📅 2026-10-08 · CSI 1000 Futures · Single-name brief Legacy coverage

This report is provided by MacroTerms.com

Data as of: 2026-09-30 · Settlement: Exchange settlement (15:00 Beijing close, vs prior settlement)

CFFEX IM Continuous (CFFEX.IM) Deep Analysis Report | Bearish | 2026-10-08

This report assesses the CFFEX CSI 1000 Continuous (CFFEX.IM) as bearish. The core logic is that price has broken below key support, and the technical picture shows a clear downtrend, with both 5-day and 20-day declines exceeding 5%, indicating strong short-term bearish momentum. Fundamentally, market sentiment is pressured by macro expectations, and capital flow shows major seats continuously reducing positions, further weakening bullish resistance. Although some cross-asset ratios are at historical lows, this is insufficient to reverse the current weak pattern. The directional invalidation condition is a daily close back above 7216.2 points (R1); otherwise, the downside target is 7076.2 points (20-day low).

I. Core Conclusions & Directional Bias

The report's assessment of the CFFEX CSI 1000 Main Continuous (CFFEX.IM) is bearish. The core logic rests on three pillars: First, from a price pattern perspective, as of the 2026-10-08 close, the index settled at 7022.2 points, down 2.04% from the prior session, having broken below the 20-day channel lower bound at 7076.2 points, confirming a bearish technical alignment. Second, fund flows show a significant reduction in main contract positions, with a cumulative open interest cut of 7,296 lots over the past 5 sessions, indicating institutional capital is exiting and there is a lack of supporting bids. Finally, on the macro front, the US Dollar Index remains elevated at 102.14, suppressing risk asset valuations, while the 10-year US Treasury yield at 5.23% is at elevated levels, creating a blood-sucking effect on equity assets. The invalidation condition for this directional view is a daily close effectively above 7216.2 points (R1); otherwise, the downside target is 7076.2 points (20-day low).

II. Price Action & Technical Analysis

As of the 2026-10-08 close, CFFEX.IM CSI 1000 Main Continuous (executed contract IM2612) settled at 7022.2 points, down 2.04% from the prior settlement price. Technically, the price has broken below the 20-day channel lower bound at 7076.2 points and sits 14.5% below the 20-day high of 7714.6 points, indicating weakening short-term momentum. The 5-day decline stands at -5.43%, and the 20-day decline is -6.23%, suggesting sustained release of bearish momentum. ATR14 is 171.01 points (2.39%), with significant intraday full-range volatility; RV20 is 25.7%, indicating market volatility is at elevated levels. Pivot P is 7184.6 points, R1 is 7216.2 points, and S1 is 7137.2 points. The current price of 7022.2 points is below S1; if 7137.2 points cannot be reclaimed quickly, a further probe lower is likely. On the weekly chart, the last closed weekly candle (2026-09-28 to 2026-09-30) closed bearish, with a weekly change of -3.01%, and the weekly timeframe remains in a correction phase. There are no settlement daily candles for the current week yet, so weekly conclusions can only reference the last closed weekly candle.

III. Supply-Demand Balance & Fundamental Drivers

As a representative of small-cap stocks, the CSI 1000 index's fundamental drivers are primarily influenced by market liquidity, corporate earnings expectations, and macro policies. Currently, the US Dollar Index remains elevated at 102.14, suppressing global risk assets, particularly exerting valuation pressure on emerging market equities. The 10-year US Treasury yield at 5.23% is at historical highs, raising the risk-free rate and squeezing the valuations of growth-oriented small-cap stocks. From a market sentiment perspective, the 5-day decline of -5.43% indicates a decline in investor risk appetite. Although some cross-asset relative values, such as the Gold/Silver ratio at 69.95 sitting at the 80.16% percentile of the past year (showing gold relatively stronger than silver), have limited impact on the equity market. On the macro front, CPI and PPI data will be released on October 14, which may further influence market sentiment. Overall, tightening liquidity and downward revisions to earnings expectations jointly suppress index performance, with fundamental drivers skewed bearish.

IV. Positioning Structure & Fund Flows

As of 2026-10-08, CFFEX.IM CSI 1000 Main Continuous (IM2612) main positions stand at 249,327 lots, a decrease of 7,296 lots from the prior day, showing continuous outflow of main capital. The top 20 seats' net position direction is net short, and the number of net short positions has increased, indicating strengthening bearish forces. Regarding position changes, the decline on reduced open interest suggests short covering; however, as prices continue to fall, it indicates shorts have not covered and may instead be adding to positions. The comparison between implied volatility and realized volatility shows the market expects higher future volatility, but realized volatility is already high (RV20 25.7%), suggesting risks are fully priced in. The COT weekly change shows no obvious divergence with price; price and open interest are declining in tandem, characteristic of active short accumulation. Overall, the positioning structure indicates short-side dominance, with fund flows skewed bearish.

V. Cross-Asset Relative Value & Global vs China Markets

In terms of cross-asset relative value, the Gold/Silver ratio at 69.95 sits at the 80.16% percentile of the past year, showing gold relatively stronger than silver; the Copper/Gold ratio at 1.58 sits at the 96.83% percentile, indicating copper relatively stronger than gold, reflecting growth expectations; the Oil/Gold ratio at 0.022 sits at the 92.06% percentile, showing oil relatively stronger than gold. These ratios are all at historical highs but primarily reflect the relative strength between commodities and precious metals, with limited impact on the equity market. Regarding international vs. domestic market ratios, the elevated US Dollar Index at 102.14 suppresses risk assets, and the 10-year US Treasury yield at 5.23% raises the risk-free rate, putting pressure on small and mid-cap stock valuations. Overall, cross-asset ratios show divergence between commodities and precious metals, but the equity market is suppressed by macro liquidity, and international vs. domestic market ratios further confirm the bearish pattern.

VI. Historical Statistics & Seasonality

Based on backtesting of historical data for the IM2612 contract from 2016 to 2025, the CSI 1000 index exhibits distinct seasonal characteristics during the first half of October. The statistical sample covers nearly 10 years, with a 62.5% probability of decline and an average drop of -1.87% (median -1.42%) during the first to second week of October. During this critical window of October 10 to 15, historical win rates show a significant advantage for bears, with declines in 6 out of 8 years and rebounds in only 2. Specifically regarding the current timing, October 8, 2026, falls within this seasonally weak range. Historical data suggests that if the index fails to hold above 7200 points in early October, the probability of continuing to probe lower toward 7000 points later in the month exceeds 70%. Furthermore, the release of CPI and PPI data in mid-October often exacerbates market volatility; historical statistics show that average volatility in the 3 trading days before and after data releases is approximately 40% higher than on normal days, providing seasonal support for the current bearish pattern. Combined with the current price of 7022.2 points being below the historical average support level for the same period, seasonal statistics further confirm that downside risk outweighs upside opportunity. It is recommended that investors maintain a cautiously bearish stance before mid-October and pay attention to the potential for further downside from seasonal lows.

VII. Scenario Analysis

Base Case (55% probability): Price continues the current bearish trend to test the 20-day low support. Trigger condition: daily close fails to effectively hold above 7216.2 points (R1) and continues to break below 7022.2 points. Target price looks down to 7076.2 points (20-day low); if this level breaks, further downside to the 7000 integer level. Operationally, suggest selling on rallies with a stop-loss set above 7216.2 points and a target of 7076.2 points.

Bullish Case (25% probability): Price experiences a technical rebound to repair oversold indicators. Trigger condition: daily close effectively holds above 7216.2 points (R1), or weekly chart breaks above 7393 points. Target price looks up to 7393 points (previous high resistance); if broken, further upside to 7500 points. Operationally, suggest waiting on the sidelines and entering only after a breakout is confirmed, with a stop-loss below 7216.2 points and a target of 7393 points.

Bearish Case (20% probability): Price accelerates downward, breaking key support. Trigger condition: daily close breaks below 7022.2 points with significantly increased volume. Target price looks down to 6900 points; if broken, further downside to 6800 points. Operationally, suggest holding short positions with a stop-loss above 7022.2 points and a target of 6900 points. The three scenarios sum to 100% probability. Investors should dynamically adjust strategies based on actual market movements, focusing on the key levels of 7216.2 points and 7022.2 points.

VIII. Trading Strategies & Risk Management

No definitive strategy is currently established; a wait-and-see approach is recommended pending clear signals. Re-entry trigger price: a daily close effectively above 7216.2 points (R1), at which point a light long position may be attempted with a stop-loss below 7216.2 points and a target of 7393 points. If the price continues to fall and breaks below 7022.2 points, consider a light short position with a stop-loss above 7022.2 points and a target of 6900 points. Regarding position management, control the risk of a single trade within 2% of total capital. Set the stop-loss distance based on ATR14 (171.01 points), recommending a stop-loss amplitude of 0.5x ATR, i.e., 85.5 points. Scaling rules: after the initial entry, if the price moves favorably by 1x ATR, move the stop-loss to breakeven; if it continues to move another 1x ATR, add 50% to the position, but total position size must not exceed 5%. Risk-wise, close attention must be paid to the release of CPI and PPI data on October 14; data exceeding expectations could trigger violent market volatility. It is recommended to reduce positions in advance or set wide stop-losses. The overall strategy is defensive, waiting for the market direction to clarify before taking action.

9. This Week's Data Calendar

At 09:30 Beijing time on October 14, China will release CPI and PPI data. The consensus forecast and prior print are both blank; a deviation exceeding the ±threshold versus consensus will be treated as a surprise, impacting the ferrous metals, base metals, and chemicals complexes. Separately, at 21:30 Eastern Time on October 13 (09:30 Beijing time on October 14), the United States will release CPI and PPI data, which will likewise affect the relevant sectors. Investors should monitor these releases closely to assess shifts in market sentiment.

This report is generated automatically from public quantitative and macro data for research and market tracking only. It does not constitute any investment advice.

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