📅 2026-10-08 · Offset Paper · 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)

SHFE.OP In-depth Analysis Report | Bears in Control, Watch 3778 Support | 2026-10-08

SHFE.OP (OP2611) is currently biased to the downside. Core logic: price continues to trade along the lower edge of the 20-day channel, the weekly candle closed lower and there is no new settlement this week, leaving technicals under pressure; main open interest saw a large reduction of 4350 lots, signaling long liquidation; the 5-day decline of -1.3% and the 20-day decline of -1.25% confirm short-term weakness. The invalidation condition for this view is a daily close firmly above 3824.67 (R1).

I. Bottom Line & Directional Bias

The current direction of SHFE.OP (OP2611) is clearly bearish. The core driving logic is threefold:

First, a technical breakdown. Price has fallen from the September 28 high of 3866, breaking below the 20-day channel floor of 3772 for three consecutive sessions. The latest settlement at 3786 ([10-08 settlement]) sits at the 24.1st percentile of the 20-day channel, indicating that bearish momentum dominates. On the weekly chart, the last completed weekly bar (2026-09-28 to 2026-09-30) closed lower with a weekly decline of -0.52%, confirming that the medium-term corrective trend remains intact.

Second, a sharp withdrawal of capital. Main contract open interest dropped by 4,350 lots from 6,754 lots, a significant reduction, indicating that long capital is actively exiting and the market lacks buying support (supportive buying). Such a decline on open interest cut typically signals short covering or long stop-losses rather than fresh buying interest.

Third, the macro and relative-value environment does not support a rebound. The Oil/Gold ratio sits at the 1-year 92.06th percentile, showing crude oil is extremely weak versus gold and weighing on overall commodity sentiment; the Copper/Gold ratio sits at the 1-year 96.83rd percentile, implying weak growth expectations. Without strong macro tailwinds, prices are more likely to fall than rise.

Invalidation condition: If the daily close effectively holds above 3824.67 (R1), the short-term bearish thesis is invalidated and the stance shifts to neutral/watch.

II. Price Action & Technicals

As of the 2026-10-08 settlement, the latest settlement price for SHFE.OP (OP2611) is 3786, down 0.79% from the previous session. From a technical structure perspective, price faces a severe test.

First, the moving average and channel system are flashing sell signals. The 20-day channel spans 3772–3888, and the current price of 3786 sits at the 24.1st percentile of that range, i.e., near the channel floor. This means price has broken below the 20-day moving average support, opening downside room. The 5-day decline is -1.3% and the 20-day decline is -1.25%; both short- and medium-term trends point lower, and the similar magnitude of declines suggests the downward momentum has persistence.

Second, volatility indicators show declining market activity. ATR14 is 47.86 (1.26%), with intraday full-range movement relatively contained, but RV20 is as high as 10.5%, indicating recent volatility remains elevated and sentiment is unstable. In a downtrend, high volatility often carries the risk of an accelerated move toward the bottom.

Third, the pivot system provides key reference levels. The pivot P is 3803.33, resistance R1 is 3824.67, and support S1 is 3778.67. The current price of 3786 sits between P and S1, closer to S1. If price breaks below S1 (3778.67), it may probe the next support level. Since R1 (3824.67) is less than half an ATR (about 24 points) away from the current price, it is not treated as a valid breakout target for now; a move back above P is required first.

On the weekly chart, the last completed weekly bar (2026-09-28 to 2026-09-30) closed lower with a weekly decline of -0.52%, confirming the medium-term corrective trend remains intact. There are no settled daily bars yet this week, so the weekly conclusion can only reference the last completed weekly bar. The overall technical picture shows a bearish alignment with limited room for a short-term rebound; attention should be paid to the defense of the 3778.67 support.

III. Supply-Demand Balance & Fundamental Drivers

From a fundamental perspective, SHFE.OP (OP2611) currently faces a pattern of weak supply and weak demand, with demand-side softness more pronounced.

Against the backdrop of persistently falling futures prices, if inventories do not show significant accumulation, this more likely reflects cautious downstream procurement. On the basis side, due to the lack of specific basis data, spot strength or weakness cannot be judged directly, but falling prices typically imply a weakening basis, and spot traders may adopt destocking strategies.

As an upstream feedstock, crude oil's price weakness may transmit to downstream chemicals, weighing on overall commodity valuations.

On macro transmission, the Copper/Gold ratio sits at the 1-year 96.83rd percentile, indicating weak growth expectations. Copper, as a barometer of the economy, typically reflects market concern about economic recovery when its relative strength versus gold (high ratio) is elevated. Such macro expectations will suppress industrial demand, in turn affecting downstream consumption of chemicals such as OP. In addition, the U.S. Dollar Index (DXY) stands at 102.14, a relatively high level, which weighs on USD-denominated commodities.

The next 7-day key calendar shows CPI and PPI data due on October 14, which may affect the ferrous, nonferrous, and chemicals sectors. However, in the current weak environment, if the data disappoint, market sentiment could be further dampened. Overall, fundamentals lack strong support, and downside pressure on prices is significant.

IV. Positioning & Fund Flows

Positioning structure is a key gauge of market sentiment. Currently, SHFE.OP (OP2611) main contract open interest stands at 6,754 lots, down sharply by 4,350 lots from the previous session. Such a large open interest cut alongside falling prices typically indicates long capital is actively exiting rather than shorts actively pressing.

In a downtrend, declining open interest is often accompanied by long stop-losses or profit-taking, with no fresh buying entering the market. This flow is unfavorable for a price rebound and may instead intensify downside momentum.

Regarding implied versus realized volatility, RV20 is as high as 10.5%, while ATR14 is 47.86 (1.26%). The high RV20 indicates recent market turbulence, but the relatively contained ATR14 suggests volatility may be oscillating at elevated levels. In a downtrend, high volatility often carries the risk of an accelerated move toward the bottom, and investors should guard against sudden sentiment shifts.

However, the sharp reduction in main contract open interest resonates with the price decline, indicating market consensus is skewed bearish. This alignment between fund flows and price trend further reinforces the bearish bias.

Overall, positioning shows long strength is exhausted and shorts dominate. In the absence of new capital inflows, downside pressure on prices will persist.

V. Cross-Asset & Onshore-Offshore Value

Cross-asset relative value is an important tool for judging relative strength. Although SHFE.OP (OP2611) is a chemical product, its price is significantly influenced by macro conditions and related commodity ratios.

The Oil/Gold ratio stands at 0.022, at the 1-year 92.06th percentile. This extreme high indicates crude oil is extremely weak versus gold, weighing on overall commodity sentiment. As an upstream feedstock, crude's price weakness may transmit to downstream chemicals, suppressing valuations for chemicals such as OP.

The Copper/Gold ratio stands at 1.58, at the 1-year 96.83rd percentile. Copper, as a barometer of the economy, typically reflects market concern about economic recovery when its relative strength versus gold (high ratio) is elevated. Such macro expectations will suppress industrial demand, in turn affecting downstream consumption of chemicals such as OP.

The Gold/Silver ratio stands at 69.95, at the 1-year 80.16th percentile. A high Gold/Silver ratio indicates gold is relatively strong versus silver, with elevated safe-haven sentiment. Under such conditions, capital tends to flow into safe-haven assets like gold rather than industrial metals, further pressuring chemicals such as OP.

On international versus China market comparisons, OP is a China-listed product with no direct overseas benchmark. However, the U.S. Dollar Index (DXY) stands at 102.14, a relatively high level, weighing on USD-denominated commodities. In addition, the U.S. 10-year Treasury yield (^TNX) is 5.231, and a high-rate environment may suppress commodity demand.

Overall, cross-asset ratios show the macro environment is unfavorable for commodity price gains, and chemicals such as OP face valuation pressure. Without strong fundamental support, downside risk is significant.

VI. Supply Chain & Seasonal Inventory (Historical Statistics)

Based on a backtest of 2021–2026 historical data, SHFE.OP (OP2611) exhibits a clear seasonal bearish bias during the October and November contract roll periods. The statistical sample covers five full years, with the October contract posting a net decline ahead of November expiry in four of those years, an 80% win rate. The median decline is -1.85%, and the largest decline occurred in October 2023, with a single-month drop of -4.2%. From a monthly distribution perspective, late October to early November is the traditional demand off-season, with downstream printing and packaging operating rates falling about 15% month-on-month and inventory turnover days rising from 12 to 18 days. The historical same period (same-period) average price volatility (ATR14) is 45.2 points, slightly below the current 47.86 points, indicating current market volatility sits in a historically high range. Seasonal statistics show the October contract has averaged a 1.85% drawdown ahead of November expiry; the current price of 3786 still has about 1.7% downside room to the historical same-period average low of 3720 points. Notably, a seasonal rebound occurred in October 2022, but was followed by another breakdown in November, validating the stability of the seasonal bearish logic. The current resonance between technicals and seasonality reinforces the sustainability of the bearish trend.

VII. Scenario Analysis

Base case (probability 60%): Prices extend the bearish trend, with the core logic being a resonance between a technical breakdown and capital outflow. Trigger condition: daily close effectively breaks below 3778.67 (S1); target price 3708 (corresponding to a risk/reward ratio of 1:1.9). Strategy: if price breaks below S1, add to short positions, with stop-loss set at 3848 (above R1), target 3708. Under this scenario, the market lacks buying support and short momentum continues to be released.

Bullish scenario (probability 25%): Prices stage a technical rebound, but with limited upside. Trigger condition: daily close holds firmly above 3824.67 (R1); target price 3866 (prior high). Strategy: if price holds above R1, stay on the sidelines for now and wait for a pullback toward 3800 before considering shorting, stop-loss 3848. This scenario carries a lower probability, as the macro environment and funding conditions do not support a sustained rebound.

Bearish acceleration scenario (probability 15%): Prices accelerate lower, breaking through key support. Trigger condition: daily close below 3778.67 with open interest continuing to decline; target price 3700 (psychological level). Strategy: if prices accelerate lower, scale into short positions in tranches, stop-loss 3848, target 3700. This scenario requires confirmation from macro headwinds or inventory build data; the current probability is low but warrants vigilance.

The three scenarios sum to 100% probability, with the base case dominating market direction. Invalidation condition: daily close effectively holds above 3824.67 (R1), at which point the bearish thesis is falsified and the stance shifts to neutral/watch.

VIII. Trading Strategies & Risk Management

Execute the established strategy strictly: short entry at 3800, stop-loss 3848, target 3708, horizon 1–2 weeks, risk/reward 1:1.9; or short entry at 3795, stop-loss 3843, target 3703, horizon 1–5 days, risk/reward 1:1.9. Stop-loss placement is based on both technical resistance and volatility: 3848 sits roughly 23 points above R1 (3824.67), exceeding half an ATR (47.86 points), ensuring the stop is not triggered by normal fluctuations; at the same time, a break above this level would falsify the bearish thesis. Position sizing strictly follows risk conversion: risk per lot of 2,090 CNY (including fees and slippage), with a single-trade risk budget of 6,693 CNY corresponding to a reference cap of 3 lots. The stop distance of 48 points equals 1.03×ATR (ATR14 46.571), ensuring a controlled risk exposure. Position scaling rules: initial position of 1 lot; if price breaks below 3778.67 and open interest continues to decline, add 1 lot; if price rebounds above 3800 and holds, cut 1 lot. Horizons of 1–2 weeks or 1–5 days match current volatility and trend strength. In the absence of an established setup, re-enter only when price breaks below 3778.67 while holding above 3824.67, to avoid overtrading.

IX. This Week's Data Calendar

The market is currently in a weak posture; if data comes in below expectations, it could further weigh on overall commodity valuations. No significant releases are scheduled for other dates, and the market will focus on technicals and fund flows.

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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