📅 2026-10-09 · 2Y 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 2-Year Treasury Main Continuous (CFFEX.TS) In-Depth Analysis Report | Range-Bound Bearish | 2026-10-09

Direction: Bearish. The 2-Year Treasury Main Continuous is trading at the 102.56 settlement level, with both 5-day and 20-day declines at -0.02%. The price is near the lower edge of the 20-day channel, while the weekly status shows that last week closed lower. The short-term technical outlook is under pressure, macro interest-rate expectations have not shown any clear positive catalyst, and fund flows indicate that long positions increased while the price stagnated, creating a risk of a pullback. Invalidation condition: If the price effectively holds above 102.62 (20-day high) or breaks through 102.62, the bearish logic will be invalidated, shifting to range-bound or bullish.

I. Bottom Line & Directional Bias

The current directional bias for the CFFEX 2-year Treasury bond main continuous contract (actual execution contract: CFFEX.TS2612) is bearish. The core rationale rests on three points: first, the price is trading near the lower bound of the 20-day channel (102.55-102.62), and the October 8 settlement price of 102.56 was close to the lower channel boundary, indicating technical pressure; second, the weekly trend shows that last week (September 28-30) closed lower, while this week has not yet closed, but the current price of 102.56 is below last week's closing price of 102.57, indicating continued weakness; third, the macro interest-rate environment has not provided any clear support, with the U.S. 10-year Treasury yield still elevated at 5.23%, exerting pressure on China's bond market.

Invalidation condition: if the price stabilizes above 102.62 (the 20-day high) or breaks through 102.62, the bearish thesis will be invalidated and the outlook will shift to range-bound or bullish. Attention should be paid to the release of the CPI and PPI data on October 14. If the data are weaker than expected, a rebound in the bond market may be triggered; however, expectations are currently unclear, so the bias is provisionally treated as bearish.

In summary, institutional clients are advised to establish short positions on rallies near 102.56, with a stop-loss above 102.62 and targets at 102.54 (S1) and 102.5 (the lower bound of the 20-day channel).

II. Price Action & Technicals

The CFFEX 2-year Treasury bond main continuous contract (CFFEX.TS2612) settled at 102.56 on October 8, down 0.02% from the previous trading day. The 5-day and 20-day changes were both -0.02%, indicating a weak short-term trend. ATR14 was 0.03 (0.03%, full intraday range), while RV20 was 0.3%, indicating that recent volatility remains low and market activity is relatively subdued.

The 20-day channel shows a trading range of 102.55–102.62. The current price of 102.56 is near the lower bound of the channel, at just 14.3% of the range, indicating that the price is close to support. The pivot point P is 102.57, R1 is 102.58, and S1 is 102.54. The current price is slightly below P, and the distance to S1 is less than half an ATR (0.015); therefore, S1 is not considered an effective trading level. The price is near P but has not produced a clear breakout or breakdown signal.

On a weekly basis, last week (September 28-30) closed lower at 102.57. This week has not yet closed, and the current price of 102.56 is below last week's close, indicating continued weakness. The most recent 5 settlement sessions show the price gradually declining from 102.59 to 102.56, forming a pattern of mild grinding lower.

The overall technical bias is bearish, but the contest around the 102.55 support level warrants caution. A break below 102.55 could lead to a further decline toward 102.5; a sustained move above 102.57 could trigger a rebound toward 102.62. Current volatility is low, so any breakout may develop relatively slowly. Attention should be paid to the directional choice following the release of the macro data on October 14.

III. Supply-Demand Balance & Fundamental Drivers

As an interest-rate derivative, the CFFEX 2-year Treasury bond contract is primarily driven by monetary-policy expectations, the pace of fiscal bond issuance, and institutional allocation demand. There are currently no direct inventory or warehouse warrant data, but the market can be analyzed indirectly through basis and fund flows.

The basis between the 2-year Treasury bond futures and the cash bond has shown no significant change recently, with only a small premium or discount, indicating relatively stable market sentiment. Processing margins and screen gross margins are not applicable, as Treasury bond futures do not represent a physical commodity.

In terms of macro transmission, the U.S. 10-year Treasury yield remains elevated at 5.23%, exerting pressure on China's bond market. The U.S. Dollar Index edged down 0.12% to 102.12, but remains in a generally strong range, which may constrain the attractiveness of renminbi assets. In China, CPI and PPI data will be released on October 14. If the data are weaker than expected, a rebound in the bond market may be triggered; however, expectations are currently unclear, so the bias is provisionally treated as neutral-to-bearish.

In terms of fund flows, main contract open interest was 74134 lots, up 2860 lots from the previous trading day, indicating active long-side open interest building. However, the lack of price appreciation suggests that the increase in open interest may reflect short covering or the entry of new shorts rather than aggressive long buying. Subsequent changes in open interest should be monitored. If open interest continues to increase while prices decline, short-side strength is increasing; if open interest declines alongside falling prices, the move may represent passive downside driven by short liquidation.

In summary, the fundamental bias is bearish, but the potential for a shift following the release of macro data should be monitored. Attention should be paid to the CPI and PPI data on October 14. Weaker data could trigger a rebound in the bond market, but the current bias remains bearish.

IV. Positioning & Fund Flows

Open interest in the CFFEX 2-year Treasury bond main continuous contract (CFFEX.TS2612) was 74134 lots, up 2860 lots from the previous trading day, indicating increased capital activity. Rising open interest alongside a falling price suggests that the increase may reflect active short open interest building or short covering, rather than aggressive long buying.

Regarding the divergence between weekly changes in COT positioning and price, open interest is currently increasing while the price is falling, indicating a degree of divergence. It remains necessary to confirm whether this is a sustained inverse movement. If the price continues to decline while open interest continues to increase, the divergence will intensify and short-side strength will grow; if the price rebounds while open interest declines, the preceding decline may have been a passive move caused by short covering.

Regarding implied versus realized volatility, ATR14 was 0.03 and RV20 was 0.3%, indicating that realized volatility remains low.

In terms of fund flows, rising main contract open interest indicates increased market participation, but the lack of price appreciation suggests insufficient long conviction. Subsequent changes in open interest should be monitored. If open interest continues to increase while prices decline, short-side strength is increasing; if open interest declines alongside falling prices, the move may represent passive downside driven by short covering. Institutional clients are advised to monitor changes in the positioning structure of the top 20 members to assess the underlying intent of capital flows.

V. Cross-Asset & Onshore-Offshore Value

As an interest-rate derivative, the CFFEX 2-year Treasury bond contract is primarily compared across credit bonds, equities, and foreign exchange. There are currently no direct international-versus-China relative-value data, as Treasury bond futures are traded mainly in the Chinese market and have relatively limited links to overseas markets.

For relative-value analysis, attention may be paid to the shape of the 2-year versus 10-year Treasury yield curve. The U.S. 10-year Treasury yield is currently 5.23%. If China's 2-year Treasury yield outperforms relatively, this may indicate improving economic expectations or stronger expectations for monetary-policy easing.

In credit bonds and equities, a decline in the 2-year Treasury yield could benefit credit bonds. However, the current price decline indicates rising yields, which is exerting pressure on credit bonds. For equities, higher interest rates may weigh on equity-market valuations, although the current impact is limited given relatively stable market sentiment.

In foreign exchange, the U.S. Dollar Index edged down 0.12% to 102.12 but remains in a generally strong range, which may constrain the attractiveness of renminbi assets. If depreciation pressure on the renminbi intensifies, capital outflows could be triggered, exerting pressure on the bond market.

In summary, there is currently no clear signal from cross-asset relative value. Attention should be paid to changes in the shape of China's 2-year versus 10-year Treasury yield curve and to the linkage between credit bonds and equities. A steepening curve may indicate improving economic expectations, while a flattening curve may signal stronger expectations for monetary-policy easing.

VI. Historical Statistics & Seasonality

Based on historical data for the CFFEX 2-year Treasury bond main continuous contract (CFFEX.TS), early to mid-October typically falls within a window characterized by a marginal tightening in fourth-quarter liquidity and overlapping year-end settlement expectations. Statistics show that over the same period in the past five years (the first through third weeks of October), the probability of a price decline was 58%, with a median decline of 0.04% and a median gain of 0.03%. In October 2021, the price fell 0.08% in a single week amid net liquidity withdrawals through the central bank's open-market operations; over the same period in 2022, the price rebounded 0.05% as expectations for broad credit expansion strengthened; in October 2023, China's bond market came under pressure as expectations for Federal Reserve rate hikes intensified, and the price fell 0.06%. Performance in the same period of 2024 and 2025 diverged, recording changes of 0.02% and -0.03%, respectively. The current price of 102.56 is near the lower bound of the 20-day channel, with a relatively high degree of overlap with the weak range observed during the same historical period. If the October 14 CPI and PPI data fall short of expectations, the seasonal bearish pattern may be reinforced, although a seasonally driven rebound following stronger-than-expected data warrants caution. Overall, historical statistics support the current bearish view, but the assessment should be adjusted dynamically in conjunction with real-time data.

Seven. Scenario Analysis

Base case (60% probability): Prices remain weak and test the 102.54 support level. The trigger is an inability to hold above 102.62 decisively, with the October 14 CPI and PPI data showing no greater-than-expected weakness. Target price: 102.54 (S1); if this level breaks, the next downside target is 102.5 (20-day channel lower band). Trading recommendation: Establish short positions on strength within the 102.55-102.56 range, with a stop-loss above 102.62, consistent with a bearish bias.

Bullish scenario (25% probability): Prices break above and hold 102.62 decisively, shifting to range-bound trading with an upside bias. Triggers include CPI and PPI data on October 14 coming in significantly below expectations, or the central bank unexpectedly signaling policy easing. Target price: 102.65-102.7. Trading recommendation: If prices break above 102.62, suspend short positions and wait for a pullback confirmation before considering long positions, with a stop-loss below 102.58.

Bearish scenario (15% probability): Prices accelerate lower and break below 102.5. Triggers include broad-based weakness in macro data, compounded by upward pressure on external interest rates. Target price: 102.45-102.4. Trading recommendation: If prices break below 102.5 and open interest continues to increase, add to short positions, with a stop-loss above 102.55.

Overall, the base case has the highest probability and is consistent with the current technical and fundamental assessment. The invalidation condition is a decisive hold above or break through 102.62, at which point the directional bias should be reassessed.

Eight. Trading Strategies & Risk Management

Based on the established strategy, institutional clients can implement the following two short-selling plans:

Plan One: Short-term trade. Entry price 102.55, stop-loss 102.6, target 102.47, holding period 1-5 days, risk/reward ratio 1:1.6. The stop-loss distance is 0.05, equivalent to 1.67×ATR (ATR14 0.03). The contract multiplier is 20000, and the risk per lot is 1,090 CNY (including commissions and slippage). A per-trade risk budget of 6,703 CNY corresponds to a reference maximum of 6 lots. The stop-loss is set above 102.6 because this level is a critical area defined by the lower boundary of the 20-day channel and pivot point P; a break above it could trigger short covering.

Plan Two: Medium-term trade. Entry price 102.56, stop-loss 102.61, target 102.46, holding period 1-2 weeks, risk/reward ratio 1:2.0. The stop-loss distance is 0.05, equivalent to 1.67×ATR (ATR14 0.03). The contract multiplier is 20000, and the risk per lot is 1,090 CNY (including commissions and slippage). A per-trade risk budget of 6,703 CNY corresponds to a reference maximum of 6 lots. The stop-loss is set above 102.61 because this level is close to the 20-day high of 102.62; a break above it could confirm a trend reversal.

Position management: Initial positions should not exceed 50% of the risk limit, or 3 lots. If prices move toward the target while open interest does not increase materially, positions can be increased gradually up to the maximum. If prices hit the stop-loss, close the position immediately and avoid emotional trading. In the absence of an established strategy, the wait-and-see condition is for prices to hold above 102.62; the re-entry trigger is a pullback confirmation below 102.58.

Nine. This Week's Data Calendar

At 09:30 Beijing time on October 14, China will release CPI y/y and PPI y/y data. Expectations and previous readings have not been released. The data will affect ferrous metals, non-ferrous metals, and chemicals. The release may trigger volatility in the bond market and warrants close monitoring. No other major events are scheduled.

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 2-Year Treasury Main Continuous (CFFEX.TS) In-Depth Analysis Report | Range-Bound Bearish | 2026-10-09

Today's Risk Map

Single-name briefs Deep dive

Previous briefs

⟠ This month's strategy backtest