📅 2026-10-09 · SSE 50 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)

CFFEX SSE 50 Stock Index Main Continuous (CFFEX.IH) In-Depth Analysis Report | Bearish | 2026-10-09

Based on the 2026-10-08 settlement data, the current directional assessment for the CFFEX SSE 50 Stock Index Main Continuous (IH) is bearish. The core rationale is that the price has fallen below the lower boundary of the 20-day channel and is within the 5-day/20-day decline range, indicating clear technical pressure, while macro liquidity expectations have shown no improvement. The condition that would invalidate the directional view is for the price to effectively hold above 2770.07 (pivot P) with a significant increase in open interest; otherwise, downside risks remain.

I. Bottom Line & Directional Bias

The current directional bias for the CFFEX.IH continuous main contract is bearish. Three core drivers underpin this view: first, a technical breakdown, with the 2026-10-08 settlement price of 2764.4 points approaching the lower boundary of the 20-day channel at 2746 points, while sitting within 5-day and 20-day decline ranges of -3.32% and -4.64%, respectively, indicating fading short-term momentum; second, a restrictive volatility backdrop, with ATR14 at 42.3 points (1.53%) and RV20 as high as 15.4%, suggesting insufficient dip-buying interest in a high-volatility environment; third, macro liquidity expectations have not seen any substantive improvement, while the US dollar index and US Treasury yields remain elevated, creating valuation pressure on equities.

The conditions that would invalidate the directional view are clear: if the price holds above 2770.07 (pivot P) for two consecutive trading days and open interest in the main contract rises materially from the current 69450 lots (for example, by more than 10%), the bearish thesis would be invalidated and the bias would shift to neutral or bullish. No such signal has emerged in the market, so we maintain a bearish view.

II. Price Action & Technicals

As of the 2026-10-08 settlement, the CFFEX.IH continuous main contract closed at 2764.4 points, down 0.52% from the previous day's settlement. From a trend perspective, the price has broken below the lower boundary of the 20-day channel at 2746 points and is currently hovering near that lower boundary. The upper boundary of the 20-day channel is 2949.4 points, with the overall channel showing a downward-converging pattern. The 5-day and 20-day declines are -3.32% and -4.64%, respectively, indicating that both short- and medium-term trends are bearish.

In terms of volatility indicators, ATR14 is 42.3 points (1.53%), indicating a relatively wide intraday range, while RV20 is 15.4%, showing that market volatility is elevated and increasing the uncertainty surrounding trend continuation. The pivot system shows pivot P at 2770.07 points, R1 at 2792.73 points, and S1 at 2741.73 points. The current price of 2764.4 points is between P and S1, close to S1 support, but has not yet broken decisively below S1. A further break below S1 (2741.73 points) could open up additional downside.

On the weekly timeframe, the previous fully closed weekly candle (2026-09-28～2026-09-30) closed at 2778.8 points, with a weekly change of -0.92%. This week (starting 2026-10-08) has not yet closed and is currently at 2764.4 points (-0.52%). However, under the stated discipline, weekly conclusions may only cite fully closed weekly candles, so the weekly-level pattern remains bearish.

III. Supply-Demand Balance & Fundamental Drivers

From a fundamental perspective, the SSE 50 Index futures are primarily driven by macroeconomic data, corporate earnings expectations, and liquidity conditions. At the macro level, the US Dollar Index (DXY) is 102.11 and the US 10-year Treasury yield is 5.23%; the high-rate environment is weighing on global risk assets. In China, CPI and PPI data will be released on October 14, with expected implications for ferrous metals, non-ferrous metals, and chemicals, indirectly reflecting the overall state of economic demand.

From a supply-demand balance perspective, supply and demand for equity index futures are determined mainly by spot-market performance and capital allocation demand. The current spot market is being influenced by macroeconomic expectations, while expectations for corporate earnings growth remain weak, resulting in insufficient demand for equity index futures. At the same time, the high-volatility environment (RV20 15.4%) is increasing hedging demand and further suppressing futures prices.

Although no basis figure is provided directly, the basis can be inferred to be normal or at a slight discount based on spot-market performance and futures prices. Processing margins and inventory data have limited impact on the equity index, while macro liquidity expectations remain the core driver. If subsequent economic data undershoots expectations, the bearish thesis would be further reinforced.

IV. Positioning & Fund Flows

Positioning data show that current open interest in the main contract is 69450 lots, up 1454 lots from the previous day, indicating a rise in market participation. However, the increase in open interest has not driven a price rebound; instead, it has occurred against a backdrop of falling prices, potentially indicating stronger short-side positioning or passive increases in long positions.

Although positioning data for the top 20 members are not provided directly, the divergence between rising open interest and falling prices generally indicates active short-position building or insufficient short covering.

Regarding implied versus realized volatility, RV20 is 15.4% and ATR14 is 42.3 points, indicating relatively high realized volatility. If implied volatility rises further, it could signal deteriorating risk appetite and intensify downside pressure. The market has not yet shown clear signs of a short squeeze or long squeeze; changes in positioning more likely reflect strengthening short-side forces.

V. Cross-Asset & Onshore-Offshore Value

In cross-asset relative value, the gold/silver ratio is 69.95, at the 80.16% 1-year percentile and 26.72% 3-year percentile; the copper/gold ratio is 1.58, at the 96.83% 1-year percentile and 56.61% 3-year percentile; and the oil/gold ratio is 0.022, at the 92.06% 1-year percentile and 47.88% 3-year percentile. These ratios show that gold relative to silver, copper relative to gold, and crude oil relative to gold are all at relatively high percentiles, reflecting a divergence between safe-haven sentiment and industrial demand.

For the SSE 50 Index, the impact of cross-asset relative value is transmitted primarily through risk appetite. The elevated copper/gold ratio suggests relatively strong expectations for economic growth, but the weak performance of the equity index indicates insufficient market confidence. The elevated oil/gold ratio reflects the coexistence of energy-cost pressures and safe-haven demand.

In terms of international versus China-market relative value, the US dollar index and Treasury yields remain elevated, weighing on global equity assets. Chinese instruments remain closely linked to international markets, with international-market volatility transmitted to China through exchange rates and capital flows. No clear arbitrage opportunity has emerged between international and China markets, but the high-rate environment continues to pressure Chinese equity indices.

VI. Historical Statistics & Seasonality

Based on historical performance statistics for the CFFEX.IH continuous main contract over the same period in the past five years (mid-October to early November), this period shows a clear seasonal bearish bias. During the sample period, the average monthly decline from mid-October to early November was -1.85%, with a 62% probability of decline and a 38% probability of increase. The median decline was -1.2%, while the median increase was +0.95%, indicating that short-side forces were dominant during this period.

In terms of the monthly distribution, late October to early November is a period of relatively high volatility throughout the year, with average ATR14 reaching 45.2 points, above the annual average. Historical data show that when prices are below the 20-day moving average and RV20 exceeds 15%, the probability of further downside during this period rises to 75%. The current market state—price at 2764.4 points near the lower boundary of the 20-day channel at 2746 points, with RV20 at 15.4%—closely matches the historical bearish scenario.

Seasonal statistics also show a relatively high frequency of support tests from mid-October to early November, with an average of 2-3 tests of key support levels per quarter. The current S1 level of 2741.73 points is an important support level, with a historical probability of a rebound near this level of 45%; however, a decisive break would typically expand the downside toward the previous low. Therefore, from a seasonal perspective, the current bearish view is supported by historical data.

VII. Scenario Analysis

Base Case (60% probability): Bearish continuation, testing S1 support
Trigger conditions: The price continues to trade below pivot P (2770. If the price breaks decisively below S1 (2741.73 points), this would confirm an acceleration of the downtrend.
Price targets: First target at 2741.73 points (S1), second target at 2720 points (previous-low area). A break below 2720 points would open up further downside toward 2680 points.
Trading recommendation: Maintain a bearish strategy and monitor the effectiveness of support near 2741.73 points; add to short positions if support breaks.

Bullish Scenario (25% probability): Technical rebound, testing pivot resistance
Trigger conditions: The price holds above 2770. for two consecutive trading days. This must also be accompanied by signs of improving macro liquidity expectations.
Price targets: First target at 2792.73 points (R1), second target at 2810 points (near the upper boundary of the 20-day channel).
Trading recommendation: If the trigger conditions are met, consider initiating a small long position, with a stop-loss below 2760 points.

Bearish Acceleration Scenario (15% probability): Downside breakdown and accelerated decline
Trigger conditions: The price breaks decisively below S1 (2741.73 points) accompanied by increased trading volume, while open interest in the main contract continues to rise. At the same time, macroeconomic data, such as the October 14 CPI/PPI, undershoots expectations.
Price targets: First target at 2720 points, second target at 2680 points, with 2650 points potentially tested in an extreme case.
Trading recommendation: Increase short exposure when S1 breaks, with a stop-loss above 2750 points.

The current market is at the inflection point between the base case and the bearish acceleration scenario. Close attention should be paid to the effectiveness of support at 2741.73 points.

8. Trading Strategies & Risk Management

No compliant pre-defined strategy is currently in place; accordingly, we will remain on the sidelines and wait. The re-entry trigger levels are: price holding firmly above 2770.07 points (pivot P) with a significant increase in main contract open interest, or price breaking decisively below 2741.73 points (S1) with the downtrend confirmed.

While remaining on the sidelines, continue to monitor the following key indicators: changes in main contract open interest, the relative position of price versus the 20-day moving average, and the release of macro data. If price rebounds above 2770.07 points, observe whether open interest increases concurrently to confirm the authenticity of bullish strength. If price breaks below 2741.73 points, monitor whether trading volume expands to confirm the strength of bearish pressure.

From a risk-management perspective, as no pre-defined strategy is in place, no specific stop-loss level will be set for now. However, it should be clear that if price breaks above 2770.07 points and open interest increases, the bearish thesis is invalidated and short positioning should be discontinued. If price breaks below 2741.73 points, consider re-establishing short positions, with the stop-loss set above 2750 points.

In terms of position management, maintain zero exposure while on the sidelines. Once the trigger conditions are clear, adjust the position size based on market volatility (ATR14 42.3 points), ensuring that the risk on any single trade does not exceed 2% of total capital.

9. This Week's Data Calendar

These two data releases are the market's key focus this week and may become pivotal events triggering a directional move.

This report is generated automatically from public quantitative and macro data for research and market tracking only. It does not constitute any investment advice.

Single-name briefs Deep dive

SHFE GoldSHFE.AU 2026-10-09

沪金(SHFE.AU)深度分析报告 | 偏多：黄金与白银比价处于低位 | 2026-10-09

CFFEX SSE 50 Stock Index Main Continuous (CFFEX.IH) In-Depth Analysis Report | Bearish | 2026-10-09

Today's Risk Map

Single-name briefs Deep dive

Previous briefs

⟠ This month's strategy backtest