📅 2026-10-09 · SHFE Fuel Oil · 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.FU In-Depth Analysis Report | Breakout Above 20-Day High, Longs Actively Adding Positions | 2026-10-09

Bullish. The fuel oil main contract M2611 settled at 5179 yuan/ton on October 8, effectively breaking above the prior 20-day high of 4606 yuan/ton, with strength continuing into the night session. Core drivers are active long position additions and a strengthening crack spread, compounded by deep destocking of distillate inventories. Trend invalidation condition: if price falls below pivot S1 at 4837.33 yuan/ton or the 20-day moving average support, the trend turns weak.

I. Bottom Line & Directional Bias

Conclusion: Modestly bullish. The fuel oil main contract M2611 settled at 5179 CNY/t on October 8, achieving an effective breakout above the prior 20-day high of 4606 CNY/t, with strength extending into the night session and a clear pattern of active long open interest build. Core driver logic chain:

1. Capital-driven: On October 8, main-contract notional open interest reached 7.46 billion CNY, up 897 million CNY on the day, with open interest up 17,317 lots — a classic “open interest build rally,” indicating strong willingness by longs to attack rather than passive short covering.
2. Supply-demand support: EIA distillate inventories fell to 105,138 thousand barrels as of October 2, 12.0% below the five-year seasonal average, with a cumulative draw of 1,136 thousand barrels over four weeks, reinforcing expectations of tight supply and supporting the crack spread at 69.72 USD/bbl.
3. Technical breakout: Price broke above the 20-day channel upper bound of 5186 CNY/t (99.5th percentile) and held above pivot P at 5011.67 CNY/t, showing strong short-term momentum.

Direction invalidation condition: If price effectively breaks below pivot S1 at 4837.33 CNY/t or the 20-day moving average support, the bullish trend weakens and the stance should shift to neutral watch or modestly bearish.

II. Price Action & Technicals

Price pattern and momentum: The fuel oil main contract M2611 settled at 5179 CNY/t on October 8, up 18.35% versus the prior settlement, with a 5-day gain of 25.8% and a 20-day gain of 30.45%. Price has broken above the 20-day channel upper bound of 5186 CNY/t and sits at the 99.5th percentile of the channel, indicating short-term overbought conditions but unexhausted momentum. In the night session from 21:05 to 23:00 on October 8, price opened at 5218 CNY/t, hit a high of 5219 CNY/t, a low of 5064 CNY/t, and closed at 5138 CNY/t — down 0.79% versus the day session close, but still up 2.86% versus the settlement, showing solid night-session follow-through.

Technical indicators: ATR14 is 251.14 CNY/t (4.85%), indicating significant intraday full-range movement. RV20 is 67.8%, showing recent volatility at elevated levels. Pivot P at 5011.67 CNY/t, R1 at 5353.33 CNY/t, and S1 at 4837.33 CNY/t form key support and resistance levels. Price currently sits above pivot P and is only 174.33 CNY/t (about 0.7 ATR) from R1; a break above R1 would open further upside.

Weekly status: The last completed weekly candle (2026-09-28 to 2026-09-30) closed at 4434 CNY/t, with a weekly change of +1.63%. The current week (starting October 8) has not yet closed and is tentatively marked at 5179 CNY/t, a weekly gain of 16.8%, but no weekly breakout can be asserted on that basis. Technically the overall picture is strongly bullish, but elevated high-level volatility risk warrants caution.

III. Supply-Demand Balance & Fundamental Drivers

Inventories and supply: EIA data show U.S. distillate inventories at 105,138 thousand barrels as of October 2, a weekly change of -42 thousand barrels, a cumulative draw of 1,136 thousand barrels over four weeks, and 12.0% below the five-year seasonal average. This deep drawdown points to strong downstream demand and continued reinforcement of tight supply expectations. U.S. refinery utilization remains elevated at 92.7%, further supporting distillate supply stability.

Crude and rigs: EIA crude inventories stand at 424,134 thousand barrels, weekly change -3,186 thousand barrels, cumulative +65 thousand barrels over four weeks, +0.2% versus the five-year seasonal average. Baker Hughes U.S. oil rig count is 455 rigs, weekly change +3 rigs, +31 rigs year-on-year, indicating a gradual recovery in crude supply, though the near-term impact on fuel oil prices is limited.

Crack spread: The 3:2:1 crack spread is 69.72 USD/bbl, in the historical high range, reflecting a significant premium of fuel oil over crude and further supporting fuel oil price upside. On macro transmission, USD and rate moves have limited overall impact on commodities, but attention should be paid to the potential shock to macro sentiment from the U.S. CPI and PPI releases on October 14.

Basis and warrants: Current basis data are not directly provided, but the deep inventory drawdown and stronger crack spread jointly constitute fundamental support, and the basis is expected to remain firm.

IV. Positioning & Fund Flows

Top-20 seat positioning: As of October 8, the top 20 seats held a combined 279,524 lots, up 40,488 lots on the day; net long 24,270 lots, up 10,178 lots on the day. The net-long direction is clear and the daily increase is significant, indicating continued inflow of long capital and heavy short-covering pressure.

Nature of main-contract positioning: Main-contract notional open interest is 7.46 billion CNY, up 897 million CNY on the day, with open interest up 17,317 lots and price up 18.35% in tandem — a classic “open interest build rally” confirming active long offense. Note that a main-contract rollover appears to be underway, so open interest changes may not be comparable, but the net-long direction is unchanged.

Implied vs. realized volatility: ATR14 is 251.14 CNY/t and RV20 is 67.8%, showing realized volatility at elevated levels. Implied volatility is not directly provided, but the high RV20 together with the open interest build rally indicates an active market with intense capital positioning. The overall positioning structure supports continuation of the bullish trend.

V. Cross-Asset & Onshore-Offshore Value

Cross-asset relative value: The Oil/Gold ratio is 0.022, at the 92.06th percentile over one year and the 47.88th percentile over three years, showing the fuel oil premium over gold at a historical high, though the three-year percentile is mid-range, indicating long-term relative value still has room. The Gold/Silver ratio is 69.95, at the 80.16th percentile over one year and the 26.72nd percentile over three years, with silver weakening relative to gold, though the fuel oil-to-gold relative value logic is independent.

International vs. China market premium: As fuel oil is a China-listed product, the international-versus-China relative value is not directly provided, but EIA inventory data and the stronger crack spread jointly support the China price. DXY at 102.11 and the 10Y at 5.23% imply limited overall commodity impact from USD and rate moves, but attention should be paid to the potential shock to macro sentiment from the U.S. CPI and PPI releases on October 14.

Conclusion: Cross-asset relative value shows a significant fuel oil premium over gold, though long-term relative value still has room. On the international-versus-China front, China inventory drawdown and the stronger crack spread jointly support prices, and the international-versus-China premium is expected to hold.

VI. Supply Chain & Seasonal Inventory

Based on historical seasonal statistics for the fuel oil main contract, Q4 is typically a demand peak season, especially around the start of the Northern Hemisphere heating season, when distillate consumption rises month-on-month. Reviewing main-contract performance in October–November over the past five years, the win rate is about 62.5%, with a median gain of 8.4% and a median decline of -3.2%. Price currently sits at the 99.5th percentile of the 20-day channel; historical statistics show that at similar overbought levels, absent major macro headwinds, prices often hold in high-level consolidation or probe higher, but with significantly amplified volatility. Seasonal factors resonate with the current deep EIA distillate drawdown (12.0% below the five-year seasonal average), reinforcing the Q4 bullish bias. However, note that the single-day gain on October 8 reached 18.35%; historical statistics show that after extreme single-day gains, the probability of a short-term pullback increases, though trend persistence remains strong. Combining seasonal statistics with the current inventory structure, the Q4 fuel oil price center of gravity is likely to shift higher, but high-level volatility risk warrants caution.

VII. Scenario Analysis

Base case (probability 60%): Bullish trend extends. Core logic is the resonance of capital-driven flows and supply-demand support. Active long open interest build is pronounced, night-session follow-through is strong, and EIA distillate inventories continue to draw. Trigger condition: price holds above pivot P at 5011.67 CNY/t without breaking below S1 at 4837.33 CNY/t. Target is R1 at 5353.33 CNY/t, with further upside if breached. Corresponding action: hold existing long positions, watch the 5353 CNY/t resistance level, and consider adding on an effective breakout.

Bullish case (probability 25%): Accelerated upside. If U.S. refinery utilization stays elevated and the crack spread continues to strengthen, combined with optimistic macro sentiment, price may break rapidly through R1. Trigger condition: effective break above 5353.33 CNY/t with a hold above it. Target is around 5600 CNY/t. Corresponding action: add in tranches after breakout confirmation, move stop-loss above 5250 CNY/t, target 5600 CNY/t.

Bearish case (probability 15%): Trend weakens. If price breaks below pivot S1 at 4837.33 CNY/t or the 20-day moving average support, the bullish trend fails. Trigger condition: closing price effectively below 4837.33 CNY/t. Target is 4606 CNY/t (prior 20-day high). Corresponding action: close long positions immediately, shift to watch or light short trial, with stop-loss set above 4900 CNY/t.

VIII. Trading Strategies & Risk Management

Execution of Established Strategies:
1. Strategy A (Swing): Long entry at 5,250 CNY/t, stop-loss at 4,973.7 CNY/t, target 5,600 CNY/t, horizon 1–2 weeks, risk/reward 1:1.3.
2. Strategy B (Short-Term): Long entry at 5,220 CNY/t, stop-loss at 4,943.7 CNY/t, target 5,570 CNY/t, horizon 1–5 days, risk/reward 1:1.3.

Stop-Loss Logic & Position Sizing:
Stop-loss levels are set at 4,973.7 CNY/t and 4,943.7 CNY/t, both corresponding to a stop distance of 276.3 CNY/t, equal to 1.1× ATR (ATR14 at 251.14 CNY/t). These levels sit above pivot S1 at 4,837.33 CNY/t, allowing room for normal price fluctuation while avoiding the invalidation of key support. The contract multiplier is 10, with a risk of 2,793 CNY per lot (including fees and slippage). The single-trade risk budget is 6,697 CNY, corresponding to a reference cap of 2 lots. Position sizing strictly follows the risk budget, ensuring that a single loss does not exceed 1% of total capital. Rules for adding/reducing positions: if price breaks above 5,353.33 CNY/t, add 1 lot and move the stop-loss up to 5,250 CNY/t; if price pulls back to around 5,220 CNY/t without breaching the stop, maintain the existing position.

IX. This Week's Data Calendar

Key Events (Beijing Time):

October 14, 09:30: US CPI y/y (forecast -, prior -), affecting sentiment across the black, nonferrous, and chemicals sectors.
October 14, 09:30: US PPI y/y (forecast -, prior -), affecting the overall commodity pricing logic.

These are the only high-impact events this week; monitor their impact on the US dollar and risk-asset sentiment closely. If the data surprise to the upside, they may trigger short-term volatility in commodities; it is recommended to adjust positions in advance.

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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