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CONTANGO Report Contango Report: Brent’s Backwardation Widens, Oil Benchmark Remains Superior To WTI - Written by Stacey Brorup |
- October 15, 2012
Contango Report: Brent’s Backwardation Widens, Oil Benchmark Remains Superior To WTI
- Details
loading charts...5.63%
Annualized Cost 1 Week Previous
5.41%
Historical 10/12 5YR Annualized Roll
6.65%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: WTI is in contango across most of the one-year forward curve.
ROLL COSTS: It costs investors 5.63 percent annualized to roll front-month WTI contracts, up slightly from a cost of 5.41 percent.
BOTTOM LINE: Contango
-11.07%
Annualized Cost 1 Week Previous
-8.30%
Historical 10/12 5YR Annualized Roll
3.11%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Brent's backwardation widened last week as prices rose to three-week highs. The European oil benchmark remains superior to its U.S. counterpart, WTI, for investors looking for exposure to crude prices.
In addition to upside from a potential rise in front-month prices, investors gain an annualized roll yield of 11 percent by holding Brent contracts and rolling them over. That's in contrast to WTI, where it costs more than 5 percent to roll front-month contracts.
ROLL COSTS: Investors net 11.07 percent annualized from rolling front-month Brent contracts, up from a net of 8.30 percent.
BOTTOM LINE: Backwardation
142.05%
Annualized Cost 1 Week Previous
177.89%
Historical 10/12 5YR Annualized Roll
242.76%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The natural gas contango narrowed, but remained in steep contango as is typical during this time of the year.
ROLL COSTS: It costs investors 142.05 percent annualized to roll front-month natural gas contracts, down from a cost of 177.89 percent.
BOTTOM LINE: Steep Contango
0.62%
Annualized Cost 1 Week Previous
0.64%
Historical 10/12 5YR Annualized Roll
1.08%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: Gold is in mild contango.
ROLL COSTS: It costs investors 0.62 percent annualized to roll front-month gold contracts, down slightly from a cost of 0.64 percent.
BOTTOM LINE: Mild Contango
1.27%
Annualized Cost 1 Week Previous
-10.90%
Historical 10/12 5YR Annualized Roll
1.43%
Contract Months:
Jan Mar May Jul Sep Dec
CONTANGO WATCH: Silver is in mild contango at the front end of the forward curve.
ROLL COSTS: It costs investors 1.27 percent annualized to roll front-month silver contracts, down from a net of 10.90 percent.
-0.10%
Annualized Cost 1 Week Previous
0.09%
Historical 10/12 5YR Annualized Roll
1.12%
Contract Months:
Jan Apr Jul Oct
CONTANGO WATCH: The platinum forward curve is close to flat at the very front end of the curve.
ROLL COSTS: Investors net 0.1 percent annualized from rolling front-month platinum contracts, up from a cost of 0.09 percent.
BOTTOM LINE: Flat to Mild Contango
-0.31%
Annualized Cost 1 Week Previous
0.62%
Historical 10/12 5YR Annualized Roll
1.40%
Contract Months:
Mar Jun Sep Dec
CONTANGO WATCH: Palladium is in mild backwardation at the very front end of the curve and contango thereafter.
ROLL COSTS: Investors net 0.31 percent annualized from rolling front-month palladium contracts, up from a cost of 0.62 percent.
BOTTOM LINE: Mild Backwardation to Mild Contango
0.22%
Annualized Cost 1 Week Previous
0.14%
Historical 10/12 5YR Annualized Roll
0.71%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Copper is in mild contango throughout the one-year forward curve.
ROLL COSTS: It costs investors 0.22 percent annualized to roll front-month copper contracts, up from a cost of 0.14 percent.
BOTTOM LINE: Mild Contango
7.35%
Annualized Cost 1 Week Previous
6.46%
Historical 10/12 5YR Annualized Roll
7.42%
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 roll costs fell to 7.35 percent annualized, up from a cost of 6.46 percent.
BOTTOM LINE: Contango
8.30%
Annualized Cost 1 Week Previous
6.29%
Historical 10/12 5YR Annualized Roll
5.82%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Zinc is in contango across the one-year forward curve.
ROLL COSTS: It costs investors 8.3 percent annualized to roll front-month zinc contracts, up from a cost of 6.29 percent.
BOTTOM LINE: Contango
-0.56%
Annualized Cost 1 Week Previous
0.00%
Historical 10/12 5YR Annualized Roll
3.14%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Lead is in mild backwardation at the front end of the curve and mild contango thereafter.
ROLL COSTS: Investors net 0.56 percent annualized from rolling front-month lead contracts from zero.
BOTTOM LINE: Mild Backwardation to Mild Contango
1.49%
Annualized Cost 1 Week Previous
1.32%
Historical 10/12 5YR Annualized Roll
2.33%
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 1.49 percent from 1.32 percent.
BOTTOM LINE: Mild Contango
-0.56%
Annualized Cost 1 Week Previous
0.27%
Historical 10/12 5YR Annualized Roll
-2.70%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: The tin forward curve is in mild backwardation across the one-year forward curve.
ROLL COSTS: Investors net 0.56 percent annualized from rolling front-month tin contracts, up from a cost 0f 0.27 percent.
BOTTOM LINE: Mild Backwardation
-0.27%
Annualized Cost 1 Week Previous
0.14%
Historical 10/12 5YR Annualized Roll
9.11%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Corn is in backwardation across the one-year forward curve.
ROLL COSTS: Investors net 0.27 percent annualized from rolling front-month corn contracts, up from a cost of 0.14 percent.
BOTTOM LINE: Backwardation
5.52%
Annualized Cost 1 Week Previous
5.11%
Historical 10/12 5YR Annualized Roll
16.75%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Wheat's contango widened slightly last week.
ROLL COSTS: Wheat's annualized front-month roll costs rose to 5.52 percent from 5.11 percent.
BOTTOM LINE: Contango to Backwardation
-0.30%
Annualized Cost 1 Week Previous
-1.07%
Historical 10/12 5YR Annualized Roll
4.33%
Contract Months:
Jan Mar May Jul Aug Sep Nov
CONTANGO WATCH: Soybeans is in backwardation across the one-year forward curve.
ROLL COSTS: Investors net 0.3 percent annualized from rolling front-month soybeans contracts, down from a cost of 1.07 percent.
BOTTOM LINE: Backwardation
19.88%
Annualized Cost 1 Week Previous
18.11%
Historical 10/12 5YR Annualized Roll
11.38%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: Live cattle curve is in contango across most of the one-year forward curve.
ROLL COSTS: It costs investors 19.88 percent annualized to roll front-month live cattle contracts, up from a cost of 18.11 percent.
BOTTOM LINE: Contango
58.74%
Annualized Cost 1 Week Previous
51.08%
Historical 10/12 5YR Annualized Roll
54.24%
Contract Months:
Feb Apr May Jun Jul Aug Oct Dec
CONTANGO WATCH: The front end of the lean hogs forward curve is in contango, while the back end is in backwardation.
ROLL COSTS: It costs investors 58.74 percent annualized to roll front-month lean hogs contracts, up from a cost of 51.08 percent.
BOTTOM LINE: Contango to Backwardation
11.66%
Annualized Cost 1 Week Previous
9.63%
Historical 10/12 5YR Annualized Roll
9.45%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Coffee is in contango throughout the one-year forward curve.
ROLL COSTS: It costs investors 11.66 percent annualized to roll front-month coffee contracts, up from a cost of 9.63 percent.
2.58%
Annualized Cost 1 Week Previous
2.38%
Historical 10/12 5YR Annualized Roll
3.80%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Cocoa is in contango across most of the one-year forward curve.
ROLL COSTS: It costs investors 2.58 percent annualized to roll front-month cocoa contracts, up slightly from 2.38 percent.
-0.89%
Annualized Cost 1 Week Previous
-1.39%
Historical 10/12 5YR Annualized Roll
-14.17%
Contract Months:
Mar May Jul Oct
CONTANGO WATCH: Sugar is in mild backwardation at the front end of the curve.
ROLL COSTS: Investors net 0.89 percent annualized from rolling front-month sugar contracts, down from 1.39 percent.
3.06%
Annualized Cost 1 Week Previous
4.83%
Historical 10/12 5YR Annualized Roll
8.16%
Contract Months:
Mar May Jul Oct Dec
CONTANGO WATCH: Cotton is in contango throughout the one-year forward curve.
ROLL COSTS: It costs investors 3.06 percent annualized to roll front-month cotton contracts, down from a cost of 4.83 percent.
BOTTOM LINE: Contango
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