end, supporting a bull-flattening or bear-steepening bias depending on the catalyst.
3. Fast vs. Slow Divergences
There is strong alignment between Fast and Slow modes. Both modes are positive across all tenors, indicating a high-conviction, multi-timeframe trend.
* Conviction: High. The lack of divergence suggests the trend is mature and stable.
* Implication: There is no immediate "trend flip" signal; the path of least resistance remains higher yields.
4. Exhaustion Signals
While the trend is aligned, the High-Conviction signals (≥60) are concentrated in the 2Y/5Y. When positioning reaches these extremes in the front end, the trade becomes susceptible to "gamma-style" squeezes. However, with only 19 high-conviction signals in the Slow Mode, the trade is not yet "over-crowded" to the point of imminent systemic collapse, but it is entering the danger zone for a mean-reversion event.
5. Actionable Watch-list (Next 5 Days)
Watch: 2Y Yield Breakout/Reversal.
Monitor for a sharp dip in 2Y yields. Because the 2Y is the most crowded short (+26.2), any fundamental shift (e.g., dovish surprise) will trigger a rapid "short-covering" rally, leading to a violent collapse in front-end yields.
CTA Positioning Analysis: Treasury Markets (2026-07-19)
1. Duration Crowding
CTAs are currently net short duration across the entire curve (Positive sign convention). Crowding is most acute in the front-end (2Y/5Y), where positioning exceeds +24. The concentration in short-dated tenors signals a strong conviction bet on "higher for longer" or a delayed pivot, while the relatively lower positioning in the 30Y (+11.8 to +12.8) suggests less conviction in a long-term structural bear steepener.
2. Yield Curve Context
With a positive 10Y-2Y (+0.41bps) and 30Y-2Y (+0.93bps) spread, the curve is in a normalized/steepening regime. CTA positioning is aligned with this trend; by being more aggressively short the 2Y than the 30Y, CTAs are effectively betting on the front-end remaining anchored or rising faster than the long end, supporting a bull-flattening or bear-steepening bias depending on the catalyst.
3. Fast vs. Slow Divergences
There is strong alignment between Fast and Slow modes. Both modes are positive across all tenors, indicating a high-conviction, multi-timeframe trend. * Conviction: High. The lack of divergence suggests the trend is mature and stable. * Implication: There is no immediate "trend flip" signal; the path of least resistance remains higher yields.
4. Exhaustion Signals
While the trend is aligned, the High-Conviction signals (≥60) are concentrated in the 2Y/5Y. When positioning reaches these extremes in the front end, the trade becomes susceptible to "gamma-style" squeezes. However, with only 19 high-conviction signals in the Slow Mode, the trade is not yet "over-crowded" to the point of imminent systemic collapse, but it is entering the danger zone for a mean-reversion event.
5. Actionable Watch-list (Next 5 Days)
Watch: 2Y Yield Breakout/Reversal. Monitor for a sharp dip in 2Y yields. Because the 2Y is the most crowded short (+26.2), any fundamental shift (e.g., dovish surprise) will trigger a rapid "short-covering" rally, leading to a violent collapse in front-end yields.