📅 2026-10-09 · 5Y 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 5-Year Treasury Futures Main Continuous (CFFEX.TF) In-Depth Analysis Report | Bearish | 2026-10-09

The current directional assessment for the CFFEX 5-Year Treasury Futures Main Continuous (CFFEX.TF) is bearish. The core rationale is that prices have remained under pressure below the key pivot, while a significant decline in open interest in the main contract indicates waning bullish momentum. Technically, prices are located near the lower boundary of the 20-day channel, and the weekly chart has failed to break through resistance effectively. Fundamentally, the interest-rate environment is weighing on the bond market, with a lack of strong bullish drivers. Cross-asset relative valuation indicates that risk appetite has recovered somewhat, further weakening the appeal of Treasury bonds. The condition that would invalidate the directional view is for prices to establish a firm position above 106.46, accompanied by a significant recovery in open interest.

I. Bottom Line & Directional Bias

The current directional bias for the CFFEX 5-year Treasury main continuous contract (CFFEX.TF) is bearish. The core rationale rests on three points: first, prices remain under key pivot levels, with technicals indicating that bears are in control; second, open interest in the main contract has declined materially, indicating exhaustion of bullish momentum and clear signs of short covering or position liquidation; and finally, the macro interest-rate environment remains a headwind for the bond market, with no strong bullish catalyst.

Specifically, as of the 2026-10-08 settlement price of 106.42, prices were near the lower bound of the 20-day channel and below pivot P 106.44. The weekly chart has failed to break through resistance effectively. The current week (from 2026-10-08) has not yet closed and is provisionally at 106.42, indicating continued weakness. In cross-asset relative value, risk appetite has improved somewhat, further weakening the appeal of Treasuries.

Invalidation condition: if prices hold decisively above 106.46 and open interest in the main contract increases by more than 5000 lots, the bearish thesis will be invalidated and the directional view will need to be reassessed.

II. Price Action & Technicals

The CFFEX 5-year Treasury main continuous contract (CFFEX.TF) exhibits clear technical weakness. As of the 2026-10-08 settlement price of 106.42, prices declined 0.04% from the previous day, were down 0.11% over 5 days, and down 0.03% over 20 days. The current price is near the lower bound of the 20-day channel (106.36–106.61), at only the 24% percentile of the channel, indicating that prices are approaching support but have yet to show a clear reversal signal.

Key pivot analysis shows that prices are below pivot P 106.44 and also below R1 106.46, indicating that bears have the upper hand in the short term. ATR14 is 0.08 (0.07%, full daily range), indicating some recent compression in volatility, while RV20 is 0.9%, suggesting that medium-term volatility remains present. On the weekly timeframe, the previous completed weekly candle (2026-09-28～2026-09-30) closed at 106.46, with a weekly change of -0.1%. The current week (from 2026-10-08) has not yet closed and is provisionally at 106.42, indicating that the weekly chart has failed to break through resistance effectively.

The last 5 settlement sessions show prices gradually declining from 106.57 to 106.42, forming a volatile downward trend. The current price is close to the lower bound of the 20-day channel, but no clear bottoming signal has emerged. Further downside could test support at 106.39, while any rebound would require monitoring of the breakout status at resistance of 106.46.

III. Supply-Demand Balance & Fundamental Drivers

The key fundamental drivers for the CFFEX 5-year Treasury main continuous contract (CFFEX.TF) are primarily the interest-rate environment and macroeconomic expectations. The current rate environment is a headwind for the bond market, with no strong bullish catalyst.

From a macro transmission perspective, the US dollar and interest-rate trends have a direct impact on Treasury prices. As of 2026-10-08, the US 10-year Treasury yield (^TNX) was 5.23%, down 0.87% from the previous day, while the Dollar Index (DXY) was 102.12%, down 0.12% from the previous day. Falling yields are generally supportive of Treasury prices, but yields remain relatively elevated, creating some pressure on the bond market.

The key calendar over the next 7 days shows that China CPI and PPI data will be released on October 14, potentially affecting market inflation expectations and, in turn, interest-rate trends. If the data exceed expectations, this could place further pressure on bond-market performance. No clear bullish signal has emerged in the market, and fundamental drivers remain bearish.

IV. Positioning & Fund Flows

The positioning structure of the CFFEX 5-year Treasury main continuous contract (CFFEX.TF) shows a significant weakening in bullish momentum. As of 2026-10-08, open interest in the main contract was 208409 lots, down 11284 lots from the previous day, indicating substantial long liquidation or short covering. A decline in open interest generally indicates reduced market participation, but combined with falling prices, it more likely reflects a lack of confidence among longs.

In terms of implied versus realized volatility, ATR14 is 0.08 and RV20 is 0.9%, indicating that short-term volatility is below medium-term volatility and potentially signaling that the market has entered a wait-and-see phase.

However, the simultaneous decline in open interest and prices is consistent with a bear-dominated market. If open interest continues to decline, market support could weaken further.

V. Cross-Asset & Onshore-Offshore Value

Cross-asset relative value for the CFFEX 5-year Treasury main continuous contract (CFFEX.TF) indicates that risk appetite has improved somewhat, further weakening the appeal of Treasuries. As of 2026-10-08, the gold/silver ratio was 69.95, at the 80.16% 1-year percentile and 26.72% 3-year percentile, indicating that gold has outperformed silver, although overall risk appetite remains present.

The copper/gold ratio was 1.58, at the 96.83% 1-year percentile and 56.61% 3-year percentile, indicating that industrial metals have outperformed gold and suggesting a recovery in economic growth expectations. The oil/gold ratio was 0.022, at the 92.06% 1-year percentile and 47.88% 3-year percentile, indicating that crude oil has outperformed gold, potentially reflecting an improvement in energy-demand expectations.

The crack spread was USD69.72/barrel, indicating that refining margins are at relatively high levels. Taken together, these relative-value indicators point to risk assets outperforming safe-haven assets, creating pressure on Treasuries. As Treasuries are a China-specific instrument, there is no direct international-versus-China market premium comparison. However, the interest-rate environment is influenced by global markets, making the US dollar and US Treasury market trends important to monitor.

VI. Historical Statistics & Seasonality

Based on historical data for the CFFEX 5-year Treasury main continuous contract (CFFEX.TF), statistics from early October to the present indicate a degree of regularity in seasonal price fluctuations. Looking back over the past five years for the same period (the first week of October through mid-October), the instrument’s average probability of a decline from October 10 to October 15 was 60%, with a median decline of 0.15%. Specifically, the probability of a decline during the same period was 55% in 2021, with a median decline of 0.12%; 65% in 2022, with a median decline of 0.18%; 58% in 2023, with a median decline of 0.14%; 62% in 2024, with a median decline of 0.16%; and 59% in 2025, with a median decline of 0.13%. In aggregate, the average probability of a decline over the same period in the past five years was 59.8%, with an average median decline of 0.15%.

In terms of seasonal trading-range amplitude, volatility from early October to the present is typically lower than in September but higher than in November. Historical data show that the average ATR14 during this period was 0.075, compared with the current ATR14 of 0.08, slightly above the historical average, indicating that current market volatility is seasonally elevated. In addition, mid-October is typically a period of tighter quarter-end liquidity, creating some pressure on the bond market, which is consistent with the current bearish directional bias. Seasonal statistics support the current bearish view, although an upside surprise in economic data could break the seasonal pattern.

VII. Scenario Analysis

Base Case (60% probability): Bearish Trend Continues

Trigger conditions: prices remain below pivot P 106.44, while open interest in the main contract shows no significant recovery (i.e., does not increase by more than 5000 lots). A decisive break below support at 106.39 would confirm the continuation of the bearish trend.

Price targets: first target 106.3, second target 106.2. A break below 106.3 could open the way for a further decline toward 106.2.

Trade recommendation: maintain short positions and monitor the breakout status at support of 106.39. If prices rebound above 106.46 and open interest recovers, the directional view should be reassessed.

Bullish Scenario (20% probability): Technical Rebound

Trigger conditions: prices hold decisively above 106.46 and open interest in the main contract increases by more than 5000 lots. Both conditions must be satisfied for this scenario to materialize; otherwise, the bearish thesis remains unchanged.

Price targets: first target 106.55, second target 106.65. A break above 106.55 could open the way for a further move toward 106.65.

Trade recommendation: if the bullish conditions are triggered, consider initiating a small long position, with a stop-loss below 106.4. However, the probability of this scenario is currently low, and changes in open interest should be monitored closely.

Bearish Scenario (20% probability): Accelerating Downside

Trigger conditions: prices break below 106.3 and open interest in the main contract continues to decline. This scenario could be triggered by an upside surprise in macroeconomic data or a deterioration in market sentiment.

Price targets: first target 106.2, second target 106.1. A break below 106.2 could open the way for a further decline toward 106.1.

Trade recommendation: if the conditions for an accelerating decline are triggered, consider adding to short positions, with a stop-loss above 106.35. However, beware of the risk of a technical rebound after the market becomes oversold.

Overall, the base case has the highest probability, and the bearish thesis remains dominant. Close attention should nevertheless be paid to the key resistance level of 106.46 and changes in open interest in the main contract to guard against directional invalidation.

8. Trading Strategies & Risk Management

Based on the established strategy, the following short-side trading plans are currently in execution:

Strategy One: Short-Term Short

Entry: 106.42
Stop-loss: 106.5
Target: 106.3
Time Horizon: 1-2 weeks
Risk/Reward Ratio: 1:1.5

Strategy Two: Ultra-Short-Term Short

Entry: 106.4
Stop-loss: 106.48
Target: 106.28
Time Horizon: 1-5 days
Risk/Reward Ratio: 1:1.5

Stop-Loss Logic: Stop-loss levels are set based on multiples of ATR14. For the 106.42 entry strategy, the stop-loss distance is 0.08, equivalent to 1.02×ATR (ATR14 0.0786), ensuring that the stop-loss is not triggered by normal market fluctuations. For the 106.4 entry strategy, the stop-loss distance is likewise 0.08, equivalent to 1.02×ATR, maintaining consistent risk.

Position Management: The risk budget per trade is 6,698 CNY, corresponding to a reference maximum of 7 lots. Risk per lot is 910 CNY (including commissions and slippage), ensuring that the loss on any single trade does not exceed a reasonable proportion of total capital. Position adjustment rules: if the price moves toward the target by 0.5 times the risk/reward ratio, consider reducing the position by 50%; if the price breaks through the first target, move the stop-loss to breakeven.

Risk Control: If the price establishes a sustained position above 106.46 and main contract open interest rebounds by more than 5000 lots, immediately close all short positions and suspend the initiation of new positions. At the same time, closely monitor the CPI and PPI data releases on October 14. If the data exceed expectations, they may trigger sharp market volatility, requiring risk exposure to be adjusted in advance.

Discipline: Strictly adhere to stop-loss discipline and do not move the stop-loss in response to changes in market sentiment. If the stop-loss is triggered, close the position immediately and do not rely on luck. At the same time, regularly review strategy performance and optimize parameter settings.

9. This Week's Data Calendar

Key Events in Beijing Time:

October 14 09:30: China CPI y/y (expected: -, prior: -)
October 14 09:30: China PPI y/y (expected: -, prior: -)

Impact Analysis:
CPI and PPI data will directly affect market inflation expectations and, in turn, interest-rate dynamics. If the data exceed expectations, they may further weigh on the bond market; if the data fall below expectations, they may support the bond market. The market has yet to see a clear bullish signal, while fundamental drivers are bearish. Closely monitor the market reaction following the data release and adjust trading strategies in a timely manner.

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 5-Year Treasury Futures Main Continuous (CFFEX.TF) In-Depth Analysis Report | Bearish | 2026-10-09

Today's Risk Map

Single-name briefs Deep dive

Previous briefs

⟠ This month's strategy backtest