I. Bottom Line & Directional Bias
Conclusion: Moderately bullish. SHFE Gold 2612 (delivery contract, roll on 2026-09-24) settled at 905.04 (2026-09-30), +1.42% on the day, but -2.69% over 5 days and -5.14% over 20 days; the 20-day channel position stands at 21.2%, with price in the lower band region — a corrective rebound after an oversold move. Three core reasons: first, main contract notional open interest of RMB 205.42bn, daily change -RMB 209mn, open interest -229 lots; the +1.42% price gain on falling open interest is short covering, i.e. release of selling pressure rather than fresh shorts entering; second, GVZ at 23.74 sits at the 20th percentile of the past year, GC=F RV20 at 20.4%, IV−RV at +3.3 vol pts — options are not pricing downside risk in an extreme manner, leaving room for the rebound to extend; third, the international-vs-China premium swung from -0.67% five days ago to +0.87%; after China tax adjustment, the domestic market is relatively firm versus the international market, the import window is biased to open, and China's pricing influence is marginally rising. Invalidation conditions: if SHFE Gold 2612 settles below 892.62 (20-day low), or COMEX December gold GCZ26 settles below 4132.4 (S2), the oversold-repair thesis is falsified and we move to neutral/watch.
II. Price Action & Technicals
SHFE Gold 2612 settled at 905.04 (2026-09-30), closing at 910.58, +1.42% versus the prior settlement, reclaiming the 900 round-number level. Down -2.69% over 5 days and -5.14% over 20 days — still a rebound within a medium-term downtrend channel. The 20-day range is 892.62–977.26, position 21.2%, only 12.42 points above the lower band and 71.68 points below the upper band; the risk-reward skews to limited downside and open upside. ATR14 is 15.07 (1.65% of the settlement price, full intraday range), RV20 is 20% — volatility is moderately elevated but not out of control. Pivot P 907.37, R1 914.47, S1 903.47; the settlement price of 905.04 sits 2.33 points below P, only 1.57 points above S1, and 9.43 points below R1. The gap between S1 and the current price is less than half an ATR (7.54 points), so S1 is not a tradeable level; R1 is 9.43 points away, also less than one ATR, and is for reference only. Weekly view: the last completed weekly bar (2026-09-21 to 09-24) opened at 946.5, high 951.84, low 927.4, close 927.66, weekly change -2.49% — a second consecutive down week, with the weekly timeframe still in correction. This week (from 2026-09-28, 3 trading days) is not yet closed, currently quoted at 910.58 (-1.84%); no weekly conclusions are drawn from it. Night session: no new night session data after the settlement of the prior trading day before the report date; prices are on a settlement basis. International comparison: COMEX December gold GCZ26 settled at 4186.7 (2026-09-30), +0.17% on the day, -3.05% over 5 days, -4.77% over 20 days; 20-day range 4143.1–4558.5, position 10.5%, 52-week range 3793.4–5586.2; Asian morning 2026-10-01 07:00 quote 4184.4 (-0.05% vs settle), high 4192, low 4183.9 — the international market is stabilising in tandem.
III. Supply-Demand Balance & Fundamental Drivers
Inventory: COMEX gold registered stocks 15.14 Moz (470,907 kg, 2026-09-29), daily change +1,244 oz (+0.3%) — a modest increase, with the absolute level posing no delivery pressure; SHFE gold warrants 116,028 kg (2026-09-30), daily change -3 kg (-0.0%), essentially flat for two consecutive days (116,031 kg on 09-29) — no signs of physical accumulation in China. Basis and international-vs-China: SHFE.AU versus GC=F at a +0.87% premium after China tax adjustment (2026-09-30), versus -0.67% five days earlier — swinging from an import loss to a small premium, with the import window biased to open; this spread is a like-for-like comparable basis, excluding freight and premium/discount, and serves only as a proxy for import profitability. Macro transmission: the US 10-year Treasury yield at 5.293 (+0.72%) and the dollar index at 101.46 (+0.09%) — rising rates and a stronger dollar both weigh on gold, the core macro backdrop for the -5.14% 20-day move; however, with yields already at high absolute levels, further marginal upside is constrained by employment data. On the headlines, Morgan Stanley's Gower treats 4,000 dollars as strong support and lists three supporting factors; CME notes September gold option volumes were flat, with prices about 9% below the August highs — sentiment is cautious but not panicked. Supply-demand balance sheets (WASDE, ICSG, etc.) are not connected and are not cited. Processing margins and rig data are not applicable to gold and are omitted.
IV. Positioning & Fund Flows
China seats: SHFE.AU top-20 seats — longs 214,928 lots (-257), shorts 58,376 lots (-2,349), net long 156,552 lots (+2,092), as of 2026-09-30. The cut in shorts (-2,349 lots) far exceeded the cut in longs (-257 lots), with net longs up 2,092 lots, corroborating the +1.42% price gain — a rebound driven by active short exit rather than new long positioning. Main contract notional open interest RMB 205.42bn, daily change -RMB 209mn, open interest -229 lots — the rising-price-on-lower-open-interest (short covering) characterisation is clear. International COT: as of 2026-09-22, managed money net long 127,389 lots, weekly change -5,727 lots — a fourth consecutive weekly decline in net longs (09-15: -1,856; 09-08: -1,799; 09-01: -7,976), a cumulative reduction of about 17,358 lots over four weeks; over the same period prices fell, with COT net longs declining in line with price and no divergence — indicating international long liquidation is a contemporaneous consequence of the price fall rather than a leading signal. Crowding: netPct 30.86%, 3-year percentile 92.46, CTA proxy +62, hedge ratio 15.07% — net long share remains at a historically high percentile, and trend-following funds are still biased long; however, crowding edged up from 92.03 on 09-01 to 92.46, with no marginal relief, constituting a medium-term risk. Volatility: ^GVZ 23.74 (1-day -0.63 pts, 1-year percentile 20%), GC=F RV20 20.4%, IV−RV +3.3 vol pts, IV/RV 1.16 — options are paying a modest premium for event risk, with no panic bid for puts.
V. Cross-Asset & Onshore-Offshore Value
Gold-silver ratio 69.13, 1-year percentile 72.62%, 3-year percentile 24.21% — high on a 1-year basis but low on a 3-year basis; the long-term pattern of silver relative strength is intact, while the elevated short-term ratio indicates silver has weakened relatively, offering no directional signal for gold. Copper-gold ratio 1.58 (ratio×1000), 1-year percentile 95.63%, 3-year percentile 53.44% — at a very high 1-year percentile, with growth expectations relatively firm versus gold and allocation skewed toward industrial attributes, diverting some flows from gold. Oil-gold ratio 0.0216, 1-year percentile 86.9%, 3-year percentile 44.84% — crude relatively strong versus gold, with the inflation trade not fully rotating into gold. International vs China: SHFE.AU at a +0.87% premium to GC=F (versus -0.67% five days earlier), turning positive; after China tax adjustment the domestic market is relatively expensive, and the import window is biased to open; this is a like-for-like basis, excluding freight and premium/discount. Term structure (international comparison): CONTANGO, M1-M2 at -15.5 (-0.37%), RY -4.44%, slope 22.17 — the near-month discount structure reflects only limited spot physical tightness, and the deferred premium is unfavourable for long rolls, though the magnitude is mild.
VI. Supply Chain & Seasonal Inventory (Historical Statistics)
Seasonal statistics (same date, next 20 trading days, past 8 years): average -0.82%, median -0.9%, up in 3 of 8 years; best 2024 +4.83%, worst 2014 -5.65%. The sample is only 8 years, so statistical power is limited; background reference only. We are at the start of October, and the historical median for this period is negative — seasonality is unfavourable for longs, but the magnitude (median -0.9%) is far smaller than the -5.14% already realised over 20 days, i.e. the seasonal disadvantage has been substantially priced into the prior decline. Risk metrics (international comparison, retrospective): DD52w 25.06%, DD20d 8.18%, Sharpe30 -3.192, VaR95 -2.92% — 30-day risk-adjusted returns are negative, with a 20-day maximum drawdown of 8.18%, directionally consistent with SHFE gold's -5.14% over 20 days; short-term risk has been released fairly fully. Overall, bearish seasonality and bullish oversold repair offset each other, leaving the bullish conclusion in Section I unchanged, but requiring position control.
VII. Scenario Analysis
Base case (probability 55%): Directional bias bullish. Trigger: SHFE Gold 2612 settlement holds above 903.47 (S1) and effectively breaks 907.37 (P), while COMEX December gold GCZ26 holds 4159.6 (S1). Target levels: SHFE Gold 2612 upside to 914.47 (R1), then the 920–925 zone; GCZ26 corresponding to 4232.5 (R1). Corresponding action: light-size trial long, stop-loss set below 892.62 (20-day low), horizon 1–5 trading days.
Bullish case (probability 25%): Trigger: October 2 nonfarm payrolls (consensus 89K, prior 162K, surprise threshold ±73K) comes in significantly below consensus, the US Dollar Index breaks below 101, and COMEX December gold GCZ26 breaks above 4232.5 (R1) and holds. Target levels: SHFE Gold 2612 upside to 930–940, GCZ26 upside to 4278.2 (R2). Corresponding action: add on breakout, stop-loss moved up to below 903.47 (S1).
Bearish case (probability 20%): Trigger: nonfarm payrolls surprise stronger (above 162K) combined with unemployment below 4.1%, US Dollar Index and UST yields rising in tandem, SHFE Gold 2612 settlement breaks below 892.62 (20-day low), and GCZ26 loses 4132.4 (S2). Target levels: SHFE Gold 2612 downside to 880–885, GCZ26 downside to 4100. Corresponding action: exit long positions; reversal requires waiting for stabilization signals, do not chase shorts.
The three scenario probabilities sum to 100%; the base-case direction is consistent with Section I.
VIII. Trading Strategies & Risk Management
Strategy 1 (bullish, preferred): SHFE Gold 2612 light-size trial long in the 903–906 range, entry reference near 905.04 (settlement), stop-loss below 892.62 (20-day low), target 914.47 (R1), horizon 1–5 trading days, position size no more than 15% of total capital, conviction 6. Stop-loss is about 12.42 points from entry, close to 1 ATR14 (15.07).
Strategy 2 (bullish, add on breakout): If SHFE Gold 2612 settlement effectively breaks above 907.37 (P) and holds, increase position to 25% of total capital, move stop-loss to below 903.47 (S1), target 920–925, horizon 3–8 trading days, conviction 5.
Risk management: October 2 at 20:30 (Beijing time) sees the concentrated release of nonfarm payrolls, unemployment rate, and average hourly earnings — the week's largest event risk; recommend reducing positions to within 10% ahead of the data or hedging with options; also watch the FOMC minutes on October 8 at 02:00.
IX. This Week's Data Calendar
Beijing time October 2 at 20:30: US average hourly earnings m/m (consensus 0.3%, prior 0.3%, threshold ±0.1%), nonfarm payrolls change (consensus 89K, prior 162K, threshold ±73K), unemployment rate (consensus 4.1%, prior 4.1%, threshold ±0.1%), impacting SHFE Gold, SHFE Silver, and nonferrous metals (via the US dollar). October 5 at 22:00: ISM services PMI (consensus 54, prior 55.4, threshold ±1.4). October 7 at 22:30: EIA crude oil inventory change. October 8 at 02:00: FOMC minutes.
Methodology correction (2026-10-12): This data block contains no pre-holiday position risk note (the report date is not within 3 trading days before any long holiday); the countdown wording in the original draft has been removed, and all other content and structure remain unchanged.
This report is generated automatically from public quantitative and macro data for research and market tracking only. It does not constitute any investment advice.