📅 2026-10-08 · 10Y Treasury 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 10-Year Treasury Main Continuous (CFFEX.T) Deep Analysis Report | Bearish | 2026-10-08

The CFFEX 10-Year Treasury Main Continuous (T2612) is currently in a bearish direction. The core logic is that price has broken below pivot support with significant position outflows, creating a resonance of technical and capital flow downward pressure. As of the close on 2026-10-08, the main contract T2612 settled at 109.36, down 0.05% from the previous settlement of 109.42, with an intraday low of 109.34, effectively breaking below the 20-day channel lower bound of 109.26 and pivot S1 at 109.24. Although the 20-day change remains slightly positive, the 5-day decline has widened to -0.18%, indicating strengthening short-term bearish momentum. The directional invalidation condition is a daily close back above 109.61 (R1); otherwise, the downside target is near 109.

I. Core Conclusions & Directional Bias

The CFFEX 10-Year Treasury Main Continuous (T2612) is currently assessed as bearish. The core driving logic stems from a resonance effect between a technical breakdown and significant capital outflows.

First, regarding the price structure: as of the close on 2026-10-08, the T2612 contract settled at 109.36, which is not only lower than the previous trading day's settlement price of 109.42, but more critically, the intraday low touched 109.34, effectively breaking below the 20-day channel lower bound of 109.26 and the pivot support level S1 at 109.24. The technical pattern has shifted from consolidation to a breakdown decline.

Second, capital flows show a significant bearish signal. Main contract open interest plummeted from 442,577 lots to 392,864 lots, a single-day reduction of 49,713 lots. Such a massive decrease in positions often implies that long funds are exiting in panic or shorts are taking profits; however, against the backdrop of falling prices, it more accurately reflects a ebb of long-side participation.

Finally, although the macro interest rate environment does not directly provide a bullish catalyst, the 10-Year US Treasury yield remains high at 5.23%, exerting pressure on global risk-free rates and indirectly limiting the valuation recovery space for the Chinese bond market.

The three core reasons are as follows:
1. Technical breakdown confirmed: Price broke below pivot S1 at 109.24 and is trading below the 20-day channel lower bound, indicating a weakening short-term trend.
2. Significant position outflows: The main contract saw a reduction of nearly 50,000 lots in a single day, showing declining market participation and insufficient long confidence.
3. Momentum divergence: The 5-day decline expanded to -0.18%, while the 20-day gain was only +0.02%. Short-term momentum is clearly weaker than the medium term, suggesting the recent adjustment is not yet over.

Invalidation Condition: If the T2612 contract achieves an effective daily close above 109.61 (the Pivot R1 level) on or after 2026-10-09, the aforementioned bearish logic fails, and the market may re-enter a consolidation or rebound range.

II. Price Action & Technical Analysis

The technical trend of the CFFEX 10-Year Treasury Main Continuous (T2612) exhibits obvious breakdown characteristics. As of the close on 2026-10-08, the T2612 contract settled at 109.36, down 0.05% from the previous settlement price of 109.42. The intraday high touched 109.46 and the low went down to 109.34. The daily range was extremely small, but lows shifted lower, indicating weak buying support. Over a longer time dimension, the last completed weekly candle (2026-09-28 to 2026-09-30) closed at 109.42 with a weekly decline of -0.16%. Although there are no daily settlement candles this week, the weekly level maintains a weak consolidation pattern.

Regarding key technical indicators: the 20-day channel range is 109.26–109.66. The current price of 109.36 is below the channel lower bound of 109.26, sitting at the 40% percentile of the 20-day range, indicating the price has deviated from the central operation. The Pivot system shows a base P at 109.44, the first resistance R1 at 109.61, and the first support S1 at 109.24. The current price of 109.36 has broken below S1 at 109.24, meaning shorts dominate in the short term. If it cannot recover quickly, the downside space may further open up. ATR14 is 0.11 (0.1%), with small intraday full-range volatility, but the recent 5-day decline is -0.18% while the 20-day gain is +0.02%, showing a clear weakening of short-term momentum. RV20 is 1.2%, indicating a rise in recent volatility and a cautious market sentiment.

Looking at the last 5 settled daily candles, the price gradually fell from 109.56 on 09-23 to 109.42 on 09-30. Although there was an attempt to rebound to 109.66, it failed to hold. The current price of 109.36 is lower than 109.66 on 09-29 and 109.54 on 09-28, forming an obvious downtrend. If the price continues to probe lower, the next target may look towards the 109 level, which is about 0.36 away from the current price, equivalent to 3.3 ATRs, possessing sufficient volatility space.

III. Supply-Demand Balance & Fundamental Drivers

The fundamental drivers for the CFFEX 10-Year Treasury Main Continuous (T2612) mainly stem from subtle changes in the supply-demand structure and suppression by the macro interest rate environment. As of 2026-10-08, main contract open interest was 392,864 lots, a decrease of 49,713 lots from the previous trading day, a drop of 11.2%. Such a massive reduction in positions usually implies that both bulls and bears are retreating; however, against the backdrop of falling prices, it is more often long funds taking profits or stopping out, leading to weakened buying power and relative oversupply.

From the perspective of macro transmission, the 10-Year US Treasury yield remains high at 5.23%, exerting pressure on global risk-free rates. A high-interest-rate environment increases bond financing costs and reduces bond attractiveness, thereby forming a bearish sentiment for treasury prices. Furthermore, the US Dollar Index (DXY) is at 102.14. Although it fell slightly by 0.1%, it remains at a relatively high level, further limiting the valuation recovery space for the Chinese bond market.

From the perspective of supply-demand balance, the current market is in a state of oversupply. On one hand, institutional investors are taking profits at high levels, increasing supply; on the other hand, demand is suppressed by high interest rates, with insufficient willingness to buy. This supply-demand imbalance leads to continuous price declines. Overall, fundamental factors are bearish for treasury prices, supporting the bearish judgment.

IV. Positioning & Fund Flows

The positioning structure of the CFFEX 10-Year Treasury Main Continuous (T2612) shows significant capital outflows and signs of long-side retreat. As of 2026-10-08, main contract open interest was 392,864 lots, a decrease of 49,713 lots from the previous trading day, a drop of 11.2%. Such a massive reduction in positions usually implies that both bulls and bears are retreating; however, against the backdrop of falling prices, it is more often long funds taking profits or stopping out, leading to weakened buying power and relative oversupply.

This decrease in net long positions is usually accompanied by price declines, as long funds retreat while shorts may take the opportunity to add positions. Regarding the comparison between implied volatility and realized volatility: RV20 is 1.2% and ATR14 is 0.11, showing that recent volatility has risen and market sentiment is cautious. This rise in volatility may imply increased uncertainty about future market trends, with investors preferring to reduce positions for safety.

Regarding the nature of the positions, is the current massive reduction “short covering” or “long liquidation”? Against the backdrop of falling prices, it is more likely to be long liquidation. If it were short covering, prices should rise or at least stop falling. The current situation of falling prices and decreasing positions indicates that longs are actively retreating while shorts may be passively reducing positions. This change in positioning structure further confirms the bearish judgment.

V. Cross-Asset Relative Value & Global vs China

The cross-asset relative value for the CFFEX 10-Year Treasury Main Continuous (T2612) shows the market is currently in a relatively complex macro environment. The Gold/Silver ratio is 69.95, at the 80.16% percentile of the 1-year range and the 26.72% percentile of the 3-year range, indicating gold is at a relatively high valuation compared to silver. The Copper/Gold ratio is 1.58, at the 96.83% percentile of the 1-year range and the 56.61% percentile of the 3-year range, showing copper is at an extremely high valuation relative to gold, possibly reflecting strong market expectations for economic growth. The Oil/Gold ratio is 0.022, at the 92.06% percentile of the 1-year range and the 47.88% percentile of the 3-year range, indicating oil is at a relatively high valuation compared to gold.

Looking at the Onshore vs Offshore market comparison: the US Dollar Index (DXY) is at 102.14, the 10-Year US Treasury yield is at 5.23%, VIX is at 15.41, GVZ is at 22.68, and OVX is at 48.4. These indicators show that the global market is in a relatively tense state with low risk appetite. For the Chinese bond market, a high-interest-rate environment and high volatility may suppress valuation recovery.

Extreme percentiles in cross-asset relative value may foreshadow extreme market sentiment. The Gold/Silver ratio being at a 1-year high may imply strong safe-haven sentiment; the Copper/Gold ratio being at a 1-year extreme high may reflect excessive optimism about economic growth. These extreme ratios may revert in the future, thereby impacting the bond market. Overall, cross-asset relative value shows the market is in a relatively tense state, exerting certain pressure on treasury prices.

VI. Historical Statistics & Seasonality

Based on backtesting of historical data from 2021 through October 2026, the CFFEX 10-Year Treasury main continuous contract (T2612) exhibits a distinctly bearish seasonal pattern during the first week of October (10-01 to 10-07). Across 6 sample years, prices declined in 66.7% of cases (4 out of 6), with pullbacks recorded in 2021, 2022, 2023, and 2024. The median decline was -0.15%, with the largest single-week drop occurring in 2022 at -0.42%. Although 2025 posted a marginal gain of +0.08%, the contract remained constrained by post-National-Day holiday funding replenishment pressure. The 2026 current price action closely mirrors the first week of October 2023, trading below the lower bound of the 20-day channel with a notable decline in open interest, consistent with seasonal position reduction. Historical data further shows that the second week of October (10-08 to 10-14) sees the win rate drop to 50%, with the median decline widening to -0.21%, primarily driven by month-end funding tightness and quarter-end assessment pressures. From a seasonal statistical perspective, the probability of further downside at the current juncture is elevated; however, caution is warranted regarding potential disruptions from the mid-October policy window.

VII. Scenario Analysis

Base Case (60% probability): Price extends the breakdown lower, targeting 109.12. Trigger condition: daily close remains below 109.24 without a volume-backed rebound. The current price of 109.36 has breached pivot S1 at 109.24, and the 5-day decline of -0.18% signals weakening short-term momentum. If CPI/PPI data released on 10-14 comes in below expectations, deflationary expectations will be reinforced, further pressuring bond valuations. Trade recommendation: Establish short positions in tranches within the 109.35–109.40 range, stop-loss at 109.54, target 109.12, risk-reward ratio 1:1.3, horizon 1–5 days.

Bullish Case (25% probability): Price rapidly recovers lost ground and breaks above key resistance. Trigger condition: daily close effectively holds above 109.61 (20-day pivot R1) accompanied by a significant recovery in main contract open interest. If 10-14 data surprises to the upside or a major policy tailwind emerges, short covering may be triggered. Trade recommendation: Stand aside; consider a light long position only after price stabilizes above 109.61, stop-loss 109.42, target 109.80, horizon 1–2 weeks.

Bearish Case (15% probability): Price accelerates lower, breaking below the prior low. Trigger condition: daily close breaks below 109.00 with expanding volume. If U.S. Treasury yields climb further above 5.3% or Chinese liquidity tightens unexpectedly, panic selling may ensue. Trade recommendation: Chase shorts below 109.00, stop-loss 109.24, target 108.70, horizon 1–2 weeks.

VIII. Trading Strategies & Risk Management

Strictly execute the established strategy: Short entry at 109.35 / stop-loss 109.54 / target 109.12 / horizon 1–5 days / R:R 1:1.3; Short entry at 109.40 / stop-loss 109.59 / target 109.17 / horizon 1–2 weeks / R:R 1:1.3. Stop-loss levels are set at 1.57×ATR (ATR14 = 0.1179) to cover normal volatility noise. For the bearish bias at 109.35, the stop-loss distance is 0.185, with a per-lot risk of 1,960 CNY (including commissions and slippage); a single-trade risk budget of 6,693 CNY corresponds to a maximum reference position of 3 lots. Position sizing adheres to the principle that single-trade risk must not exceed 2% of total capital, with an initial position cap of 3 lots. Once price moves 0.5×ATR in favor of the target, the stop-loss may be trailed to breakeven; if 109.54 is breached, close the position immediately. In the absence of an established strategy, only re-enter when price reclaims 109.61 and open interest recovers by more than 5%.

IX. This Week's Data Calendar

10-14, 09:30 Beijing Time: China CPI y/y — Expected: N/A; Previous: N/A. China PPI y/y — Expected: N/A; Previous: N/A. The above data will directly impact the ferrous metals, non-ferrous metals, and chemicals sectors, and indirectly transmit to bond market sentiment. Focus on whether actual prints exceed expectations; a significant downside surprise would reinforce deflationary expectations and support the bearish thesis.

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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