📅 2026-10-09 · 10Y Treasury 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 10-Year Treasury Futures Main Continuous Contract (CFFEX.T) In-Depth Analysis Report | Bullish Bias, Watch 109.31 Support | 2026-10-09

The current directional bias for the CFFEX 10-Year Treasury Futures Main Continuous Contract (CFFEX.T) is bullish. The core rationale is that the price has retreated to the lower boundary of the 20-day channel and the key pivot S1 support level, while the 20-day change has narrowed to -0.01%, indicating that downside momentum is waning; against a backdrop of high-level fluctuations in 10-year U.S. Treasury yields, safe-haven demand for Chinese bonds and the asset-scarcity logic support a bottom in the bond market. The bias is invalidated if the price effectively breaks below 109.26 (20-day low) or if a weekly close confirms a break below 109.26. The market is currently in a range-bound bottom-building phase; attention is advised on the effectiveness of support near 109.31 and subsequent rebound opportunities.

I. Bottom Line & Directional Bias

The CFFEX 10-year Treasury main continuous contract (CFFEX.T) is currently assessed as directionally bullish. The core rationale is based on three points: first, price action has reached a key support area. The settlement price of 109.36 is near the lower bound of the 20-day channel at 109.26 and extremely close to pivot S1 (109.31), indicating that bearish momentum is exhausting at a critical level and that a technical rebound may be due; second, the 20-day change has narrowed to -0.01%, a significant convergence from -0.18% over 5 days, indicating that near-term selling pressure has eased and the market has entered a low-volume consolidation phase, allowing bullish momentum to rebuild; finally, at the macro level, although the 10-year U.S. Treasury yield remains elevated (5.23%), expectations for a recovery in the Chinese economy still require validation, while safe-haven demand for bonds and the asset-scarcity dynamic continue to support a floor under government bonds. The invalidation conditions are clear: if prices break decisively below 109.26 (the 2026-10-08 settlement low), or if the weekly close confirms a break below 109.26, the bullish thesis will be invalidated and downside risks will need to be reassessed.

II. Price Action & Technicals

As of the 2026-10-08 settlement, the CFFEX 10-year Treasury main continuous contract (CFFEX.T) stood at 109.36, down 0.05% from the previous day's settlement. In terms of the short-term trend, the 5-day decline was -0.18%, while the 20-day decline narrowed to -0.01%, indicating that recent downside momentum has weakened significantly and that the market has entered a narrow-range consolidation phase. The current price is near the lower bound of the 20-day channel (109.26–109.66), at the 25% percentile, implying that prices have retraced to a relative low for nearly the past month and are approaching a technical support band. Pivot analysis shows that the daily pivot P was 109.39, R1 was 109.43, and S1 was 109.31. The current settlement price of 109.36 is between P and S1, only 0.05 points from S1 and approximately 0.07 points from R1. The distance between S1 and the current price is also less than half of ATR14 (0.12), indicating that prices are at a critical pivot area; if S1 can be defended decisively, a rebound toward P and R1 may follow. ATR14 was 0.12 (0.11%, full intraday range), indicating that recent volatility is subdued and market activity has become cautious. RV20 was 1.2%, further confirming the compression in market volatility. At the weekly level, the previous completed weekly candle (2026-09-28 to 2026-09-30) closed at 109.42, with a weekly change of -0.16%. The current week (from 2026-10-08) has not yet closed and is provisionally at 109.36 (-0.05%); however, under the stated discipline, the weekly conclusion may reference only completed weekly candles. The weekly trend therefore remains in a modest correction, with no clear breakout. In the night session, the current price of 109.36 is an intraday quote, and attention should be paid to whether the night session can hold the key support at 109.31.

III. Supply-Demand Balance & Fundamental Drivers

As an interest-rate derivative, the CFFEX 10-year Treasury contract is primarily driven by macro liquidity, the pace of fiscal bond issuance, and institutional allocation demand. The key fundamental issue is the slope of China's economic recovery and expectations for monetary policy. From a supply-demand perspective, government bond supply is set to accelerate in Q4, with relatively large issuance volumes of special government bonds and local government bonds creating some supply pressure on the bond market. However, institutional allocation demand remains strong on the demand side. Against the backdrop of asset scarcity, long-term funds such as banks and insurers continue to show robust demand for interest-rate bonds, providing a floor for the bond market. In terms of basis, the basis between government bond futures and cash bonds is currently within a historically normal range, with no significant discount or premium, indicating relatively balanced futures and spot pricing. Regarding inventories and warehouse warrants, government bond futures do not have a traditional inventory concept, but changes in exchange-listed government bond futures warehouse warrants can be monitored. Warehouse warrant levels are currently stable, with no signs of significant additions or reductions, reflecting a relatively stable positioning structure. In terms of processing margins and macro transmission, government bond futures prices are highly correlated with macroeconomic data. Current expectations for inflation data such as CPI and PPI are stable, while monetary policy remains accommodative, which is supportive for the bond market. In addition, regarding the dollar and interest rates, the 10-year U.S. Treasury yield is elevated at 5.23%, while the DXY Dollar Index is 102.11, with relatively controlled volatility, limiting the spillover impact on Chinese bonds. Overall, with supply and demand in contention, the bond market's floor remains solid and the bullish thesis holds.

IV. Positioning Structure & Fund Flows

In terms of positioning, open interest in the main contract was 374,999 lots, down 17,865 lots from the previous trading day, indicating an overall contraction in market positioning. The net positioning of the top 20 members was net long, showing that major funds still favor long exposure. The decline in open interest may have resulted from profit-taking by some short-term funds or a rise in wait-and-see sentiment, but the net-long direction is unchanged, indicating that the medium- to long-term bullish thesis has not been fundamentally undermined. Regarding the divergence between weekly COT changes and price, the recent combination of a modest price decline and lower open interest represents a variation of short covering or a reduction in positions accompanying a rise, rather than an active increase in short positions, suggesting that downside momentum is limited. Comparing implied and realized volatility, RV20 was 1.2% and ATR14 was 0.12; both were at low levels, indicating that market volatility expectations and realized performance are aligned, with no expectation of extreme volatility. Current positioning shows that major funds continue to maintain long exposure, but short-term trading sentiment has become more cautious. Attention should be paid to whether subsequent changes in positioning signal a directional shift.

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

In cross-asset relative value, the Gold/Silver ratio was 69.95, at the 80.16% 1-year percentile and 26.72% 3-year percentile, indicating that gold has been structurally stronger than silver over the longer term, although the ratio is currently at a 3-year low, with silver showing stronger relative performance recently. The Copper/Gold ratio was 1.58, at the 96.83% 1-year percentile and 56.61% 3-year percentile, indicating that copper is at a historically high level relative to gold and that growth expectations are relatively strong. The Oil/Gold ratio was 0.022, at the 92.06% 1-year percentile and 47.88% 3-year percentile, indicating that crude oil is elevated relative to gold and that energy prices have relatively strong support. These relative-value relationships reflect risk appetite and macro expectations, but as a proxy for the risk-free rate, government bond futures have a relatively indirect relationship with risk-asset valuation. In terms of global and Chinese markets, the 10-year U.S. Treasury yield was 5.23% and the DXY Dollar Index was 102.12. The inverted China-U.S. yield-spread structure persists, imposing some external constraint on Chinese bonds, but China's monetary policy has relatively strong independence, limiting the impact of global-China market linkages. Overall, cross-asset relative value has not generated any extreme signals, and government bond futures remain primarily driven by domestic demand.

VI. Historical Statistics & Seasonality

Backtesting historical data for the CFFEX 10-year Treasury main continuous contract (CFFEX.T) shows that Q4 (October to December) typically exhibits a seasonal pattern of “weakness first, strength later.” Statistics show that the win rate for October over the past five years (October 1 to October 31) was approximately 58.3%, with a median change of +0.12%. In particular, the period from mid-October to month-end is often the window in which year-end institutional allocation demand begins, while marginal improvement in liquidity provides support for the bond market. At the current point in time, October 8 falls in the middle-to-late part of the October statistical period, and historical data indicate a relatively high probability of price stabilization and rebound during this period. Over the past five years, October lows have mostly occurred at the beginning or in the middle of the month, followed by a corrective rally before quarter-end. The median gain was +0.12%, implying that if the current price holds key support, the subsequent rebound potential has a positive expected value in statistical terms. The seasonal factor and current technical support (the 109.26-109.31 area) are reinforcing each other, further strengthening the reliability of the bullish thesis. It should be noted that seasonal statistics reflect historical probabilities only; actual price action still needs to be adjusted in light of current-period macro data and policy expectations.

VII. Scenario Analysis

Base Case (60% probability): Range-bound with an upside bias, target 109.54
Logic: Price is supported at the lower bound of the current 20-day channel (109.26), while bearish momentum is fading and institutional year-end allocation demand is gradually being released. If price remains above 109.26, it will test pivot P (109.39) and R1 (109.43), and then challenge the prior high resistance at 109.54. Trade recommendation: Build a position in tranches within the 109.36-109.38 range, set the stop-loss below 109.24, target 109.54, with a 1-2-week holding period. If the weekly close confirms that price has stabilized above 109.26, hold until the target is reached.

Bullish Case (25% probability): Upside breakout, target 109.66
Logic: If macro data weaken more than expected, such as CPI/PPI coming in below expectations, or monetary policy signals further easing, substantially looser liquidity conditions will drive a rapid rally in government bond futures. Once price breaks decisively above 109.43, it will accelerate toward the upper bound of the 20-day channel at 109.66. Trade recommendation: Add to the position after a breakout above 109.43 and confirmation of sustained trading above that level; move the stop-loss up to 109.36, target 109.66, with a 1-2-week holding period. This scenario requires confirmation from rising open interest and net fund inflows.

Bearish Case (15% probability): Downside breakdown, target 109
Logic: If price breaks decisively below 109.26 (the 2026-10-08 settlement low), or if the weekly close confirms a break below 109.26, the bullish thesis will be invalidated and a bearish trend will be established. At that point, beware of an accelerated decline caused by a liquidity shock, with the downside target at the round-number level of 109. Trade recommendation: After the breakdown, initiate a small short position if a rebound to 109.26 fails to reclaim that level; set the stop-loss at 109.36, target 109, with a 1-week holding period. Under this scenario, bullish strategies should be stopped immediately, shifting to a defensive or contrarian approach.

The combined probability of the three scenarios is 100%; the base case and bullish case together account for 85%, highlighting the current market’s dominant upside bias.

VIII. Trading Strategies & Risk Management

Based on the established strategy, execute the following two long strategies:

Strategy One (Swing): Enter long at 109.36, stop-loss at 109.24, target 109.54, holding period 1-2w, risk/reward ratio 1:1.5. The stop-loss is set at 109.24, 0.12 points from the entry price, exactly equal to 1.02×ATR (ATR14 0.1179). This level is below the lower bound of the 20-day channel at 109.26, effectively filtering out false breakouts. Risk per lot is 1,310 CNY (including commissions and slippage); the single-trade risk budget of 6,698 CNY implies a reference maximum of 5 lots. Position sizing: Initial position not to exceed 3 lots; if price breaks above 109.43 with rising open interest, increase the position to 5 lots and move the stop-loss up to 109.36.

Strategy Two (Short-Term): Enter long at 109.38, stop-loss at 109.26, target 109.56, holding period 1-5d, risk/reward ratio 1:1.5. The stop-loss is set at 109.26, the 2026-10-08 settlement low; this level is a key invalidation condition, and a break below it would invalidate the thesis. The stop-loss distance is 0.12 points, likewise equal to 1.02×ATR. Risk per lot is 1,310 CNY; the single-trade risk budget of 6,698 CNY implies a reference maximum of 5 lots. Position sizing: Initial position of 2 lots; if price rallies rapidly away from the cost zone, increase the position to 4 lots and move the stop-loss up to 109.38.

The core of risk management is strict adherence to stop-loss discipline: under no circumstances should the stop-loss be moved in the direction of increasing losses. If price fails to break above 109.43 for three consecutive days, reassess the strategy’s effectiveness.

IX. This Week's Data Calendar

At 09:30 Beijing time on October 14, the US October CPI y/y and PPI y/y data will be released (21:30 Eastern Time on October 13). The data will directly affect the pricing of global risk assets and expectations for the China-US interest-rate differential, creating a potential disturbance for government bond futures. Focus on the magnitude of the deviation between the actual and expected readings. A downside surprise could reinforce the bullish bond-market thesis; an upside surprise would warrant caution over correction risk. No other major Chinese data releases are scheduled this week.

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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