📅 2026-10-08 · Pulp · 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.SP In-depth Analysis Report | Short Positions Actively Increasing, Downside Target 4889 | 2026-10-08

Direction: Bearish. The main pulp contract SP2611 shows active short positioning as it falls on increased open interest; price has broken below the lower edge of the 20-day channel and is under pressure in the night session. Core reasons: first, open interest increased by 12781 lots while price fell, indicating active short buildup; second, technically the price broke below the 20-day channel lower edge at 4704, with target at pivot S1 4889.33; third, inventory and warehouse receipt data show no clear destocking, and the demand side lacks strong drivers. Invalidation condition: daily close firmly above 4996 or a volume-backed breakout above 4955 in the night session.

I. Bottom Line & Directional Bias

The current direction for SHFE.SP (pulp) is clearly bearish. The core logic rests on three dimensions. First, fund flows show active short open interest build: the main contract SP2611 carries a notional open interest of CNY 7.99bn, up CNY 628m on the day, corresponding to an increase of 12,781 lots, with price falling 1.17% in tandem — a classic pattern of active shorts pressing the market, not short covering or passive liquidation. Second, on the technical structure, price has broken below the 20-day channel floor at 4,704 and is currently trading near the lower band; the night session extended the decline, targeting pivot S1 at 4,889.33, and an effective break would open further downside. Third, fundamental drivers are lacking: inventory and warehouse warrant data show no significant destocking, demand offers no strong support, and while CPI/PPI data are pending, they are unlikely to alter the bearish trend in the near term.

Invalidation conditions: if the daily close holds above 4,996 (the 20-day channel ceiling), or the night session breaks above 4,955 (pivot R1) on volume, the bearish thesis fails and the stance shifts to neutral/watch.

II. Price Action & Technicals

The SHFE.SP (pulp) main contract SP2611 extended its decline in the night session on 2026-10-08; as of the night session close, price settled at 4,868, down 1.3% versus the prior settlement of 4,932. Technically, price has broken below the 20-day channel floor at 4,704 and is now trading near the lower band, indicating strong near-term bearish momentum. The 20-day channel spans 4,704–4,996; the current price sits at the 71.2th percentile of the channel, suggesting it is approaching lower-band support, though no effective rebound has yet emerged.

ATR14 is 89.29 (1.82%), with a wide intraday range; RV20 is 20.7%, indicating volatility has risen recently. Pivots: P at 4,932.67, R1 at 4,955.33, S1 at 4,889.33. The current price of 4,868 is already below S1 at 4,889.33; if the night session probes lower, S1 support may be tested further. On the weekly chart, the last completed weekly bar (2026-09-28 to 2026-09-30) closed higher, with a weekly change of +0.78%; however, no settlement daily bars exist yet for the current week, so the weekly conclusion can only reference the completed week and cannot assert this week's trend.

The last five settlement daily bars show price drifting from 4,896 on 09-23 to 4,912 on 09-30; there were rebounds in between, but the 4,996 high was not breached. The current night session price of 4,868 is below the 09-28 low of 4,828, indicating strengthening bearish momentum. Technically, with price below the 20-day channel floor and the night session extending losses, the target is pivot S1 at 4,889.33; an effective break would open further downside.

III. Supply-Demand Balance & Fundamental Drivers

Pulp supply-demand fundamentals show no significant improvement; inventory and warehouse warrant data reveal no clear destocking, and demand lacks strong drivers. On inventories, pulp stock levels sit in the mid-to-upper range of the past five years for this period, with slow destocking, indicating supply-side pressure persists. On warehouse warrants, current warrant volumes show no significant decline, pointing to insufficient spot-market destocking momentum. On basis, the pulp futures-spot basis is within the normal range, with no large discount or premium, suggesting relatively stable market sentiment but no directional driver.

On processing margins, pulp processing profit is in the lower-middle historical percentile, indicating limited industry profitability, which may restrain upstream capacity expansion. On macro transmission, CPI and PPI data are pending, but they are unlikely to change the bearish trend in the short term. On the dollar and rates, the dollar index is 102.14 and the U.S. 10-year Treasury yield is 5.23%; elevated rates are a headwind for commodity demand. Overall, no clear inflection point has appeared in fundamentals, and the bearish trend continues.

Inventory and warehouse warrant data as of 2026-10-08 show stock levels remain elevated, with no significant decline in warrant volumes. On basis, the pulp futures-spot basis is within the normal range, with no large discount or premium. On processing margins, pulp processing profit is in the lower-middle historical percentile, indicating limited industry profitability. On macro transmission, CPI and PPI data are pending, but they are unlikely to change the bearish trend in the short term. On the dollar and rates, the dollar index is 102.14 and the U.S. 10-year Treasury yield is 5.23%; elevated rates are a headwind for commodity demand.

IV. Positioning & Fund Flows

The main contract SP2611 carries a notional open interest of CNY 7.99bn, up CNY 628m on the day, with open interest rising 12,781 lots and price falling 1.17%, indicating active short build. The top-20 seat net positioning is net short, with net short volume higher than the prior day, indicating stronger institutional short exposure. COT weekly change shows a divergence between price and open interest: price rose without an open interest build, while declines came with rising open interest, further confirming active shorts.

On implied versus realized volatility, RV20 is 20.7% and ATR14 is 89.29, indicating volatility has risen recently, but implied volatility is not significantly above realized volatility, suggesting no extreme panic. The nature of the main-contract open interest change is an active short build, not long covering or passive liquidation. Overall, the positioning structure shows strengthening bearish forces and meaningful downside pressure on price.

The top-20 seat net positioning is net short, with net short volume higher than the prior day, indicating stronger institutional short exposure. COT weekly change shows a divergence between price and open interest: price rose without an open interest build, while declines came with rising open interest, further confirming active shorts. On implied versus realized volatility, RV20 is 20.7% and ATR14 is 89.29, indicating volatility has risen recently, but implied volatility is not significantly above realized volatility, suggesting no extreme panic. The nature of the main-contract open interest change is an active short build, not long covering or passive liquidation.

V. Cross-Asset Relative Value & Global vs China

On cross-asset relative value, the gold/silver ratio is 69.95, at the 80.16th percentile over 1 year and the 26.72nd percentile over 3 years, indicating silver has strengthened relative to gold. The copper/gold ratio is 1.58, at the 96.83rd percentile over 1 year and the 56.61st percentile over 3 years, indicating copper is relatively strong versus gold. The oil/gold ratio is 0.022, at the 92.06th percentile over 1 year and the 47.88th percentile over 3 years, indicating crude is relatively firm versus gold. The crack spread is 69.72 USD/bbl, within the normal range.

On global versus China relative value, pulp futures show no significant deviation versus international markets, and the China premium/discount is not pronounced. The dollar index is 102.14 and the U.S. 10-year Treasury yield is 5.23%; elevated rates are a headwind for commodity demand. Overall, cross-asset relative value shows divergence between precious metals and commodities, but pulp itself presents no obvious onshore-offshore arbitrage opportunity.

VI. Historical Statistics & Seasonality

Based on a 2016–2025 backtest, SHFE.SP statistics for the first week of October (October 1 to October 7) show that, over the past 10 years, the probability of a decline in this window is 60%, with an average drop of -1.25% and a median drop of -0.98%. In 2018, 2020, 2022, and 2024, pronounced declines occurred, of -3.45%, -2.1%, -1.88%, and -1.52% respectively. In 2017, 2019, 2021, and 2023, the market was range-bound or slightly higher, with gains of +0.85%, +0.42%, +0.68%, and +0.35% respectively. In the first week of October 2025, price fell from 4,950 to 4,880, a decline of -1.41%, highly consistent with current market sentiment.

From a seasonal volatility perspective, the first week of October typically marks the tail end of the “Golden September, Silver October” peak season, with demand gradually weakening and inventory building, making prices prone to decline. Historical data show the median price for this window sits in the 4,850–4,950 range; the current price of 4,868 is at the lower end, implying a higher probability of further downside. In addition, the average volatility (ATR14) for the first week of October is 85.5, slightly below the current 89.29, indicating elevated current volatility that may accelerate the downside. Taken together, historical statistics and seasonality support the current bearish bias, though caution is warranted for short-term rebounds triggered by surprise macro data.

VII. Scenario Analysis

Base Case (Probability 60%): Bearish Bias Extends

Trigger: Daily close below 4889.33 (pivot S1), or night session break below 4860 on rising volume. Target prices: First target 4762, second target 4704 (lower band of the 20-day channel). Trade recommendation: Establish a short position near 4912, set stop-loss at 5011.95, hold for 1–2 weeks. If price effectively breaks below 4889.33, consider adding to the position, with the target lowered to 4704. The logic of this scenario rests on active short open interest build, technical breakdown, and seasonal weakness, consistent with the current dominant market narrative.

Bullish Scenario (Probability 25%): Technical Rebound

Trigger: Daily close firmly above 4996 (upper band of the 20-day channel), or night session break above 4955 (pivot R1) on rising volume. Target prices: First target 5050, second target 5100. Trade recommendation: If the above conditions are triggered, close short positions immediately and wait on the sidelines for a new shorting opportunity. This scenario carries a lower probability, relying mainly on macro data beating expectations or rapid inventory destocking; current fundamentals do not support this path.

Bearish Acceleration Scenario (Probability 15%): Breakdown

Trigger: Daily close below 4792 (weekly low), or night session break below 4762 on rising volume. Target prices: First target 4704, second target 4650. Trade recommendation: If the above conditions are triggered, maintain the short position, with the target lowered to 4650. This scenario requires a sharp inventory build or a significant deterioration on the demand side; the current probability is low, but it warrants close monitoring.

VIII. Trading Strategies & Risk Management

Execution Rules for the Established Strategy

Short entry: 4912. Stop-loss: 5011.95. Target: 4762. Horizon: 1–2 weeks. Risk/reward ratio: 1:1.5.

Stop-Loss Logic & Position Sizing

The stop-loss is set at 5011.95, 99.95 points from the entry, equivalent to 1.1× ATR (ATR14 90.857). This level sits above the upper band of the 20-day channel at 4996, effectively mitigating the risk of a false breakout. Risk per lot is 1,050 CNY (including fees and slippage); a single-trade risk budget of 6,693 CNY corresponds to a reference cap of 6 lots. Position size is recommended not to exceed 15% of total capital, ensuring account safety under extreme volatility.

Rules for Adding & Cutting Positions

Initial position: 3 lots. If price breaks below 4889.33 with rising night session volume, add 2 lots; if price breaks below 4762 and open interest increases, add a further 1 lot. The stop-loss trails lower with price: for every 50-point decline, move the stop-loss up 30 points to lock in partial profit. If price rebounds above 4955, close the position immediately and wait on the sidelines, avoiding counter-trend trading.

Risk Alerts

If the daily close holds above 4996 or the night session breaks above 4955 on rising volume, the bearish thesis is invalidated—close all positions. Pay close attention to the October 14 CPI/PPI releases; if the data beat expectations, a short-term rebound may be triggered, requiring pre-emptive strategy adjustment.

IX. This Week's Data Calendar

Key Events (Beijing Time)

October 14, 09:30: China CPI y/y (forecast: -, prior: -)
October 14, 09:30: China PPI y/y (forecast: -, prior: -)

The above data will affect the ferrous metals, non-ferrous metals, and chemicals sectors; monitor closely for potential transmission to pulp demand. No major events are scheduled for other dates; market focus remains 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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