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CONTANGO Report Contango Report: Natural Gas Roll Costs Surge Above 130%, WTI Contango Widens- Written by Sumit Roy |
- February 06, 2012
Contango Report: Natural Gas Roll Costs Surge Above 130%, WTI Contango Widens
- Details
loading charts...5.64%
Annualized Cost 1 Week Previous
4.17%
Historical 02/03 5YR Annualized Roll
24.04%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: WTI remained in contango across the one-year forward curve.
ROLL COSTS: Front-month roll costs rose to 5.64 percent annualized, up from 4.17 percent.
BOTTOM LINE: Contango
-2.60%
Annualized Cost 1 Week Previous
-3.49%
Historical 02/03 5YR Annualized Roll
10.74%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Brent’s backwardation narrowed slightly.
ROLL COSTS: Investors net 2.6 percent annualized from rolling front-month Brent contracts, down from a net of 3.49 percent.
BOTTOM LINE: Backwardation
137.17%
Annualized Cost 1 Week Previous
53.26%
Historical 02/03 5YR Annualized Roll
32.14%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The natural gas contango widened significantly as prices consolidated above 10-year lows last week.
ROLL COSTS: It costs investors 137.17 percent annualized to roll front-month natural gas contracts, up from 53.26 percent the week before.
BOTTOM LINE: Steep Contango
1.12%
Annualized Cost 1 Week Previous
1.07%
Historical 02/03 5YR Annualized Roll
1.06%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: Gold is in mild contango across the forward curve.
ROLL COSTS: Annualized front-month roll costs increased to 1.12 percent last week, up from 1.07 percent.
BOTTOM LINE: Mild Contango
0.45%
Annualized Cost 1 Week Previous
2.75%
Historical 02/03 5YR Annualized Roll
1.25%
Contract Months:
Jan Mar May Jul Sep Dec
CONTANGO WATCH: Silver is in contango at the very front end of the curve.
ROLL COSTS: Annualized front-month roll costs fell to 0.45 percent from 2.75 percent.
BOTTOM LINE: Mild Contango
0.77%
Annualized Cost 1 Week Previous
1.27%
Historical 02/03 5YR Annualized Roll
-0.03%
Contract Months:
Jan Apr Jul Oct
CONTANGO WATCH: The platinum forward curve remained in mild contango at the front end of the curve.
ROLL COSTS: Front-month annualized roll costs fell to 0.77 percent from 1.27 percent.
BOTTOM LINE: Mild Contango
0.80%
Annualized Cost 1 Week Previous
0.90%
Historical 02/03 5YR Annualized Roll
1.52%
Contract Months:
Mar Jun Sep Dec
CONTANGO WATCH: Palladium is in mild contango at the very front of the forward curve.
ROLL COSTS: Front-month annualized roll costs fell to 0.8 percent from 0.9 percent.
BOTTOM LINE: Mild Contango
0.83%
Annualized Cost 1 Week Previous
0.84%
Historical 02/03 5YR Annualized Roll
1.07%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The shape of the copper forward curve was little changed last week.
ROLL COSTS: Annualized copper roll costs edged down to 0.83 percent from 0.84 percent.
BOTTOM LINE: Mild Contango
6.52%
Annualized Cost 1 Week Previous
8.29%
Historical 02/03 5YR Annualized Roll
6.86%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The aluminum forward curve is in steady contango.
ROLL COSTS: Front-month annualized roll costs moved down to 6.52 percent from 8.29 percent the week before.
BOTTOM LINE: Contango
2.91%
Annualized Cost 1 Week Previous
3.33%
Historical 02/03 5YR Annualized Roll
4.16%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Zinc is in steady contango.
ROLL COSTS: Annualized roll costs fell to 2.91 percent from 3.33 percent.
BOTTOM LINE: Contango
5.73%
Annualized Cost 1 Week Previous
5.60%
Historical 02/03 5YR Annualized Roll
2.06%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The lead forward curve is in steady contango.
ROLL COSTS: It costs investors 5.73 percent annualized to roll front-month lead contracts, up slightly from 5.6 percent.
BOTTOM LINE: Steady Contango
1.51%
Annualized Cost 1 Week Previous
1.23%
Historical 02/03 5YR Annualized Roll
1.85%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Nickel is in mild contango throughout the forward curve.
ROLL COSTS: Second-month roll costs for nickel edged up to 1.51 percent from 1.23 percent.
BOTTOM LINE: Mild Contango
0.65%
Annualized Cost 1 Week Previous
1.21%
Historical 02/03 5YR Annualized Roll
0.27%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The tin forward curve is in mild contango.
ROLL COSTS: Front-month roll costs edged down to 0.65 percent from 1.21 percent the week before.
BOTTOM LINE: Mild Contango
5.96%
Annualized Cost 1 Week Previous
5.50%
Historical 02/03 5YR Annualized Roll
14.66%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The shape of the corn forward curve was little changed last week.
ROLL COSTS: It costs investors 5.96 percent annualized to roll front-month corn contracts, up slightly from 5.5 percent the week before.
BOTTOM LINE: Contango to Backwardation
12.65%
Annualized Cost 1 Week Previous
14.22%
Historical 02/03 5YR Annualized Roll
16.61%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Wheat’s contango narrowed last week.
ROLL COSTS: Wheat’s annualized front-month roll costs fell to 12.65 percent from 14.22 percent.
BOTTOM LINE: Contango
4.08%
Annualized Cost 1 Week Previous
4.77%
Historical 02/03 5YR Annualized Roll
5.57%
Contract Months:
Jan Mar May Jul Aug Sep Nov
CONTANGO WATCH: Soybeans’ contango narrowed at the front end of the curve last week.
ROLL COSTS: It costs investors 4.08 percent annualized to roll front-month soybeans contracts, down from 4.77 percent the week before.
BOTTOM LINE: Contango to Backwardation to Contango
20.71%
Annualized Cost 1 Week Previous
19.17%
Historical 02/03 5YR Annualized Roll
25.70%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: The live cattle contango widened slightly last week.
ROLL COSTS: Annualized live cattle roll costs increased to 20.71 percent from 19.17 percent.
BOTTOM LINE: Contango
8.51%
Annualized Cost 1 Week Previous
5.86%
Historical 02/03 5YR Annualized Roll
48.30%
Contract Months:
Feb Apr May Jun Jul Aug Oct Dec
CONTANGO WATCH: The lean hogs’ contango widened last week.
ROLL COSTS: It costs investors 8.51 percent annualized to roll front-month lean hogs contracts, up from 5.86 percent the week before.
BOTTOM LINE: Contango to Backwardation
8.48%
Annualized Cost 1 Week Previous
8.13%
Historical 02/03 5YR Annualized Roll
8.97%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Coffee remained in contango last week.
ROLL COSTS: It costs investors 8.48 percent annualized to roll front-month coffee contracts, up from 8.13 percent.
BOTTOM LINE: Contango
7.25%
Annualized Cost 1 Week Previous
6.40%
Historical 02/03 5YR Annualized Roll
4.72%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: The shape of the cocoa forward curve was little changed last week.
ROLL COSTS: Investors pay 7.25 percent annualized to roll front-month cocoa contracts, up from 6.4 percent the week before.
BOTTOM LINE: Contango
-16.09%
Annualized Cost 1 Week Previous
-12.66%
Historical 02/03 5YR Annualized Roll
-5.51%
Contract Months:
Mar May Jul Oct
CONTANGO WATCH: Sugar’s backwardation widened last week.
ROLL COSTS: Investors net 16.09 percent annualized from rolling front-month sugar contracts, up from 12.66 percent the week before.
BOTTOM LINE: Backwardation to Contango
7.31%
Annualized Cost 1 Week Previous
3.05%
Historical 02/03 5YR Annualized Roll
7.60%
Contract Months:
Mar May Jul Oct Dec
CONTANGO WATCH: Cotton remained in contango at the front end of the curve.
ROLL COSTS: It costs investors 7.31 percent annualized to roll front-month cotton contracts, a jump from 3.05 percent.
BOTTOM LINE: Contango to Backwardation to Contango
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