📅 2026-10-08 · 2Y 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 2-Year Treasury Bond Main Continuous (CFFEX.TS) Deep Analysis Report | Bearish and Key Support | 2026-10-08

The CFFEX 2-Year Treasury Bond Main Continuous (TS2612) is currently in a bearish trend. The core logic is that prices remain under pressure and the technical position is at the lower edge of the 20-day channel, limiting short-term rebound potential. Based on settlement data, TS2612 closed at 102.56 on October 8, a slight decline from the previous settlement, with a 5-day drop of 0.04%, indicating that short-term bearish momentum is dominant. Although weekly volatility is narrowing, the daily level has broken below key pivot support levels, and a slight decline in open interest suggests short covering rather than active long attacks. If the price effectively breaks below 102.55, downside risks will significantly increase. This report is based solely on existing data for analysis and does not constitute investment advice.

I. Core Conclusion & Directional Bias

The CFFEX 2-Year Treasury Bond main continuous contract (TS2612) is currently assessed as bearish. This conclusion rests on three core rationales. First, from a price structure perspective, TS2612 closed at 102.56 on October 8, breaking below the daily pivot S1 (102.55) and trading near the lower bound of the 20-day channel (102.56), indicating significant downside pressure from a technical standpoint. Second, short-term momentum indicators show weakness, with a 5-day decline of -0.04% and a 20-day decline of -0.02%, suggesting persistent price pressure with bears dominating. Third, regarding positioning, main contract open interest decreased by 34 lots from 71,274 lots; although the decline is modest, combined with the price drop, this is more consistent with short covering rather than aggressive long accumulation, lacking strong buy-side support.

The invalidation condition is explicit: if TS2612 achieves a daily close firmly above 102.62 (the 20-day high), or breaks above that level accompanied by a significant increase in open interest, the bearish thesis is falsified, and the market may shift to a range-bound or corrective rally. Close attention is warranted for the CPI and PPI data due on October 14; if these data points exceed expectations, interest rate volatility may be triggered, subsequently impacting Treasury bond futures.

II. Price Action & Technical Analysis

On October 8, TS2612 opened at 102.57, reached a high of 102.59, dipped to a low of 102.55, and settled at 102.56, down 0.02% versus the prior session settlement. Technically, the current price sits at the lower bound of the 20-day channel (102.56) and has breached the daily pivot S1 (102.55), signaling strengthening short-term bearish momentum. ATR14 stands at 0.03, indicating relatively limited intraday volatility, while RV20 at 0.3% suggests a recent uptick in realized volatility.

Over a longer time horizon, the most recent completed weekly candle (September 28 to September 30, 2026) closed at 102.57 with a weekly decline of -0.02%, maintaining a narrow range-bound pattern overall. Across the last five settled daily sessions, prices have primarily oscillated within the 102.56 to 102.62 range without a decisive breakout. The current price is near the 20-day low of 102.56; a further breakdown may trigger technical selling. Pivot R1 (102.61) and S1 (102.55) form a narrow band, and while prices fluctuate within this range, the current bias leans toward testing the lower support.

Notably, the night session for October 8 had not yet commenced; therefore, the current analysis is based solely on settled daily data. Should the night session see heavy-volume selling, the bearish trend may be further confirmed. Conversely, if the night session rebounds and holds above 102.61, the downward pressure may be temporarily alleviated.

III. Supply-Demand Balance & Fundamental Drivers

The supply-demand dynamics of the CFFEX 2-Year Treasury Bond futures are primarily influenced by macroeconomic data and monetary policy expectations. Currently, market focus centers on the CPI and PPI data due for release on October 14, which will directly shape expectations regarding inflation and the trajectory of monetary policy. If CPI and PPI data exceed expectations, upward pressure on interest rates may emerge, constituting a bearish factor for Treasury bond futures.

From a supply-demand structure perspective, the supply of Treasury bond futures is relatively stable, determined primarily by the Ministry of Finance issuance schedule. On the demand side, institutional investors (such as banks, insurance companies, and funds) are the primary participants, and their allocation demand is heavily influenced by market interest rate expectations. Currently, market expectations regarding future interest rate trends remain cautious, resulting in relatively weak demand for Treasury bond futures. Regarding the basis, TS2612 basis data is not directly provided, but the persistent price pressure suggests that the spread between spot and futures may have widened, further suppressing futures prices.

In terms of macro transmission mechanisms, expectations of rising interest rates influence bond yields, which in turn transmit to Treasury bond futures prices. Currently, the US 10-Year Treasury yield stands at 5.23%; although it fell 0.87% from the previous day, it remains at an elevated level overall, exerting pressure on the global interest rate environment. On the China side, if CPI and PPI data exceed expectations, rate hike expectations may be reinforced, further pressuring Treasury bond futures prices. Therefore, the fundamental drivers currently lean bearish.

IV. Positioning Structure & Fund Flows

The main contract open interest for TS2612 stands at 71,274 lots, a decrease of 34 lots from the previous trading day. The slight decline in open interest combined with the price drop is more consistent with short covering rather than aggressive long accumulation. This indicates that the market currently lacks strong buy-side support; while bearish forces have somewhat receded, there has been no large-scale entry of long positions.

From a COT perspective, weekly positioning changes exhibit a certain divergence from price action.

Regarding the comparison between implied volatility and realized volatility: ATR14 is 0.03 and RV20 is 0.3%, showing that realized volatility has risen, though implied volatility is not directly provided. If implied volatility is significantly higher than realized volatility, it may signal market expectations of intensifying future volatility, thereby influencing positioning decisions. Currently, market sentiment is relatively cautious, and the positioning structure has not exhibited extreme changes; however, vigilance is required for volatility spikes surrounding data releases.

V. Cross-Asset Relative Value & Global vs China

In terms of cross-asset relative value, the current Gold/Silver ratio stands at 69.95, at the 80.16th percentile over one year and the 26.72nd percentile over three years. The Copper/Gold ratio is 1.58, at the 96.83rd percentile over one year and the 56.61st percentile over three years. The Oil/Gold ratio is 0.022, at the 92.06th percentile over one year and the 47.88th percentile over three years. These ratio data points reflect the relative strength among different asset classes.

The Gold/Silver ratio at a one-year high indicates that gold has outperformed silver relatively, but the low three-year percentile suggests that silver may exhibit greater elasticity relative to gold over the long term. The Copper/Gold ratio at a one-year extreme high implies that market expectations for economic growth are relatively pessimistic; as a representative industrial metal, copper has underperformed gold. The Oil/Gold ratio is also at a one-year high, reflecting the weakness of crude oil relative to gold.

For TS2612, these cross-asset ratios provide a macro backdrop reference. The elevated Copper/Gold ratio may imply expectations of economic slowdown, which could influence interest rate trajectories and potentially offer underlying support for Treasury bond futures. However, current Treasury bond futures prices remain primarily driven by short-term technicals and fund flows, with cross-asset ratios serving more as long-term reference points. Regarding international and domestic market linkages, as a Chinese domestic instrument, TS2612 is primarily driven by China's interest rate environment, with relatively limited correlation to international Treasury bond futures; however, the impact of the US dollar and interest rate changes on global capital flows warrants attention.

VI. Historical Statistics & Seasonality

Based on the full 2026 sample and data from the same period over the past five years, the historical seasonal performance of TS2612 in early October shows that this period typically falls within a liquidity tight-balance phase at the end of Q4, with marginal convergence in funding conditions creating seasonal disturbances to the short end of the curve. Statistics indicate that during the period from October 8 to October 14 over the past five years, the TS2612 contract has seen a decline win rate of approximately 58.3% in the first week of October, with a median decline of 0.04% and a median maximum drawdown of 0.08%. Specifically for 2026, the historical same-period performance for the week of October 8 resonates with the current technical picture, with prices near the 20-day channel lower bound of 102.56; if the prior low of 102.55 is broken, historical statistics indicate that the probability of probing the 102.40-102.45 range over the subsequent 3-5 trading days rises significantly to 65%. Seasonal factors suggest that around the release of CPI and PPI data in mid-October, the market often reprices inflation expectations, with short-end Treasury bond futures tending to trade weaker ahead of the data release, and accelerating downward if data exceeds expectations. The current price of 102.56 is already near the historical same-period seasonal support level; if effectively broken, seasonal bearish momentum will be reinforced, with targets pointing toward the 102.40 level.

VII. Scenario Analysis

Base Case (60% probability): Price maintains a bearish trend, with the core logic being technical breakdown and seasonal bearish resonance. The trigger condition is a daily close effectively below 102.55 (daily pivot S1), or an intraday break below 102.55 that fails to recover by the close. Target prices are set at 102.51 (first target) and 102.45 (second target); if 102.55 is lost, prices will test the 20-day channel lower bound support and subsequently probe toward 102.40. The trading strategy is to sell on rallies; if 102.55 breaks and a retest confirms the breakdown, short positions may be maintained with a stop-loss set above 102.60.

Bullish Case (20% probability): Price experiences a technical rebound, with the core logic being short covering and data expectation revision. The trigger condition is a daily close holding above 102.62 (20-day high), or a break above 102.62 accompanied by a significant increase in open interest. Target prices are 102.65 (short-term resistance) and 102.70 (above the 20-day high). The strategy is to wait and see; if 102.62 holds, consider a light long position with a stop-loss below 102.58.

Bearish Case (20% probability): Price accelerates downward, with the core logic being inflation data exceeding expectations and liquidity tightening. The trigger condition is CPI/PPI data significantly beating expectations on October 14, or a daily close below 102.45. Target prices are 102.40 (strong support) and 102.35 (next support). The strategy is to initiate short positions following a break below 102.45, with a stop-loss set above 102.50.

VIII. Trading Strategies & Risk Management

Per the established strategy, the short entry price is 102.57, stop-loss at 102.60, and target at 102.51, with a holding period of 1–5 days and a risk-reward ratio of 1:2.0. A second strategy sets the short entry at 102.56, stop-loss at 102.59, target at 102.50, with a holding period of 1–2 weeks and a risk-reward ratio of 1:2.0. The stop-loss distance is 0.03 in both cases, equal to 1× ATR (ATR14 = 0.03). With a contract multiplier of 20,000, the risk per lot is 690 CNY (including commissions and slippage). The single-trade risk budget of 6,693 CNY corresponds to a maximum position size of 9 lots. Stop-loss levels are set at 102.60 or 102.59 because these levels coincide with the 20-day high; a break above invalidates the bearish thesis and requires immediate exit. Position sizing adheres to the single-trade risk budget cap to ensure controllable risk per trade. Add-to-position rules: if price declines to 102.51 or 102.50, consider adding to the position, but total exposure must not exceed 9 lots. If price rebounds to 102.60 or 102.59, close the position immediately.

IX. This Week's Data Calendar

This data will directly influence market expectations regarding inflation and the monetary policy trajectory. A stronger-than-expected print could trigger upward pressure on interest rates, which would be bearish for Treasury futures.

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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