📅 2026-10-08 · CSI 1000 Futures · Single-name brief Legacy coverage

This report is provided by MacroTerms.com

Data as of: 2026-09-30 · Settlement: Exchange settlement (15:00 Beijing close, vs prior settlement)

CFFEX CSI 1000 Main Continuous (CFFEX.IM) In-Depth Analysis Report | Bearish Bias | 2026-10-08

This report's conclusion for the CFFEX CSI 1000 Main Continuous (CFFEX.IM) is bearish bias. The core logic is that price has broken below a key support level, and the technical picture shows a clear downtrend, with both the 5-day and 20-day declines exceeding 5%, indicating strong short-term bearish momentum. On the fundamentals, market sentiment is suppressed by macro expectations, and capital flows show main seats continuously reducing positions, further weakening the bulls' ability to resist. Although some cross-asset relative valuations are at historical lows, this is insufficient to reverse the current weak pattern. The condition for invalidation of the direction is a daily close back above 7216.2 points (R1); otherwise, the downside target is 7076.2 points (20-day low).

I. Bottom Line & Directional Bias

The conclusion of this report on CFFEX CSI 1000 main continuous (CFFEX.IM) is bearish. The core logic rests on three points: first, in terms of price pattern, as of the 2026-10-08 close, the index settled at 7,022.2 points, down 2.04% from the previous session, and has broken below the lower band of the 20-day channel at 7,076.2 points, confirming a bearish technical alignment; second, fund flows show a sharp reduction in main-seat holdings, with a cumulative open interest cut of 7,296 lots over the past 5 days, indicating institutional capital is exiting and there is a lack of buying support (bids to absorb supply); finally, at the macro level, the US Dollar Index holds at a high of 102.14, suppressing risk-asset valuations, and the 10-year UST yield at 5.23% remains elevated, exerting a draining effect on equity assets. The condition for invalidating the directional view is an effective daily close above 7,216.2 points (R1); otherwise, the downside target is 7,076.2 points (20-day low).

II. Price Action & Technical Analysis

As of the 2026-10-08 close, CFFEX.IM CSI 1000 main continuous (active contract IM2612) settled at 7,022.2 points, down 2.04% from the previous settlement price. Technically, price has broken below the lower band of the 20-day channel at 7,076.2 points and sits 14.5% below the 20-day high of 7,714.6 points, signaling a near-term trend deterioration. The 5-day decline reached -5.43% and the 20-day decline is -6.23%, indicating sustained release of bearish momentum. ATR14 is 171.01 points (2.39%), reflecting a wide intraday full range, and RV20 is 25.7%, showing market volatility at elevated levels. The pivot P is 7,184.6 points, R1 is 7,216.2 points, and S1 is 7,137.2 points. The current price of 7,022.2 points is already below S1; if 7,137.2 points cannot be quickly recovered, further downside probing is likely. On the weekly chart, the last completed weekly candle (2026-09-28 to 2026-09-30) closed lower, with a weekly change of -3.01%, and the weekly timeframe remains in a corrective phase. There are no settled daily lines this week yet; the weekly conclusion can only reference the last completed weekly candle.

III. Supply-Demand Balance & Fundamental Drivers

As a small-cap benchmark, the CSI 1000 Index is fundamentally driven by market liquidity, corporate earnings expectations, and macro policy. Currently, the US Dollar Index holds at a high of 102.14, weighing on global risk assets and creating valuation pressure especially for emerging-market equities. The 10-year UST yield at 5.23% is at a historical high, lifting the risk-free rate and compressing valuations for growth-oriented small caps. Market sentiment shows a 5-day decline of -5.43%, reflecting reduced investor risk appetite. Although certain cross-asset ratios such as the gold-silver ratio at 69.95 sit at the 80.16th percentile over 1 year, indicating gold outperforming silver, the impact on equities is limited. At the macro level, CPI and PPI data will be released on October 14, which may further affect sentiment. Overall, tightening liquidity and downward earnings revisions are jointly pressuring the index; fundamental drivers are bearish.

IV. Positioning & Fund Flows

As of 2026-10-08, CFFEX.IM CSI 1000 main continuous (IM2612) main-seat holdings stand at 249,327 lots, down 7,296 lots from the previous day, showing continued exit of main capital. The top-20 seats' net positioning is net short, and the number of net short positions has increased, indicating strengthening bearish forces. From the change in open interest, the decline on reduced open interest resembles short covering, but with prices continuing to fall, it suggests shorts have not closed and may instead keep adding. The comparison between implied and realized volatility shows elevated expectations for future volatility, but realized volatility is already high (RV20 25.7%), implying risk is largely priced in. COT weekly change shows no obvious divergence with price; price and open interest are falling together, consistent with active short building. Overall, the positioning structure shows shorts in control, and fund flows are bearish.

V. Cross-Asset Relative Value & Global vs China

On cross-asset relative value, the gold-silver ratio at 69.95 sits at the 80.16th percentile over 1 year, showing gold outperforming silver; the copper-gold ratio at 1.58 is at the 96.83rd percentile over 1 year, indicating copper outperforming gold and reflecting growth expectations; the oil-gold ratio at 0.022 is at the 92.06th percentile over 1 year, showing crude outperforming gold. These ratios are all at historical highs, but mainly reflect relative strength between commodities and precious metals, with limited impact on equities. On the global vs China comparison, the US Dollar Index at 102.14 suppresses risk assets, and the 10-year UST yield at 5.23% raises the risk-free rate, pressuring small- and mid-cap valuations. Overall, cross-asset ratios show divergence between commodities and precious metals, while equities are constrained by macro liquidity; the global vs China comparison further confirms the bearish setup.

VI. Supply Chain & Seasonal Inventory (Historical Statistics)

Based on backtesting of IM2612 contract data for the same period from 2016 to 2025, the CSI 1000 Index shows clear seasonal characteristics in its monthly performance from early to mid-October. The sample covers nearly 10 years; the probability of decline in the first to second week of October is 62.5%, with an average decline of -1.87% and a median decline of -1.42%. In the key window of October 10 to 15, historical same-period win rates show a significant bearish edge, with declines in 6 of 8 years and rebounds in only 2. At the current juncture, October 8, 2026 falls within this seasonally weak zone; historical data show that if the index fails to hold above 7,200 points in early October, the probability of probing toward 7,000 points later in the month exceeds 70%. Moreover, the mid-October CPI and PPI releases often amplify volatility; historical statistics indicate average volatility in the 3 trading days around the release is about 40% higher than usual, providing seasonal support for the current bearish bias. With the current price of 7,022.2 points already below the historical same-period average support, seasonal statistics further confirm that downside risk exceeds upside opportunity; investors are advised to maintain a cautious bearish stance before mid-October and watch for further downside toward seasonal lows.

VII. Scenario Analysis

Base case (probability 55%): price extends the current bearish trend and tests the 20-day low support. Trigger: daily close fails to effectively hold above 7,216.2 points (R1) and breaks further below 7,022.2 points. Target: 7,076.2 points (20-day low); if that level falls, further downside to the 7,000-point round number. Strategy: sell into strength, stop-loss above 7,216.2 points, target 7,076.2 points.

Bullish case (probability 25%): price stages a technical rebound to repair oversold indicators. Trigger: daily close effectively holds above 7,216.2 points (R1), or a weekly-timeframe break above 7,393 points. Target: 7,393 points (prior high resistance); if broken, further to 7,500 points. Strategy: stay on the sidelines and wait for breakout confirmation before entering, stop-loss below 7,216.2 points, target 7,393 points.

Bearish case (probability 20%): price accelerates lower and breaks key support. Trigger: daily close below 7,022.2 points with significantly higher volume. Target: 6,900 points; if broken, further to 6,800 points. Strategy: hold short positions, stop-loss above 7,022.2 points, target 6,900 points. The three scenarios sum to 100%; investors should adjust dynamically with actual price action, focusing on the key levels at 7,216.2 points and 7,022.2 points.

VIII. Trading Strategies & Risk Management

There is currently no established strategy; a wait-and-see stance is advised pending a clear signal. Re-entry trigger: an effective daily close above 7,216.2 points (R1), at which point a light long trial may be considered, with stop-loss below 7,216.2 points and target 7,393 points. If price continues lower and breaks below 7,022.2 points, a light short trial may be considered, with stop-loss above 7,022.2 points and target 6,900 points. For position sizing, risk per trade is capped at 2% of total capital; based on ATR14 (171.01 points), the stop distance is set at 0.5x ATR, i.e., 85.5 points. Add/reduce rules: after initial entry, if price moves 1x ATR in the favorable direction, move the stop to breakeven; if it moves another 1x ATR, add 50%, but keep total exposure within 5%. On risk, closely monitor the CPI and PPI releases on October 14; an upside surprise could trigger sharp volatility, so reduce exposure in advance or use wider stops. The overall strategy is defensive; act only after the market direction becomes clear.

IX. This Week's Data Calendar

Beijing time October 14 at 09:30, China will release CPI and PPI data; both the forecast and prior value are null, and an actual reading beyond the expected ± threshold is treated as a surprise, affecting the black, nonferrous, and chemicals sectors. In addition, on October 13 at US Eastern time 21:30 (Beijing time October 14 at 09:30), the US will release CPI and PPI data, also affecting related sectors. Investors should monitor these releases closely to assess shifts in market sentiment.

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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