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CONTANGO Report Contango Report: Brent Roll Yields, WTI Roll Costs Remain Steady; NatGas Contango Still Steep- Written by Sumit Roy |
- February 27, 2012
Contango Report: Brent Roll Yields, WTI Roll Costs Remain Steady; NatGas Contango Still Steep
- Details
The cost to hold the three major energy futures see little change.
Has oil moved into backwardation yet? What does corn’s roll yield look like? How do you know when it’s time to buy—or sell?
Each week, we investigate the futures curves of the U.S.’ most important commodities, helping investors better understand the market and seize buy-and-sell opportunities as soon as they arise.
To see current contango curve and front-month roll costs for each of our selected commodities, please select a sector or commodity below (or read the whole report ):
Data as of close on February 24, 2011
Data courtesy IndexUniverse.com
Energy |
Agricultural Commodities
|
Precious Metals
|
Soft Commodities |
Industrial Metals |
. |
| Current Roll | Previous Week's Roll | Past Year Average Roll | Historical 02/24 5YR Annualized Roll | ||
| Energy | WTI | 5.19% | 5.18% | 0.39% | 30.28% |
| Brent | -8.00% | -8.37% | -0.54% | 7.85% | |
| HH Natural Gas | 97.68% | 87.10% | 2.20% | 26.41% | |
| Precious Metals | Gold | 0.34% | 0.91% | 0.10% | 0.63% |
| Silver | 1.37% | 1.45% | 0.07% | 1.57% | |
| Platinum | 0.54% | 0.34% | 0.18% | 0.43% | |
| Palladium | 1.17% | 1.00% | 0.22% | 1.87% | |
| Industrial Metals | Copper | -0.56% | 0.73% | 0.07% | 0.74% |
| Aluminum | 7.70% | 8.17% | 0.39% | 7.78% | |
| Zinc | 0.00% | 3.10% | 0.25% | 4.95% | |
| Lead | 5.48% | 5.86% | -0.00% | 1.81% | |
| Nickel | 1.68% | 1.64% | 0.05% | 2.23% | |
| Tin | 0.68% | 0.70% | 0.07% | -0.63% | |
| Agricultural Commodities | Corn | 3.60% | 3.32% | 0.39% | 12.73% |
| Wheat | 1.42% | 3.55% | 4.13% | 14.60% | |
| Soybeans | 3.69% | 3.00% | 0.43% | 4.66% | |
| Live Cattle | 9.53% | 11.22% | 1.24% | 12.80% | |
| Lean Hogs | 214.89% | 194.97% | 0.91% | 353.71% | |
| Soft Commodities | Coffee C | 0.29% | 7.10% | 0.94% | 6.70% |
| Cocoa | 1.02% | -10.55% | 0.98% | -2.61% | |
| Sugar #11 | -21.28% | -19.01% | -3.57% | -7.89% | |
| Cotton #2 | 2.41% | 8.14% | -3.55% | 0.91% |
loading charts...5.19%
Annualized Cost 1 Week Previous
5.18%
Historical 02/24 5YR Annualized Roll
30.28%
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 5.19 percent annualized, up slightly from 5.18 percent.
BOTTOM LINE: Contango
-8.00%
Annualized Cost 1 Week Previous
-8.37%
Historical 02/24 5YR Annualized Roll
7.85%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Brent’s backwardation narrowed slightly last week.
ROLL COSTS: Investors net 8 percent annualized from rolling front-month Brent contracts, down from 8.37 percent.
BOTTOM LINE: Backwardation
97.68%
Annualized Cost 1 Week Previous
87.10%
Historical 02/24 5YR Annualized Roll
26.41%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The natural gas contango remained at extremely elevated levels last week.
ROLL COSTS: It costs investors 97.68 percent annualized to roll front-month natural gas contracts, up from 87.1 percent the week before.
BOTTOM LINE: Steep Contango
0.34%
Annualized Cost 1 Week Previous
0.91%
Historical 02/24 5YR Annualized Roll
0.63%
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 decreased to 0.34 percent last week from 0.91 percent.
BOTTOM LINE: Mild Contango
1.37%
Annualized Cost 1 Week Previous
1.45%
Historical 02/24 5YR Annualized Roll
1.57%
Contract Months:
Jan Mar May Jul Sep Dec
CONTANGO WATCH: Silver is in mild contango at the very front end of the curve.
ROLL COSTS: Annualized front-month roll costs fell to 1.37 percent from 1.45 percent.
BOTTOM LINE: Mild Contango
0.54%
Annualized Cost 1 Week Previous
0.34%
Historical 02/24 5YR Annualized Roll
0.43%
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 rose to 0.54 percent from 0.34 percent.
BOTTOM LINE: Mild Contango
1.17%
Annualized Cost 1 Week Previous
1.00%
Historical 02/24 5YR Annualized Roll
1.87%
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 rose to 1.17 percent from 1 percent.
BOTTOM LINE: Mild Contango
-0.56%
Annualized Cost 1 Week Previous
0.73%
Historical 02/24 5YR Annualized Roll
0.74%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Copper moved into mild backwardation at the very front end of the forward curve last week.
ROLL COSTS: Annualized copper roll costs fell to -0.56 percent from 0.73 percent.
BOTTOM LINE: Mild Backwardation to Mild Contango
7.70%
Annualized Cost 1 Week Previous
8.17%
Historical 02/24 5YR Annualized Roll
7.78%
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 7.7 percent from 8.17 percent the week before.
BOTTOM LINE: Contango
0.00%
Annualized Cost 1 Week Previous
3.10%
Historical 02/24 5YR Annualized Roll
4.95%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Zinc is in steady contango.
ROLL COSTS: Front-month annualized roll costs are zero, down from 3.1 percent.
BOTTOM LINE: Flat to Contango
5.48%
Annualized Cost 1 Week Previous
5.86%
Historical 02/24 5YR Annualized Roll
1.81%
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 5.48 percent annualized to roll front-month lead contracts, down from 5.86 percent.
BOTTOM LINE: Steady Contango
1.68%
Annualized Cost 1 Week Previous
1.64%
Historical 02/24 5YR Annualized Roll
2.23%
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: Roll costs for nickel edged up to 1.68 percent from 1.64 percent.
BOTTOM LINE: Mild Contango
0.68%
Annualized Cost 1 Week Previous
0.70%
Historical 02/24 5YR Annualized Roll
-0.63%
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 0.68 percent from 0.7 percent the week before.
BOTTOM LINE: Mild Contango
3.60%
Annualized Cost 1 Week Previous
3.32%
Historical 02/24 5YR Annualized Roll
12.73%
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 3.6 percent annualized to roll front-month corn contracts, up from 3.32 percent the week before.
BOTTOM LINE: Contango to Backwardation
1.42%
Annualized Cost 1 Week Previous
3.55%
Historical 02/24 5YR Annualized Roll
14.60%
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 1.42 percent from 3.55 percent.
BOTTOM LINE: Contango
3.69%
Annualized Cost 1 Week Previous
3.00%
Historical 02/24 5YR Annualized Roll
4.66%
Contract Months:
Jan Mar May Jul Aug Sep Nov
CONTANGO WATCH: Soybeans’ contango widened slightly at the front end of the curve last week.
ROLL COSTS: It costs investors 3.69 percent annualized to roll front-month soybeans contracts, up from 3 percent the week before.
BOTTOM LINE: Contango to Backwardation
9.53%
Annualized Cost 1 Week Previous
11.22%
Historical 02/24 5YR Annualized Roll
12.80%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: The live cattle contango narrowed last week.
ROLL COSTS: Annualized live cattle roll costs decreased to 9.53 percent from 11.22 percent.
BOTTOM LINE: Contango
214.89%
Annualized Cost 1 Week Previous
194.97%
Historical 02/24 5YR Annualized Roll
353.71%
Contract Months:
Feb Apr May Jun Jul Aug Oct Dec
CONTANGO WATCH: The lean hogs’ contango remained at extremely steep levels last week.
ROLL COSTS: It costs investors 214.89 percent annualized to roll front-month lean hogs contracts, up from 194.97 percent the week before.
BOTTOM LINE: Steep Contango to Backwardation
0.29%
Annualized Cost 1 Week Previous
7.10%
Historical 02/24 5YR Annualized Roll
6.70%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: The coffee forward curve flattened last week.
ROLL COSTS: It costs investors 0.29 percent annualized to roll front-month coffee contracts.
BOTTOM LINE: Mild Contango
1.02%
Annualized Cost 1 Week Previous
-10.55%
Historical 02/24 5YR Annualized Roll
-2.61%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Cocoa moved back into contango at the front end of the curve last week.
ROLL COSTS: It costs investors 1.02 percent annualized to roll front-month cocoa contracts, down from a net of 10.55 percent.
BOTTOM LINE: Contango
-21.28%
Annualized Cost 1 Week Previous
-19.01%
Historical 02/24 5YR Annualized Roll
-7.89%
Contract Months:
Mar May Jul Oct
CONTANGO WATCH: The shape of the sugar forward curve was little changed last week.
ROLL COSTS: Investors net 21.28 percent annualized from rolling front-month sugar contracts, up from 19.01 percent.
BOTTOM LINE: Backwardation
2.41%
Annualized Cost 1 Week Previous
8.14%
Historical 02/24 5YR Annualized Roll
0.91%
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 2.41 percent annualized to roll front-month cotton contracts, down from 8.14 percent.
BOTTOM LINE: Contango
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