📅 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)

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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. 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: Moderately bullish. The fuel oil main contract M2611 settled at CNY 5,179/t on October 8, achieving an effective breakout above the prior 20-day high of CNY 4,606/t, with strength extending into the night session and a clear pattern of active long open interest build. Core driver chain:

1. Capital-driven momentum: On October 8, main contract notional open interest reached CNY 7.46bn, up CNY 897m on the day, with open interest increasing by 17,317 lots — a classic “rising price on open interest build” formation, indicating strong proactive long intent rather than passive short covering.

2. Supply-demand support: EIA distillate inventories fell to 105,138k bbl as of October 2, 12.0% below the five-year seasonal average, with a cumulative draw of 1,136k bbl over four weeks, reinforcing expectations of tight supply and supporting the crack spread at USD 69.72/bbl.

3. Technical breakout: Price broke above the 20-day channel upper bound of CNY 5,186/t (99.5th percentile) and held firmly above pivot P at CNY 5,011.67/t, indicating strong short-term momentum.

Direction invalidation condition: If price effectively breaks below pivot S1 at CNY 4,837.33/t or the 20-day moving average support, the bullish trend weakens and the stance should shift to neutral/watch or moderately bearish.

II. Price Action & Technicals

Price pattern and momentum: The fuel oil main contract M2611 settled at CNY 5,179/t on October 8, up 18.35% versus the prior day's 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 CNY 5,186/t and sits at the 99.5th percentile of the channel, signaling short-term overbought conditions but with momentum not yet exhausted. In the night session from 21:05 to 23:00 on October 8, price opened at CNY 5,218/t, hit a high of CNY 5,219/t, a low of CNY 5,064/t, and closed at CNY 5,138/t — down 0.79% versus the day session close, but still up 2.86% versus the settlement price, indicating solid follow-through buying in the night session.

Technical indicators: ATR14 is CNY 251.14/t (4.85%), indicating significant intraday full-range volatility. RV20 is 67.8%, showing recent volatility at elevated levels. Pivot P at CNY 5,011.67/t, R1 at CNY 5,353.33/t, and S1 at CNY 4,837.33/t form key support and resistance levels. Price currently sits above pivot P and only CNY 174.33/t (about 0.7 ATR) below 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 CNY 4,434/t, with a weekly change of +1.63%. The current week (starting October 8) has not yet closed and is tentatively at CNY 5,179/t, a weekly gain of 16.8%, but no weekly breakout can be asserted on this 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 US distillate inventories at 105,138k bbl as of October 2, a weekly change of -42k bbl, a cumulative draw of 1,136k bbl over four weeks, and 12.0% below the five-year seasonal average. This deep drawdown indicates strong downstream demand and continues to reinforce expectations of tight supply. US refinery utilization remains elevated at 92.7%, further supporting distillate supply stability.

Crude oil and rigs: EIA crude oil inventories stand at 424,134k bbl, a weekly change of -3,186k bbl, a cumulative +65k bbl over four weeks, and +0.2% versus the five-year seasonal average. Baker Hughes US oil rig count is 455 rigs, up 3 rigs on the week and up 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 USD 69.72/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 fluctuations have limited overall impact on commodities, but attention should be paid to the potential shock to macro sentiment from US CPI and PPI data 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.

Main position nature: Main contract notional open interest is CNY 7.46bn, up CNY 897m on the day, with open interest increasing by 17,317 lots and price rising 18.35% in tandem — a classic “rising price on open interest build” signature confirming proactive long attack. Note that a suspected main contract roll is underway, so open interest changes may not be comparable, but the net long direction is unchanged.

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

V. Cross-Asset Relative Value & Global vs China

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, indicating that fuel oil's premium to gold is historically high, though the three-year percentile is mid-range, suggesting long-term relative value retains elasticity. The Gold/Silver ratio is 69.95, at the 80.16th percentile over one year and the 26.72nd percentile over three years, showing silver weakening relative to gold, though fuel oil's relative-value logic versus gold is independent.

Global vs China premium: As fuel oil is a China-listed instrument, the global vs China relative value is not directly provided, but EIA inventory data and the stronger crack spread jointly support the China price. DXY is 102.11 and the 10Y is 5.23%; USD and rate fluctuations have limited overall impact on commodities, but attention should be paid to the potential shock to macro sentiment from US CPI and PPI data on October 14.

Conclusion: Cross-asset relative value shows a significant fuel oil premium to gold, though long-term relative value retains elasticity. On the global vs China dimension, China inventory drawdown and a stronger crack spread jointly support prices, and the global vs China premium is expected to hold.

VI. Supply Chain & Seasonal Inventory (Historical Statistics)

Based on historical same-period 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 sequentially. Reviewing main contract performance over the past five years in October–November, the win rate is approximately 62.5%, with a median gain of 8.4% and a median decline of -3.2%. The current price 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 indicate 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 vigilance.

VII. Scenario Analysis

Base case (probability 60%): bullish continuation. Core logic is the resonance of capital-driven momentum 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 CNY 5,011.67/t and does not break below S1 at CNY 4,837.33/t. Target: R1 at CNY 5,353.33/t, with further upside if breached. Corresponding action: hold existing long positions, watch the CNY 5,353/t resistance for a breakout, and consider adding on an effective break.

Bull case (probability 25%): accelerated upside. If US refinery utilization stays elevated and the crack spread continues to strengthen, alongside optimistic macro sentiment, price may rapidly break above R1. Trigger condition: effective break above CNY 5,353.33/t with a firm hold. Target: around CNY 5,600/t. Corresponding action: add in tranches after breakout confirmation, move stop-loss above CNY 5,250/t, target CNY 5,600/t.

Bear case (probability 15%): trend weakening. If price breaks below pivot S1 at CNY 4,837.33/t or the 20-day moving average support, the bullish trend fails. Trigger condition: closing price effectively below CNY 4,837.33/t. Target: CNY 4,606/t (prior 20-day high). Corresponding action: immediately close long positions, shift to watch or a light short trial, with stop-loss set above CNY 4,900/t.

VIII. Trading Strategies & Risk Management

Execution of Established Strategies:

1. Strategy A (Swing): Long entry at CNY 5,250/t, stop-loss at CNY 4,973.7/t, target CNY 5,600/t, horizon 1–2 weeks, risk/reward ratio 1:1.3.

2. Strategy B (Short-Term): Long entry at CNY 5,220/t, stop-loss at CNY 4,943.7/t, target CNY 5,570/t, horizon 1–5 days, risk/reward ratio 1:1.3.

Stop-Loss Logic & Position Sizing:

Stop-loss levels are set at CNY 4,973.7/t and CNY 4,943.7/t, both corresponding to a stop distance of CNY 276.3/t, equal to 1.1× ATR (ATR14 at CNY 251.14/t). These levels sit above pivot S1 at CNY 4,837.33/t, allowing room for normal price fluctuation while avoiding breach of the key support invalidation level. The contract multiplier is 10, with a per-lot risk of CNY 2,793 (including fees and slippage). The single-trade risk budget is CNY 6,697, corresponding to a reference cap of 2 lots. Position sizing strictly follows the risk budget, ensuring that the loss on any single trade does not exceed 1% of total capital. Rules for adding/reducing positions: if price breaks above CNY 5,333.33/t, add 1 lot and move the stop-loss up to CNY 5,250/t; if price pulls back toward CNY 5,220/t without triggering 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 pricing logic for commodities.

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, and 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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