📅 2026-10-09 · CSI 300 Futures · Single-name brief Legacy coverage

This report is provided by MacroTerms.com

Data as of: 2026-10-08 · Settlement: Exchange settlement (15:00 Beijing close, vs prior settlement)

CSI 300 Index Futures (CFFEX.IF) In-Depth Analysis Report | Bearish Bias | 2026-10-09

Based on the settlement data for 2026-10-08, the current direction of CSI 300 Index Futures (CFFEX.IF) is clearly bearish. The core logic is that the price has decisively broken below the lower boundary of the 20-day channel at 4218.6, while the 5-day decline has expanded to -4.79%, indicating strong short-term bearish momentum. Technically, the price is below pivot P 4266.07 and near the key support level S1 4200.53; a breach would open up further downside. The condition that would invalidate the directional view is for the price to regain a firm foothold above 4313.53 (R1); otherwise, the downside target is around 4150.

I. Bottom Line & Directional Bias

The current directional bias for the CSI 300 Index (CFFEX.IF) is bearish. The core rationale is based on three points. First, the price structure has broken down: the October 8 settlement price of 4248 points is approaching the lower bound of the 20-day channel at 4218.6, while the 5-day decline has reached -4.79%, indicating that a short-term bearish trend is in place. Second, technical resistance is clearly defined: the price is trading below the pivot P at 4266.07 and is only one step away from the first support level S1 at 4200.53; a break below this level would trigger technical selling. Finally, cross-asset relative value indicates a deterioration in risk appetite, with the copper/gold ratio and oil/gold ratio at historically high levels, suggesting subdued macro expectations. The invalidation condition for the directional view is a renewed move above 4313.53 (R1); otherwise, the downside target is around 4150.

II. Price Action & Technicals

As of the October 8, 2026 settlement, the CSI 300 Index (CFFEX.IF) stood at 4248 points, down 1.23% from the previous settlement. From a trend perspective, the 5-day decline was -4.79% and the 20-day decline was -6.27%, indicating that the short-term correction is significantly larger than the medium-term move and that market sentiment is cooling rapidly. The current price is at the 7.8% percentile of the 20-day channel (4218.6–4594), close to the lower bound but not yet fully below it, warranting attention to the effectiveness of support at the lower bound. In terms of volatility, ATR14 was 73.24 points (approximately 1.72%), indicating a large intraday trading range, while RV20 was 16.9%, showing that recent market volatility has risen and trading risk has increased.

The pivot system shows that the daily pivot P was 4266.07, the first resistance level R1 was 4313.53, and the first support level S1 was 4200.53. The current price of 4248 points is between P and S1 and is closer to S1. As the distance from the price to S1 is less than half an ATR (73.24/2=36.62)—specifically, 4248-4200.53=47.47 points, slightly more than half an ATR—but given the widening 5-day decline, S1 support is being tested. If the price breaks below S1, the next support level will be the lower bound of the 20-day channel at 4218.6. On a weekly basis, the previous closed weekly candlestick (2026-09-28 to 2026-09-30) closed at 4300.8 points, with a weekly decline of -1.7%. This week (starting October 8) has not yet closed and is currently at 4248 points; the weekly trend remains corrective, with no reversal signal. For the night session, the current data is an intraday snapshot. Attention should be paid to whether the night session extends the daytime decline; continued weakness overnight would confirm bearish momentum.

III. Supply-Demand Balance & Fundamental Drivers

From a fundamental drivers perspective, as an equity asset, the CSI 300 Index reflects the contest between fund flows and macro expectations more than a conventional supply-demand balance. The current macro environment is pressuring equity assets, primarily through tighter liquidity expectations and downward revisions to earnings expectations. The copper/gold ratio (1.58) is at a high 1-year percentile of 96.83%, while the oil/gold ratio (0.022) is at a high 1-year percentile of 92.06%. This indicates that industrial metals and energy are trading at an extremely high premium relative to gold, which typically signals rising recession expectations or the dominance of risk aversion, weighing on equities.

In addition, the US Dollar Index (DXY) was 102.12. Although it edged down 0.12%, it remains broadly in a high range, creating a liquidity-draining effect on emerging-market assets. The US 10-year Treasury yield (^TNX) was 5.23%. Although it declined 0.87%, its absolute level remains historically high, and the high-rate environment is suppressing the valuation center of gravity for equity assets. In terms of market positioning, there is currently no clear signal of incremental funds entering the market, while existing positions face considerable pressure to take profits at elevated levels. In terms of basis, although there is no direct data, a sustained discount of futures prices to spot would reflect bearish expectations for the future trajectory. Overall, fundamental drivers are skewed negative, with macro liquidity and risk appetite jointly constraining the index and creating substantial upside resistance.

IV. Positioning & Fund Flows

In terms of positioning, open interest in the main contract was 173867 lots, up 6875 lots from the previous day. An increase in open interest against a falling price typically indicates active short-position building rather than simple long liquidation. This “open interest build on a decline” pattern further reinforces the bearish view, indicating that institutional funds are increasing short exposure at current levels in anticipation of further downside.

Comparing implied and realized volatility, VIX was 15.41, GVZ was 22.68, and OVX was 48.4. As a US equity volatility index, VIX is trading at a low level (15.41), creating a degree of divergence with the realized volatility of the A-share market (RV20 16.9%). However, given the interconnectedness of global markets, the low VIX may indicate that risks have not yet been fully priced in. At the same time, the A-share market’s own volatility (RV20) is already relatively high, highlighting fragile sentiment. The increase in open interest together with higher volatility points to widening market disagreement, although bearish momentum is stronger. Going forward, attention should be paid to changes in open interest. If open interest begins to decline while prices continue falling, the market could transition to short covering; at the current stage, however, the dominant pattern remains an open interest build on a decline.

V. Cross-Asset & Onshore-Offshore Value

In terms of cross-asset relative value, the gold/silver ratio (Gold/Silver) was 69.95, at a high 1-year percentile of 80.16% and a 3-year percentile of 26.72%. A high gold/silver ratio typically indicates strong risk aversion, with gold outperforming silver, which is often associated with rising macroeconomic uncertainty and puts pressure on equities. The copper/gold ratio (Copper/Gold) was 1.58, at a high 1-year percentile of 96.83%, indicating an extremely high premium for industrial metals relative to gold and suggesting weak expectations for economic activity. The oil/gold ratio (Oil/Gold) was 0.022, at a high 1-year percentile of 92.06%, likewise reflecting a premium for energy relative to gold and further confirming pessimistic macro expectations.

In terms of relative value between international and Chinese markets, the US Dollar Index (DXY) was 102.12. Although it edged lower, it remains broadly elevated and is weighing on emerging-market assets. The US 10-year Treasury yield (^TNX) was 5.23%, with the high-rate environment suppressing valuations across global risk assets. In cross-asset relative value, the high-percentile readings for both the copper/gold ratio and the oil/gold ratio point to declining risk appetite, which is directly negative for the CSI 300 Index. Overall, cross-asset relative-value indicators are consistently pointing to weaker risk appetite and are pressuring the index.

VI. Historical Statistics & Seasonality

Based on historical statistics for the 20 trading days following the same date over the past 9 years, the CSI 300 Index has displayed seasonal characteristics in mid-October. The data show an average gain of +1.33% and a median gain of +1.44% during this period. Across the 9 sample years, 5 years recorded gains and 4 years recorded declines, implying a win rate of approximately 55.6%. In terms of extremes, the best year was 2020, when the gain over the corresponding period reached +4.71%; the worst year was 2021, when the decline over the corresponding period was -1.76%. Although historical seasonality suggests an upward bias during this period, the market is currently in October 2026 and the price structure has changed significantly. The current price of 4248 points is down 1.23% from the previous settlement, while the 5-day decline is -4.79% and the 20-day decline is -6.27%, indicating that a short-term bearish trend has been established. This diverges from the mean-reversion logic implied by the seasonal statistics. Seasonal data should be treated only as background reference and cannot offset the current bearish technical and fundamental drivers. Before the price effectively stabilizes above 4313.53 (R1), the statistical significance of the seasonal upside probability will be overridden by actual market performance. Investors should focus more on the effectiveness of support relative to the lower bound of the 20-day channel at 4218.6 than rely solely on historical seasonal patterns.

VII. Scenario Analysis

Based on the current price structure, positioning changes, and cross-asset relative value, we construct the following three scenarios. The base-case probability is 60%, with a bearish directional bias. The trigger is continued trading below the pivot P at 4266.07, without a recovery above 4313.53 (R1). Under this scenario, the price will move lower, with the target at the lower bound of the 20-day channel at 4218.6; if that level fails, the next target is around 4150. The corresponding strategy is to sell into rallies, with a stop-loss above 4313.53 and targets of 4218.6 or 4150. The bullish scenario has a probability of 20%, with the trigger being an effective move above 4313.53 (R1), accompanied by a significant reduction in open interest or a marked decline in cross-asset relative-value indicators such as the copper/gold ratio. Under this scenario, the price is expected to rebound to the pivot P at 4266.07 and potentially move higher toward 4366.8 (the previous high). The corresponding strategy is to cautiously initiate small long positions, with a stop-loss below 4313.53 and targets of 4266.07 or 4366.8. The bearish scenario has a probability of 20%, with the trigger being a break below S1 at 4200.53 accompanied by a continued increase in open interest in the main contract, indicating accelerating bearish momentum. Under this scenario, the price will accelerate lower, with a target of 4150 or below. The corresponding strategy is to add to short positions, with a stop-loss above 4200.53 and a target of 4150. The probabilities of the three scenarios sum to 100%. The directional bias in the base case is consistent with the first half of the report and remains bearish. Investors should closely monitor whether the price can find support near 4200.53, as well as changes in open interest, in order to dynamically adjust scenario probabilities and trading strategies.

Eight. Trading Strategies & Risk Management

Given that the market has yet to establish a compliant, finalized strategy, this section only sets out the conditions for staying on the sidelines and the trigger levels for re-entry. The current price of 4248 is below the pivot P at 4266.07 and relatively close to the first support level, S1 at 4200.53, with the market in an unclear, range-bound downtrend. The conditions for staying on the sidelines are: the price has not firmly held above 4313.53 (R1) and has not broken below S1 at 4200.53. Within this range, the market may continue to trade sideways, lacking a clear one-way trend. Investors should remain on the sidelines and avoid indiscriminate trading. The trigger levels for re-entry are as follows: if the price decisively breaks below S1 at 4200.53, accompanied by an open interest build in the main contract, traders may consider re-entering short, with a target of 4150; if the price decisively holds above 4313.53 (R1), accompanied by a clear improvement in cross-asset relative value, traders may consider re-entering long, with a target of 4266.07. For stop-loss placement, the stop-loss for short positions should be set above 4313.53, while the stop-loss for long positions should be set below 4200.53 to ensure risk remains controllable. In terms of position sizing, the initial position is recommended not to exceed 10% of total capital, with dynamic adjustments based on market volatility (ATR14 73.24). If price volatility intensifies, position sizes should be reduced appropriately to avoid excessive exposure. Overall, the strategy is centered on risk control, with trading to resume only after a clear signal emerges.

Nine. This Week's Data Calendar

In addition, the data release on October 14 at 09:30 (October 13 at 21:30 Eastern Time) may trigger market volatility. Investors should closely monitor the deviation between the actual and expected data, as well as its impact on risk appetite. There are no other major data events scheduled for the remaining dates, and the market will be driven primarily by 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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