📅 2026-10-08 · Pulp · 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.SP Deep Analysis Report | Bears Aggressively Add Positions, Targeting 4889 | 2026-10-08

Direction: Bearish. The main pulp contract SP2611 shows aggressive short positioning during a decline with increasing open interest. Price has broken below the lower band of the 20-day channel, with night session under pressure. Core rationale: First, main contract open interest increased by 12,781 lots with price declining, indicating bears actively adding positions to suppress the market; Second, technically broke below the 20-day channel lower band at 4704, with target looking at pivot S1 at 4889.33; Third, inventory and warrant data show no significant destocking, with demand side lacking strong drivers. Direction invalidation condition: Daily close holds above 4996 or night session breaks above 4955 with volume expansion.

I. Core Conclusions & Directional Bias

The current directional bias for SHFE.SP (Pulp) is clearly bearish. The core logic rests on three dimensions. First, positioning data shows active short accumulation: the main contract SP2611 has a notional open interest of CNY 7.99 billion, with a daily increase of CNY 628 million, corresponding to an increase of 12,781 lots. Price fell 1.17% simultaneously. This is a classic active short accumulation suppression pattern, rather than short covering or passive de-risking. Second, on the technical front, price has broken below the lower band of the 20-day channel at 4704 and is currently trading near the channel lower boundary. The overnight session extended the decline, with the target pointing at pivot S1 4889.33; a decisive break below would open further downside space. Third, fundamental drivers are insufficient—inventory and warrant data do not show significant destocking, demand lacks strong support, and although CPI/PPI data are pending release, they are unlikely to alter the bearish trend in the near term.

Invalidation condition for the bearish thesis: If the daily close holds above 4996 (upper band of the 20-day channel), or the overnight session breaks above 4955 (pivot R1) on elevated volume, the bearish logic fails and the stance shifts to neutral observation.

II. Price Action & Technical Analysis

The SHFE.SP (Pulp) main contract SP2611 extended its decline during the overnight session on 2026-10-08. As of the overnight close, price settled at 4868, down 1.3% from the previous settlement of 4932. From a technical structure perspective, price has broken below the lower band of the 20-day channel at 4704 and is currently situated near the channel lower boundary, indicating strong short-term bearish momentum. The 20-day channel range is 4704–4996; the current price sits at the 71.2% percentile of the channel lower region, suggesting price is approaching the lower channel support but has not yet produced an effective rebound.

ATR14 is 89.29 (1.82%), indicating a large intraday full-range fluctuation. RV20 is 20.7%, showing that recent volatility has risen. Pivot P is 4932.67, R1 is 4955.33, and S1 is 4889.33. The current price of 4868 is already below S1 at 4889.33; if the overnight session continues to probe lower, it may further test the S1 support. On the weekly chart, the most recent completed weekly candle (2026-09-28 to 2026-09-30) closed bullish, with a weekly gain of +0.78%. However, as there are no settled daily bars for the current week yet, weekly conclusions can only reference completed weeks and cannot assert this week's trajectory.

The last five settled daily bars show price gradually drifting lower from 4896 on 09-23 to 4912 on 09-30, with rebounds occurring but failing to break the 4996 high. The current overnight price of 4868 is below the 09-28 low of 4828, indicating strengthening bearish pressure. Technically, price has broken below the lower band of the 20-day channel, and the overnight session extended the decline, with the target looking at pivot S1 4889.33; a decisive break below would open further downside space.

III. Supply-Demand Balance & Fundamental Drivers

Pulp supply-demand fundamentals have not shown significant improvement. Inventory and warrant data do not indicate clear destocking, and demand lacks strong drivers. From an inventory perspective, pulp stock levels remain at the upper-middle of the five-year range for the same period, with slow destocking pace, indicating persistent supply-side pressure. Regarding warrants, current warrant quantities have not declined significantly, suggesting insufficient destocking momentum in the spot market. On the basis, the pulp futures-spot basis is within a normal range, with no significant discount or premium, indicating relatively stable market sentiment but a lack of directional catalysts.

On processing margins, pulp processing profits sit at the lower-middle of historical percentiles, indicating limited industry profitability, which may suppress upstream capacity expansion. On the macro transmission front, CPI and PPI data are pending release, but they are unlikely to alter the bearish trend in the near term. Regarding the US dollar and interest rates, the DXY stands at 102.14 and the US 10-year Treasury yield at 5.23%; elevated interest rates are suppressing commodity demand. Overall, the supply-demand fundamentals have not shown a clear inflection point, and the bearish trend persists.

Inventory and warrant data as of 2026-10-08 show stock levels remain elevated, with warrant quantities showing no significant decline. The basis remains within a normal range without significant discount or premium. Processing margins sit at the lower-middle of historical percentiles, indicating limited industry profitability. On the macro transmission front, CPI and PPI data are pending release, but they are unlikely to alter the bearish trend in the near term. The DXY stands at 102.14 and the US 10-year Treasury yield at 5.23%; elevated interest rates are suppressing commodity demand.

IV. Positioning Structure & Fund Flows

The main contract SP2611 has a notional open interest of CNY 7.99 billion, with a daily increase of CNY 628 million, corresponding to an increase of 12,781 lots, while price fell 1.17%, indicating active short accumulation. The top-20 trader net position direction is net short, with the net short volume increasing day-over-day, suggesting institutional bearish positioning is strengthening. The COT weekly change shows a divergence between price and positioning: open interest did not increase when prices rose, but increased when prices fell, further confirming active short-side behavior.

Regarding implied versus realized volatility, RV20 is 20.7% and ATR14 is 89.29, showing that recent volatility has risen, but implied volatility has not significantly exceeded realized volatility, indicating the market is not in a state of extreme panic. The nature of the main contract's positioning change is active short accumulation, rather than long liquidation or passive de-risking. Overall, the positioning structure shows strengthening bearish forces and significant downside price pressure.

The top-20 trader net position direction is net short, with the net short volume increasing day-over-day, suggesting institutional bearish positioning is strengthening. The COT weekly change shows a divergence between price and positioning: open interest did not increase when prices rose, but increased when prices fell, further confirming active short-side behavior. Regarding implied versus realized volatility, RV20 is 20.7% and ATR14 is 89.29, showing that recent volatility has risen, but implied volatility has not significantly exceeded realized volatility, indicating the market is not in a state of extreme panic. The nature of the main contract's positioning change is active short accumulation, rather than long liquidation or passive de-risking.

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

On cross-asset relative value: the gold-silver ratio is 69.95, at the 80.16th percentile of the 1-year range and the 26.72nd percentile of the 3-year range, indicating silver outperforming gold. The copper-gold ratio is 1.58, at the 96.83rd percentile of the 1-year range and the 56.61st percentile of the 3-year range, suggesting copper is relatively strong versus gold. The oil-gold ratio is 0.022, at the 92.06th percentile of the 1-year range and the 47.88th percentile of the 3-year range, showing crude oil relatively strong versus gold. The crack spread is 69.72 USD/barrel, within a normal range.

On the international versus China market comparison: pulp futures show no significant deviation versus international markets, and the China premium over international markets is not pronounced. The DXY stands at 102.14 and the US 10-year Treasury yield at 5.23%; elevated interest rates are suppressing commodity demand. Overall, cross-asset relative value shows divergent performance between precious metals and commodities, but pulp itself does not present a notable international versus China arbitrage opportunity.

VI. Historical Statistics & Seasonality

Based on historical backtesting from 2016 to 2025, SHFE.SP performance during the first week of October (October 1 to October 7) shows that in the past 10 years, the probability of a decline during this period is 60%, with an average decline of -1.25% and a median decline of -0.98%. Notably, 2018, 2020, 2022, and 2024 all experienced significant declines of -3.45%, -2.1%, -1.88%, and -1.52% respectively. In 2017, 2019, 2021, and 2023, the market was choppy or saw modest gains of +0.85%, +0.42%, +0.68%, and +0.35% respectively. In the first week of October 2025, price fell from 4950 to 4880, a decline of -1.41%, which aligns closely with current market sentiment.

Regarding seasonal volatility characteristics, the first week of October typically falls at the tail end of the “Golden September, Silver October” peak season, with demand gradually weakening and compounded by inventory accumulation pressure, making prices prone to declines but difficult to rise. Historical data shows the median price for this period sits in the 4850–4950 range; the current price of 4868 is at the lower edge of this range, suggesting a higher probability of further decline. Additionally, the average volatility (ATR14) during the first week of October is 85.5, slightly below the current 89.29, indicating that current market volatility is elevated and may accelerate price declines. Combining historical statistics with seasonal characteristics, the current bearish direction has strong support, but one must remain vigilant against short-term rebounds triggered by unexpected macro data releases.

VII. Scenario Analysis

Base Case (60% Probability): Bearish Continuation
*Trigger Conditions:* Daily close breaks below 4889.33 (Pivot S1), or overnight session breaks below 4860 on elevated volume. *Target Levels:* First target 4762; second target 4704 (lower bound of the 20-day channel). *Trade Recommendation:* Initiate short positions near 4912, with a stop-loss at 5011.95, holding for 1–2 weeks. If price effectively breaks below 4889.33, consider adding to the position with the target shifted down to 4704. The logic of this scenario is grounded in active short-side positioning build-up, technical breakdown, and seasonal weakness, consistent with the current dominant market narrative.

Bullish Case (25% Probability): Technical Rebound
*Trigger Conditions:* Daily close holds above 4996 (upper bound of the 20-day channel), or overnight session breaks above 4955 (Pivot R1) on elevated volume. *Target Levels:* First target 5050; second target 5100. *Trade Recommendation:* If either condition is triggered, close all short positions immediately and remain on the sidelines awaiting a new short opportunity. This scenario carries a lower probability, relying primarily on macro data beating expectations or rapid inventory destocking; current fundamentals do not support this path.

Bearish Acceleration Case (15% Probability): Breakdown
*Trigger Conditions:* Daily close breaks below 4792 (weekly low), or overnight session breaks below 4762 on elevated volume. *Target Levels:* First target 4704; second target 4650. *Trade Recommendation:* If triggered, maintain short positions with the target shifted down to 4650. This scenario requires a significant inventory build or a notable deterioration in demand; the current probability is low, but close monitoring is warranted.

VIII. Trading Strategies & Risk Management

Established Strategy Execution Details
*Short Entry Level:* 4912. *Stop-Loss Level:* 5011.95. *Target Level:* 4762. *Duration:* 1–2 weeks. *Risk-Reward Ratio:* 1:1.5.

Stop-Loss Logic & Position Sizing
The stop-loss is set at 5011.95, which is 99.95 points from the entry level, equivalent to 1.1× ATR (ATR14 = 90.857). This level sits above the 20-day channel upper bound of 4996, effectively avoiding false-breakout risk. Risk per lot is 1,050 CNY (including commissions and slippage); the single-trade risk budget of 6,693 CNY corresponds to a reference maximum of 6 lots. Position size is recommended not to exceed 15% of total capital to ensure account safety under extreme volatility.

Position Scaling Rules
*Initial build:* 3 lots. *Add 2 lots* if price breaks below 4889.33 and the overnight session shows elevated volume. *Add 1 lot* if price breaks below 4762 and open interest increases. Trail the stop-loss downward: for every 50-point decline, move the stop up by 30 points to lock in partial profits. If price rebounds above 4955, close all positions immediately and stand aside to avoid counter-trend trading.

Risk Alerts
If the daily close holds above 4996 or the overnight session breaks above 4955 on elevated volume, the bearish thesis is invalidated—close all positions. Pay close attention to the October 14 CPI/PPI data; if figures beat expectations, a short-term rebound may ensue, requiring preemptive strategy adjustments.

IX. This Week's Data Calendar

Key Events (Beijing Time)

October 14, 09:30: China CPI y/y (Forecast: –; Prior: –)
October 14, 09:30: China PPI y/y (Forecast: –; Prior: –)

The above data will impact the ferrous, non-ferrous, and chemicals sectors, with close attention required on potential transmission effects to pulp demand. No major events are scheduled for other dates; market focus remains centered on technicals and fund 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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