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Weekly Commodity Reports CONTANGO Report Contango Report: Brent Backwardation Expands Notably, Natural Gas In Steep Contango

Written by Sumit Roy  |

September 06, 2011

Contango Report: Brent Backwardation Expands Notably, Natural Gas In Steep Contango

Details

Page 2 of 2

| Full Article

Energy

WTI

WTI Crude Curve

Current Annualized Cost
3.23%
Annualized Cost 1 Week Previous
4.44%
Historical 09/05 5YR Annualized Roll
6.37%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

WTI Crude Roll Cost

CONTANGO WATCH: WTI’s contango narrowed last week, remaining at relatively mild levels.

ROLL COSTS: Front-month annualized roll costs moved down to 3.23 percent from 4.44 percent the week before.

BOTTOM LINE: Steady Contango

Brent

Brent Crude Curve

Current Annualized Cost
-9.66%
Annualized Cost 1 Week Previous
-5.37%
Historical 09/05 5YR Annualized Roll
4.10%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Brent Crude Roll Cost

CONTANGO WATCH: Brent’s backwardation widened notably last week.

ROLL COSTS: Investors net 9.66 percent annualized from rolling front-month Brent contracts, up from 5.37 percent the week before.

BOTTOM LINE: Steady Backwardation

HH Natural Gas

HH Natural Gas Curve

Current Annualized Cost
42.22%
Annualized Cost 1 Week Previous
-4.45%
Historical 09/05 5YR Annualized Roll
1,567.60%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

HH Natural Gas Roll Cost

CONTANGO WATCH: Natural gas moved into steep contango as the September contract rolled off the board.

ROLL COSTS: It costs investors 42.22 percent annualized to roll front-month natural gas contracts.

BOTTOM LINE: Steep Contango

Precious Metals

Gold

Gold Curve

Current Annualized Cost
1.48%
Annualized Cost 1 Week Previous
10.39%
Historical 09/05 5YR Annualized Roll
4.36%
Contract Months:
Feb Apr Jun Aug Oct Dec

Gold Roll Cost

CONTANGO WATCH: Gold is in mild but relatively steady contango.

ROLL COSTS: Annualized front-month roll costs are now 1.48 percent.

BOTTOM LINE: Mild Contango

Silver

Silver Curve

Current Annualized Cost
1.11%
Annualized Cost 1 Week Previous
1.61%
Historical 09/05 5YR Annualized Roll
3.24%
Contract Months:
Jan Mar May Jul Sep Dec

Silver Roll Cost

CONTANGO WATCH: The silver forward curve is in mild contango at the front end of the curve.

ROLL COSTS: Annualized roll costs decreased to 1.11 percent annualized from 1.61 percent.

BOTTOM LINE: Mild Contango

Platinum

Platinum Curve

Current Annualized Cost
2.38%
Annualized Cost 1 Week Previous
1.05%
Historical 09/05 5YR Annualized Roll
5.92%
Contract Months:
Jan Apr Jul Oct

Platinum Roll Cost

CONTANGO WATCH: The platinum forward curve steepened slightly last week.

ROLL COSTS: Front-month annualized roll costs moved up to 2.38 percent from 1.05 percent.

BOTTOM LINE: Contango

Palladium

Palladium Curve

Current Annualized Cost
0.97%
Annualized Cost 1 Week Previous
0.79%
Historical 09/05 5YR Annualized Roll
3.73%
Contract Months:
Mar Jun Sep Dec

Palladium Roll Cost

CONTANGO WATCH: Palladium’s forward curve continues to seesaw between contango and backwardation at the front end.

ROLL COSTS: Front-month annualized roll costs increased to 0.97 percent from 0.79 percent.

BOTTOM LINE: Mild Contango

Industrial Metals

Copper

Copper Curve

Current Annualized Cost
0.79%
Annualized Cost 1 Week Previous
0.83%
Historical 09/05 5YR Annualized Roll
-1.07%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Copper Roll Cost

CONTANGO WATCH: The shape of the copper forward curve was little changed last week.

ROLL COSTS: Annualized copper roll costs decreased to 0.79 percent from 0.83 percent.

BOTTOM LINE: Mild Contango

Aluminum

Aluminum Curve

Current Annualized Cost
5.55%
Annualized Cost 1 Week Previous
6.06%
Historical 09/05 5YR Annualized Roll
7.74%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Aluminum Roll Cost

CONTANGO WATCH: The aluminum forward curve remains in steady contango through the one-year forward curve.

ROLL COSTS: Front-month annualized roll costs decreased to 5.55 percent from 6.06 percent.

BOTTOM LINE: Steady Contango

Zinc

Zinc Curve

Current Annualized Cost
4.96%
Annualized Cost 1 Week Previous
4.53%
Historical 09/05 5YR Annualized Roll
3.90%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Zinc Roll Cost

CONTANGO WATCH: Like aluminum, zinc remains in steady contango throughout the entire forward curve.

ROLL COSTS: Zinc roll costs edged up to 4.96 percent annualized from 4.53 percent.

BOTTOM LINE: Steady Contango

Lead

Lead Curve

Current Annualized Cost
-2.32%
Annualized Cost 1 Week Previous
-7.20%
Historical 09/05 5YR Annualized Roll
0.02%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Lead Roll Cost

CONTANGO WATCH: The lead forward curve remains in backwardation at the front end of the curve.

ROLL COSTS: Investors now net 2.32 percent annualized from rolling front-month lead contracts.

BOTTOM LINE: Backwardation to Contango

Nickel

Nickel Curve

Current Annualized Cost
0.83%
Annualized Cost 1 Week Previous
0.81%
Historical 09/05 5YR Annualized Roll
1.55%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Nickel Roll Cost

CONTANGO WATCH: Nickel is in mild contango throughout most of the one-year forward curve.

ROLL COSTS: Investors pay 0.83 percent annualized to roll front-month nickel contracts, slightly higher than last week.

BOTTOM LINE: Mild Contango

Tin

Tin Curve

Current Annualized Cost
1.25%
Annualized Cost 1 Week Previous
1.35%
Historical 09/05 5YR Annualized Roll
-0.62%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Tin Roll Cost

CONTANGO WATCH: The shape of the tin forward curve was little changed week-over-week.

ROLL COSTS: Front-month roll costs decreased to 1.25 percent from 1.35 percent last week.

BOTTOM LINE: Mild Contango

Agricultural Commodities

Corn

Corn Curve

Current Annualized Cost
5.55%
Annualized Cost 1 Week Previous
25.74%
Historical 09/05 5YR Annualized Roll
18.90%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Corn Roll Cost

CONTANGO WATCH: Corn remained in contango last week.

ROLL COSTS: It costs investors 5.55 percent annualized to roll front-month corn contracts, down from 25.74 percent the week before.

BOTTOM LINE: Contango to Backwardation

Wheat

Wheat Curve

Current Annualized Cost
43.73%
Annualized Cost 1 Week Previous
70.74%
Historical 09/05 5YR Annualized Roll
29.44%
Contract Months:
Mar May Jul Sep Dec

Wheat Roll Cost

CONTANGO WATCH: The wheat forward curve flattened last week.

ROLL COSTS: Wheat’s annualized front-month roll costs decreased to 43.73 percent from 70.74 percent.

BOTTOM LINE: Steep Contango

Soybeans

Soybeans Curve

Current Annualized Cost
4.14%
Annualized Cost 1 Week Previous
7.68%
Historical 09/05 5YR Annualized Roll
-3.18%
Contract Months:
Jan Mar May Jul Aug Sep Nov

Soybeans Roll Cost

CONTANGO WATCH: The shape of the soybeans forward curve was little changed last week.

ROLL COSTS: It costs investors 4.14 percent annualized to roll front-month soybeans contracts, down from 7.68 percent the week before.

BOTTOM LINE: Contango to Backwardation

Live Cattle

Live Cattle Curve

Current Annualized Cost
18.95%
Annualized Cost 1 Week Previous
4.82%
Historical 09/05 5YR Annualized Roll
27.55%
Contract Months:
Feb Apr Jun Aug Oct Dec

Live Cattle Roll Cost

CONTANGO WATCH: The live cattle curve steepened last week.

ROLL COSTS: Annualized live cattle roll costs rose to 18.95 percent from 4.82 percent.

BOTTOM LINE: Contango

Lean Hogs

Lean Hogs Curve

Current Annualized Cost
-32.37%
Annualized Cost 1 Week Previous
-29.74%
Historical 09/05 5YR Annualized Roll
-10.46%
Contract Months:
Feb Apr May Jun Jul Aug Oct Dec

Lean Hogs Roll Cost

CONTANGO WATCH: The shape of the lean hogs forward curve was little changed last week.

ROLL COSTS: Investors net 32.37 percent from rolling front-month lean hogs contracts, up from 29.74 percent the week before.

BOTTOM LINE: Steep Backwardation to Steep Contango to Steep Backwardation

Soft Commodities

Coffee C

Coffee Curve

Current Annualized Cost
-2.36%
Annualized Cost 1 Week Previous
1.30%
Historical 09/05 5YR Annualized Roll
8.62%
Contract Months:
Mar May Jul Sep Dec

Coffee Roll Cost

CONTANGO WATCH: Coffee moved into backwardation at the very front end of the curve last week.

ROLL COSTS: Investors now net 2.36 percent annualized from rolling front-month coffee contracts.

BOTTOM LINE: Backwardation to Contango to Backwardation

Cocoa

Cocoa Curve

Current Annualized Cost
1.17%
Annualized Cost 1 Week Previous
6.46%
Historical 09/05 5YR Annualized Roll
4.20%
Contract Months:
Mar May Jul Sep Dec

Cocoa Roll Cost

CONTANGO WATCH: The cocoa forward curve flattened at the front end last week.

ROLL COSTS: Investors pay 1.17 percent annualized to roll front-month cocoa contracts, down from 6.46 percent.

BOTTOM LINE: Mild Contango

Sugar #11

Sugar #11 Curve

Current Annualized Cost
-28.97%
Annualized Cost 1 Week Previous
-30.14%
Historical 09/05 5YR Annualized Roll
97.27%
Contract Months:
Mar May Jul Oct

Sugar #11 Roll Cost

CONTANGO WATCH: The shape of the sugar forward curve was little changed last week.

ROLL COSTS: Investors net 28.97 percent annualized from rolling front-month sugar contracts, down from 30.14 percent the week before.

BOTTOM LINE: Steep Backwardation

Cotton #2

Cotton #2 Curve

Current Annualized Cost
-7.60%
Annualized Cost 1 Week Previous
1.55%
Historical 09/05 5YR Annualized Roll
25.66%
Contract Months:
Mar May Jul Oct Dec

Cotton #2 Roll Cost

CONTANGO WATCH: The cotton forward curve moved into steady backwardation last week.

ROLL COSTS: Investors now net 7.6 percent annualized from rolling front-month cotton contracts.

BOTTOM LINE: Steady Backwardation

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