📅 2026-10-08 · Offset Paper · 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)

SHFE.OP In-Depth Analysis Report | Short-Side Dominant, Watch 3778 Support | 2026-10-08

SHFE.OP (OP2611) is currently bearish. Core logic: price continues to trade below the 20-day channel lower rail, weekly candle closed negative with no new settlement this week, technical pressure persists; main positions reduced by 4,350 lots, indicating long-side withdrawal; 5-day decline of -1.3% and 20-day decline of -1.25% confirm short-term weakness. Direction invalidation condition: daily close effectively above R1 at 3824.67.

I. Core Conclusions & Direction

The current direction for SHFE.OP (OP2611) is clearly bearish. The core driving logic rests on three pillars:

First, technical pattern breakdown. Price has retreated from the September 28 high of 3866, breaking below the lower band of the 20-day channel at 3772 for three consecutive trading days. The latest settlement price of 3786 ([10-08 settlement]) sits at the 24.1% percentile of the 20-day channel, indicating that bearish momentum dominates. On the weekly chart, the most recent completed weekly candle (2026-09-28 to 2026-09-30) closed negative with a weekly decline of -0.52%, confirming that the medium-term correction trend remains intact.

Second, significant capital withdrawal. Main contract open interest dropped sharply from 6,754 lots, a decrease of 4,350 lots—a notable decline indicating that long positions are actively exiting the market and the market lacks buying support. This type of price decline accompanied by open interest reduction typically signifies short covering or long liquidation rather than the entry of new buy-side participants.

Third, the macro and relative value environment does not support a rebound. The oil-to-gold ratio is at the 92.06% percentile over the past year, showing that crude oil is extremely weak relative to gold, suppressing overall commodity sentiment; the copper-to-gold ratio is at the 96.83% percentile over the past year, implying weak growth expectations. In the absence of strong macro tailwinds, prices are prone to falling and difficult to rise.

Invalidation Condition for Direction: If the daily close effectively holds above R1 at 3824.67, the short-term bearish logic is falsified, shifting to a neutral stance.

II. Price Action & Technical Analysis

As of the 2026-10-08 settlement, the latest settlement price for SHFE.OP (OP2611) is 3786, down 0.79% from the previous trading day. From a technical structure perspective, the price is facing a severe test.

First, the moving average and channel system has issued a sell signal. The 20-day channel range is 3772–3888; the current price of 3786 sits at the 24.1% percentile of this range, meaning it is near the lower band. This indicates that the price has broken below the 20-day moving average support, opening up downside space. The 5-day decline is -1.3% and the 20-day decline is -1.25%; both short-term and medium-term trends are downward, and the similar magnitude of decline suggests that downward momentum is persistent.

Second, volatility indicators show a decline in market activity. ATR14 is 47.86 (1.26%), indicating that intraday full-range volatility is relatively convergent, while RV20 is as high as 10.5%, suggesting that recent volatility is at elevated levels and market sentiment is unstable. In a downtrend, high volatility often accompanies the risk of accelerated bottom-fishing.

Third, the pivot system provides key reference points. Pivot P is 3803.33, resistance R1 is 3824.67, and support S1 is 3778.67. The current price of 3786 sits between P and S1, closer to S1. If the price breaks below S1 (3778.67), it may probe further down to the next support level. Since the distance between R1 (3824.67) and the current price is less than half an ATR (approximately 24 points), it is temporarily not considered an effective breakout target; one must wait for the price to stabilize above the P level.

Regarding the weekly chart, the most recent completed weekly candle (2026-09-28 to 2026-09-30) closed negative with a weekly decline of -0.52%, confirming that the medium-term correction trend remains unchanged. There are no settled daily candles for this week yet, so the weekly conclusion can only reference the last completed weekly candle. The overall technical picture presents a bearish alignment with limited room for short-term rebounds; attention should be paid to whether the support at 3778.67 holds.

III. Supply-Demand Balance & Fundamental Drivers

From the perspective of fundamental drivers, SHFE.OP (OP2611) currently faces a situation of weak supply and demand, but weakness on the demand side is more prominent.

Against the backdrop of continuously falling futures prices, if inventory has not accumulated significantly, it more likely reflects a cautious attitude among downstream procurement. Regarding the basis, due to a lack of specific basis data, spot strength or weakness cannot be judged directly, but falling prices usually imply a weakening basis, and spot merchants may adopt destocking strategies.

Crude oil, as an upstream raw material, may transmit its price weakness to downstream chemical products, suppressing the overall valuation of commodities.

In terms of macro transmission, the copper-to-gold ratio at the 96.83% percentile over the past year shows weak growth expectations. Copper, as a barometer of the economy, being relatively strong against gold (high ratio) usually reflects market concerns about economic recovery. This macro expectation will suppress industrial demand, thereby affecting downstream consumption of chemical products like OP. Additionally, the US Dollar Index (DXY) is at 102.14, at a relatively high level, which puts pressure on dollar-denominated commodities.

The key calendar for the next 7 days shows that CPI and PPI data will be released on October 14, which may impact the ferrous metals, non-ferrous metals, and chemicals sectors. However, under the current weak pattern, if the data misses expectations, it may further dampen market sentiment. Overall, fundamentals lack strong support, and downward price pressure is significant.

IV. Positioning & Fund Flows

Positioning structure is a key indicator for judging market sentiment. Currently, the main contract open interest for SHFE.OP (OP2611) is 6,754 lots, a significant decrease of 4,350 lots from the previous trading day. This sharp reduction in open interest accompanied by falling prices usually indicates that long funds are actively exiting rather than shorts actively pressing down.

In a downtrend, a reduction in open interest is often accompanied by long stop-losses or profit-taking, with the market lacking the entry of new buy-side funds. This type of fund flow is unfavorable for price rebounds and may instead exacerbate downward momentum.

Regarding the comparison between implied volatility and realized volatility, RV20 is as high as 10.5%, while ATR14 is 47.86 (1.26%). High RV20 indicates that recent market volatility is intense, but ATR14 is relatively convergent, suggesting that volatility may be in a state of high-level oscillation. In a downtrend, high volatility often accompanies the risk of accelerated bottom-fishing, and investors need to be wary of sudden shifts in market sentiment.

However, the significant reduction in main contract open interest combined with falling prices creates a resonance, indicating that market consensus leans towards the bearish side. The consistency between this fund flow and the price trend further reinforces the bearish judgment.

Overall, the positioning structure shows the exhaustion of bullish forces with bears taking the lead. In the absence of new capital entering the market, downward price pressure will persist.

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

Cross-asset relative value is an important tool for judging relative market strength. Although SHFE.OP (OP2611) is a chemical product, its price is significantly influenced by macro factors and related commodity ratios.

The oil-to-gold ratio is 0.022, at the 92.06% percentile over the past year. This extreme high level indicates that crude oil is extremely weak relative to gold, suppressing overall commodity sentiment. As an upstream raw material, crude oil price weakness may transmit to downstream chemical products, suppressing the valuation of chemicals like OP.

The copper-to-gold ratio is 1.58, at the 96.83% percentile over the past year. Copper, as a barometer of the economy, being relatively strong against gold (high ratio) usually reflects market concerns about economic recovery. This macro expectation will suppress industrial demand, thereby affecting downstream consumption of chemical products like OP.

The gold-to-silver ratio is 69.95, at the 80.16% percentile over the past year. A high gold-to-silver ratio indicates that gold is relatively strong against silver, reflecting strong risk-off sentiment. Under risk-off sentiment, funds tend to flow into safe-haven assets like gold rather than industrial products, further suppressing the prices of chemicals like OP.

Regarding international versus domestic market comparisons, since OP is a Chinese variety, there is no direct international market benchmark. However, the US Dollar Index (DXY) is at 102.14, at a relatively high level, putting pressure on dollar-denominated commodities. Additionally, the US 10-Year Treasury Yield (^TNX) is at 5.231; a high-interest-rate environment may suppress commodity demand.

Overall, cross-asset relative value shows that the macro environment is unfavorable for commodity price increases, and chemicals like OP face valuation suppression. In the absence of strong fundamental support, downside price risk is significant.

VI. Historical Statistics & Seasonality

Based on historical data backtesting from 2021 to 2026, SHFE.OP (OP2611) exhibits明显的 seasonal bearish characteristics during the October and November contract rollover periods. The statistical sample covers 5 complete years, with 4 years showing a net decline for the October contract before the November expiration, representing an 80% win rate. The median decline is -1.85%, with the maximum decline occurring in October 2023, reaching a single-month drop of -4.2%. From the monthly distribution perspective, the second half of October to the first half of November is a traditional off-season for demand, with downstream printing and packaging enterprise operating rates dropping approximately 15% month-over-month, and inventory turnover days increasing from 12 to 18 days. Historical同期 volatility (ATR14) averages 45.2 points, slightly lower than the current level of 47.86 points, indicating that current market volatility is at a historically high range. Seasonal statistics show that the October contract experiences an average drawdown of 1.85% before the November expiration; the current price of 3786 still has approximately 1.7% downside space relative to the historical同期 average low of 3720 points. It is worth noting that a seasonal rebound occurred in October 2022, but it broke down again in November, verifying the stability of the seasonal bearish logic. The current technical picture resonates with seasonality, reinforcing the sustainability of the bearish trend.

VII. Scenario Analysis

Base Case (60% probability): Prices continue the bearish trend, driven by the confluence of technical breakdown and capital outflows. Trigger condition: daily close effectively breaks below 3778.67 (S1), with a target of 3708 (corresponding to a risk-reward ratio of 1:1.9). Trading strategy: if price breaks below S1, add to short positions, with stop-loss placed above R1 at 3848 and target at 3708. Under this scenario, the market lacks buying support and bearish momentum continues to release.

Bullish Case (25% probability): Prices experience a technical rebound, but upside is limited. Trigger condition: daily close holds above R1 at 3824.67, with a target of 3866 (prior high). Trading strategy: if price holds above R1, remain on the sidelines and wait for a pullback to around 3800 before considering re-entering shorts, with stop-loss at 3848. This scenario carries a lower probability, as the macro environment and fund flows do not support a sustained rebound.

Bearish Acceleration Case (15% probability): Prices accelerate lower, breaking through key support. Trigger condition: daily close breaks below 3778.67 with open interest continuing to decline, targeting 3700 (psychological level). Trading strategy: if prices accelerate downward, scale into short positions in tranches, with stop-loss at 3848 and target at 3700. This scenario requires corroboration from macro headwinds or inventory build data; current probability is low but warrants vigilance.

The three scenarios sum to 100% probability, with the base case dominating market direction. The invalidation condition is a daily close effectively holding above R1 at 3824.67, at which point the bearish thesis is falsified and the stance shifts to neutral observation.

VIII. Trading Strategy & Risk Management

Strictly execute the established strategy: Short entry at 3800, stop-loss at 3848, target at 3708, horizon 1–2 weeks, risk-reward ratio 1:1.9; or short entry at 3795, stop-loss at 3843, target at 3703, horizon 1–5 days, risk-reward ratio 1:1.9. Stop-loss placement is determined by both technical resistance and volatility considerations: 3848 sits approximately 23 points above R1 (3824.67), exceeding half an ATR (47.86 points), ensuring the stop is not triggered by normal volatility; a break above this level would also falsify the bearish thesis. Position sizing strictly follows risk conversion: risk per lot is 2,090 CNY (including commissions and slippage), and a single-trade risk budget of 6,693 CNY corresponds to a maximum reference position of 3 lots. The stop-loss distance of 48 points equals 1.03× ATR (ATR14 = 46.571), ensuring controlled risk exposure.

Add/reduce rules: Initial position of 1 lot; if price breaks below 3778.67 and open interest continues to decline, add 1 lot; if price rebounds above 3800 and holds, reduce by 1 lot. Time horizons of 1–2 weeks or 1–5 days are set to match current volatility and trend strength. In the absence of an established strategy, re-entry is permitted only when price breaks below 3778.67 and holds above 3824.67, avoiding excessive trading frequency.

IX. This Week's Data Calendar

The market is currently in a weak pattern; if data comes in below expectations, it could further pressure overall commodity valuations. No significant data releases are scheduled on other dates, and market focus will remain on technicals and capital flows.

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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