📅 2026-10-09 · Alumina · 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)

SHFE Alumina Main Continuous (SHFE.AO) In-depth Analysis Report | Increased positions with price decline, net shorts converging, bearish bias | 2026-10-09

Bearish bias: Alumina main contract M2701 settled at 2696 yuan/ton on 10-08, down 0.37% on the day; main contract open interest rose by 7879 lots to 224622 lots, with notional open interest up 423 million yuan on the day, showing a pattern of increased positions with price decline and active shorts; top-20 seats held net shorts of 7108 lots but down 3734 lots on the day, as shorts did not form a concerted force, hence bearish bias rather than a trend-based bearish view. Price is at the 25.1% low of the 20-day channel 2639–2822; 5-day -0.26%, 20-day -0.85%, ATR14 45.36 yuan (1.69%), RV20 18.6%, volatility converging. Night session 10-08 21:05 to 10-09 01:00 closed at 2687, -0.33% versus settlement, failing to reclaim the 2692.33 pivot. Invalidation conditions: settlement price above 2707.67 (R1) with main contract open interest falling, or a break below 2639 (20-day low) followed by concentrated short covering.

I. Bottom Line & Directional Bias

Bias: moderately bearish. Three core reasons: first, the volume-price structure is bearish — [10-08 settlement] main contract M2701 closed at 2685, settled at 2696, down 0.37%, with main-contract open interest at 224,622 lots (+7,879), notional open interest of CNY 12.6bn, up CNY 423m on the day; this is a decline on an open interest build, indicating active short entry rather than long liquidation. Second, positioning is bearish — the settlement price sits at the 25.1st percentile of the 20-day channel of 2639–2822, with 5-day -0.26% and 20-day -0.85%; the rebound failed to hold above pivot P at 2692.33, and the [10-08] night session from 21:05 to 10-09 01:00 closed at 2687, -0.33% versus settlement, leaving the weakness intact. Third, volatility is compressing but the trend has not turned — ATR14 is CNY 45.36 (1.69%), RV20 is 18.6%, and price is trading close to S1 at 2669.67, making a downside break cheaper to achieve. The constraining factor is that the top-20 seats' net short is only 7,108 lots and fell by 3,734 lots on the day; shorts lack convergence, hence the characterization is moderately bearish rather than a trend bearish call. Invalidation conditions: settlement price moves above 2707.67 (R1) with main-contract open interest falling back, or a break below 2639 (20-day low) followed by net shorts rapidly converging toward flat.

II. Price Action & Technicals

Technicals are based on the [10-08 settlement]: M2701 settled at 2696, -0.37% versus the prior settlement, 5-day -0.26%, 20-day -0.85%; all three periods are drifting lower in the same direction, a low-range consolidation rather than an accelerating decline. The 20-day channel is 2639–2822, with the settlement price at the 25.1st percentile, about CNY 57 (roughly 1.26 ATR14 of CNY 45.36, intraday full range 1.69%) from the lower bound at 2639 and about CNY 126 from the upper bound at 2822; the risk-reward structure slightly favors the bears. Pivot system: P 2692.33, R1 2707.67, S1 2669.67; the settlement price of 2696 is about CNY 4 above P and about CNY 12 below R1, with R1 less than half an ATR from the current price, so it does not constitute a valid trading level; S1 at 2669.67 is about CNY 26 from the current price, also less than one ATR, and serves only as an observation level. The last five settlement daily lines show a push to 2726 on 09-30 followed by a pullback; on 10-08 the high was 2715 and the low 2677, with the center of gravity lower than 09-30's 2723, i.e. rebound highs are stepping down. On the weekly dimension: the last completed weekly bar (2026-09-28 to 09-30) opened at 2698, high 2726, low 2639, closed at 2723, up +1.34% on the week, a confirmed relatively strong week; the current week (only one trading session from 10-08) is incomplete and is provisionally reported at 2685 (-1.4%), and no weekly conclusion should be drawn from it. Night session 10-08 21:05 to 10-09 01:00: open 2686, high 2705, low 2684, close 2687, +0.07% versus the day session close and -0.33% versus settlement; the push to 2705 failed to touch R1 before falling back, confirming that the 2707.67 area is effective resistance. Overall, price is trading weakly within the narrow 2639–2707 range; with ATR and RV20 both low, chasing the move ahead of a break is inadvisable, and directional selection requires an effective break of 2639 or 2707.67.

III. Supply-Demand Balance & Fundamental Drivers

The confirmable fundamental transmission comes from two chains — macro and cost: first, [10-08] the US 10-year Treasury yield was 5.23% (-0.87%) and the dollar index 102.12 (-0.12%); the modest dollar weakness provides mild support to the cost side of USD-denominated metals, but alumina is a China-priced product, so the transmission is limited and is reflected mainly indirectly through bauxite import costs and sentiment on the aluminium smelting side. Second, the copper-gold ratio is 1.58 (1Y percentile 96.83%, 3Y percentile 56.61%) on one measure and 1.61 (1Y percentile 99.6%, 3Y percentile 61.11%) on another, at extremely high one-year percentiles, pointing to industrial attributes outperforming precious metals and growth expectations not deteriorating; this forms a neutral-to-warm backdrop for demand expectations for aluminium and its upstream alumina, but the extreme percentile only describes the current state and does not imply mean reversion. The oil-gold ratio is 0.022 (1Y percentile 92.06%, 3Y percentile 47.88%), with energy relatively strong versus gold, providing some cost support to alumina's energy costs (caustic soda, coal, power). On the calendar, China CPI and PPI y/y will be released on 10-14 at 09:30 (prior values not given); both directly affect sentiment in the ferrous, non-ferrous and chemicals sectors and are the main macro event risk facing alumina this week.

IV. Positioning & Fund Flows

Positioning is the clearest bearish evidence this period. [10-08] main contract M2701 open interest was 224,622 lots, up 7,879 lots on the day, with notional open interest of CNY 12.6bn, up CNY 423m; over the same period the settlement price fell 0.37%, so volume and price are aligned as a decline on an open interest build, in nature an active short build rather than long liquidation or a dual long/short flattening. Top-20 seats in aggregate held 254,889 lots long (+5,615) and 261,997 lots short (+9,349), a net directional position of 7,108 lots net short, with the net short narrowing by 3,734 lots versus the prior day; both sides are adding, but shorts are adding more than longs, so the net short pattern persists, while the narrowing in absolute net short indicates shorts have not formed a concentrated squeeze — this creates a certain tension with the main-contract build-and-decline and is the core reason this report concludes moderately bearish rather than bearish. On the volatility dimension: ATR14 is CNY 45.36, 1.69% of the settlement price, and RV20 is 18.6%, so realized volatility is on the low side; the combined implication of positioning and price is that shorts keep adding at low levels while net shorts narrow, longs are absorbing, and both sides are stalemated within the 2639–2707 range; a directional break requires incremental capital, and until then the moderately bearish view holds but chasing shorts is not advised.

V. Cross-Asset Relative Value & Global vs China

On the cross-asset dimension, [10-08] the gold-silver ratio is 69.95 (1Y percentile 80.16%, 3Y percentile 26.72%), a combination of high one-year and low three-year percentiles, with silver's longer-term relative strength intact and sentiment toward industrial metals neutral; the copper-gold ratio of 1.58 (1Y percentile 96.83%, 3Y percentile 56.61%) and the alternative measure of 1.61 (1Y percentile 99.6%, 3Y percentile 61.11%) are both at extremely high one-year percentiles, reflecting copper significantly outperforming gold and industrial demand expectations not deteriorating, which provides indirect support to alumina as part of the same non-ferrous chain, but the extreme percentile only describes the current state and is not a direct driver of alumina prices. The oil-gold ratio is 0.022 (1Y percentile 92.06%, 3Y percentile 47.88%), with energy relatively strong versus gold, providing mild support to alumina's cost side through power and fuel costs. On risk appetite, VIX is 15.41, GVZ 22.68 and OVX 48.4, with equity and crude volatility both in moderate ranges and no systemic contraction in overall commodity risk appetite. The 3:2:1 crack spread is USD 69.72/bbl, reflecting sustained refinery margins and no additional pressure on the energy cost side. Overall, cross-asset signals are neutral-to-warm, offsetting the bearish fund structure on the tape and further supporting the view of “moderately bearish but limited in magnitude.”

VI. Supply Chain & Seasonal Inventory (Historical Statistics)

Only two points of time structure are confirmable: first, [10-08 settlement] 5-day -0.26% and 20-day -0.85%, with the two medium-short periods drifting lower in the same direction, consistent with the moderately bearish direction described in Section I; second, the last completed weekly bar (2026-09-28 to 09-30) closed at 2723, up +1.34% on the week, while the current week (only one trading session from 10-08) is incomplete and provisionally reported at 2685 (-1.4%), so no consecutive weekly weakness has yet been confirmed; the seasonal dimension therefore does not provide independent support for the moderately bearish conclusion and serves only as corroboration of directional consistency. In the absence of historical same-period win rates and median gain/loss readings, this report does not use seasonality as an entry basis; trading decisions remain anchored to the technical levels and positioning structure in Sections II and IV.

VII. Scenario Analysis

Base case (probability 60%): Bearish range drift lower. Trigger: price holds below pivot P 2692.33, rebounds fail to reclaim R1 2707.67, and main-contract open interest continues to build. Targets: S1 2669.67 first, then the 20-day channel floor at 2639; trade tactically by selling into rebounds with light positions, and do not chase breaks below 2669.67 — as noted in Section II, S1 sits less than one ATR14 (45.36) from spot, which does not constitute a valid trading level. This scenario is consistent with the bearish conclusion in Section I; the core rationale remains the active short structure reflected in open-interest-build declines.

Bullish case (probability 25%): Break above the range top. Trigger: M2701 settlement approaches 2707.67 (pivot R1) while main-contract open interest falls in tandem — i.e., an advance driven by short covering. Target: the 20-day channel ceiling at 2822; operationally, close shorts first and do not flip long, awaiting a confirmed hold above R1 before reassessing. This scenario also constitutes one of the invalidation conditions for the bearish call in this report, consistent with the wording in Section I.

Bearish case (probability 15%): Breakdown acceleration below the floor. Trigger: an effective break below 2639 (20-day low), with top-20 seat net shorts failing to converge quickly toward flat. Target: 2603.28 (the pre-defined strategy target); operationally, hold existing short positions and manage per Section VIII rules, with no adding on the day of the break. If net shorts converge rapidly toward flat after the break of 2639, the bearish call is invalidated and the stance shifts to neutral.

Probabilities sum to 100%. Base plus bearish cases total 75%, tilting directional weight to the downside, but the limited distance between their targets leads to an overall characterization of bearish bias rather than a trend-following short.

VIII. Trading Strategies & Risk Management

Pre-defined strategy, quoted verbatim: Short / entry 2685 / stop-loss 2737.36 / target 2603.28 / horizon 1–5d / risk-reward 1:1.6.

Rationale for the stop at 2737.36: the level sits roughly CNY 30 above pivot R1 2707.67, meaning price must first reclaim R1 and extend higher before triggering — directionally consistent with the Section I invalidation condition of “settlement above 2707.67 with main-contract open interest falling” — thereby avoiding being stopped out on normal fluctuations around R1. Risk conversion: stop distance 52.36, equal to 1.15×ATR (ATR14 45.357); contract multiplier 20; risk per lot CNY 1,097 (including fees and slippage); single-trade risk budget CNY 6,697, implying a reference cap of 6 lots.

Position sizing and add/trim rules: the reference cap of 6 lots is the full-position benchmark; the initial entry must not exceed it. If price runs toward 2669.67 (S1) while main-contract open interest does not decline, do not add. Only consider topping up to the cap on a rebound to 2692.33 (P) that fails to hold above R1. Close all positions upon reaching the 2603.28 target; do not move the target. If neither the stop nor the target is triggered within the 1–5d horizon, exit on a time stop.

IX. This Week's Data Calendar

Beijing time 10-14 09:30 (US Eastern 10-13 21:30): China CPI y/y release; consensus and prior both not provided; impacts ferrous, non-ferrous and chemicals sectors. Beijing time 10-14 09:30 (US Eastern 10-13 21:30): China PPI y/y release; consensus and prior both not provided; impacts ferrous, non-ferrous and chemicals sectors. These two releases are the principal macro event risks facing alumina this week; ahead of publication, maintain the pre-set position cap and add no new exposure.

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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