backwardation

  1. N

    Contango/backwardation/expected future spot price/roll yield

    Long time I went to visit the forum! I wanted to update one of my old post about contango/backwardation/expected future spot price/roll yield. To be honest, during a lot of time I was very confused by the theory and the possible representations (see graphics below) that a student could find on...
  2. Nicole Seaman

    P1.T3.22.22. Contango and backwardation in commodity futures

    Learning objectives: Compute the forward price of a commodity with storage costs. Explain how to create a synthetic commodity position and use it to explain the relationship between the forward price and the expected future spot price. Explain the impact of systematic and nonsystematic risk on...
  3. C

    Concept about price return of futures contract

    Hi all, I would like to understand the relationship between price return and the term structure of futures conteact. I understand that contango is associated with negative roll return while positive roll return with backwardation. How is the price return related to contango and backwardation ...
  4. J

    backwardation chart

    I am constantly frustrated if the axis are identical why do the charts say different things? This chart tells me in backwardation futures price increases towards maturity This chart tells me in backwardation futures price decreases towards maturity
  5. G

    Contango, backwardation and trading cheap

    Hi, A Futures Contract is said to be Trading Rich when : the Actual Price E(St) > the Model Predicted Price = F0=S0* EXP[ ( Rf + Storage Costs ) - ( Div + Yield ) ] T--> Normal Contango A Short Futures Contract would Deliver as Late as possible when (Div + Yield ) > ( Rf + Storage Costs) and...
  6. Nicole Seaman

    P1.T3.718. Cost of carry with cash flow and normal backwardation (Hull Chapter 5)

    Learning objectives: Calculate, using the cost-of-carry model, forward prices where the underlying asset either does or does not have interim cash flows. Describe the various delivery options available in the futures markets and how they can influence futures prices. Explain the relationship...
  7. I

    contango and backwardation of commodity

    Hi, question 27, in 08 practice exam part III 27. Which of the following best describes what we would normally expect to see in a seasonal agricultural market like wheat? Assume “the harvest” is normal and not unusually big or unusually small. Now consider the following statements about...
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