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CONTANGO Report Contango Report: Natural Gas Contango Widens But Remains Inconsequential- Written by Sumit Roy |
- December 10, 2012
Contango Report: Natural Gas Contango Widens But Remains Inconsequential
- Details
Natural gas roll costs increase, but are not a major concern.
Featured Commodity
CONTANGO WATCH: Natural gas’ contango widened a bit this week, but remains typical for this time of year. At $0.02, the front-month natural gas roll is relatively inconsequential, at least by natural gas standards. More pertinent for traders are weather forecasts, the key driver of natural gas over the winter months. Currently, the NOAA is calling for mild temperatures for the bulk of December, which has pressured prices in recent sessions.
ROLL COSTS: It costs investors 9.79 percent annualized to roll front-month natural gas contracts, up from a cost of 7.99 percent.
BOTTOM LINE: Contango
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 most important commodities in the U.S., helping investors better understand the market and seize buy-and-sell opportunities as soon as they arise. For an easy-to-understand explanation of contango, backwardation and roll yields, please click here to go to our Hard Assets University.
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 December 7, 2012
Data courtesy IndexUniverse.com
Energy |
Agricultural Commodities
|
Precious Metals
|
Soft Commodities |
Industrial Metals |
. |
| Current Roll | Previous Week's Roll | Past Year Average Roll | Historical 12/07 5YR Annualized Roll | ||
| Energy | WTI | 7.89% | 7.74% | 0.39% | 27.71% |
| Brent | -10.43% | -10.11% | -0.57% | 20.90% | |
| HH Natural Gas | 9.79% | 7.99% | 3.51% | 10.80% | |
| Precious Metals | Gold | 0.91% | 0.70% | 0.12% | 0.92% |
| Silver | 1.63% | 1.17% | 0.14% | 1.11% | |
| Platinum | 1.41% | 0.88% | 0.24% | 1.63% | |
| Palladium | 0.80% | 1.68% | 0.24% | 1.31% | |
| Industrial Metals | Copper | 1.32% | 0.75% | -0.02% | 1.38% |
| Aluminum | 7.15% | 6.37% | 0.50% | 7.04% | |
| Zinc | 6.28% | 5.74% | 0.22% | 5.65% | |
| Lead | 3.87% | 1.07% | 0.20% | 4.82% | |
| Nickel | 1.48% | 1.30% | 0.11% | 1.73% | |
| Tin | -0.28% | -0.27% | 0.03% | -0.28% | |
| Agricultural Commodities | Corn | 2.27% | -1.37% | -1.49% | 11.91% |
| Wheat | 6.46% | 5.43% | 1.80% | 15.74% | |
| Soybeans | -0.30% | -3.15% | -0.39% | 3.37% | |
| Live Cattle | 20.28% | 20.81% | 1.45% | 20.08% | |
| Lean Hogs | 41.77% | 38.51% | 1.35% | 40.10% | |
| Soft Commodities | Coffee C | 12.25% | 11.99% | 1.59% | 9.21% |
| Cocoa | 0.25% | 0.71% | 0.01% | 2.30% | |
| Sugar #11 | 3.82% | 0.00% | -0.35% | -5.52% | |
| Cotton #2 | 7.25% | 5.12% | 0.03% | -2.31% |
loading charts...7.89%
Annualized Cost 1 Week Previous
7.74%
Historical 12/07 5YR Annualized Roll
27.71%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: WTI’s contango widened slightly; contango remains the dominant trend across the one-year forward curve.
ROLL COSTS: It costs investors 7.89 percent annualized to roll front-month WTI contracts, up from a cost of 7.74 percent.
BOTTOM LINE: Contango
-10.43%
Annualized Cost 1 Week Previous
-10.11%
Historical 12/07 5YR Annualized Roll
20.90%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Brent continues its march deeper into backwardation.
ROLL COSTS: Investors net 10.43 percent annualized from rolling front-month Brent contracts, up from a net of 10.11 percent.
BOTTOM LINE: Backwardation
9.79%
Annualized Cost 1 Week Previous
7.99%
Historical 12/07 5YR Annualized Roll
10.80%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Natural gas’ contango widened a bit this week, but remains typical for this time of year. At $0.02, the front-month natural gas roll is relatively inconsequential, at least by natural gas standards. More pertinent for traders are weather forecasts, the key driver of natural gas over the winter months. Currently, the NOAA is calling for mild temperatures for the bulk of December, which has pressured prices in recent sessions.
ROLL COSTS: It costs investors 9.79 percent annualized to roll front-month natural gas contracts, up from a cost of 7.99 percent.
BOTTOM LINE: Contango
0.91%
Annualized Cost 1 Week Previous
0.70%
Historical 12/07 5YR Annualized Roll
0.92%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: Gold saw a very slight widening of its contango, but roll costs are close to the five-year average historical roll for this date.
ROLL COSTS: It costs investors 0.91 percent annualized to roll front-month gold contracts, up from a cost of 0.7 percent.
BOTTOM LINE: Mild Contango
1.63%
Annualized Cost 1 Week Previous
1.17%
Historical 12/07 5YR Annualized Roll
1.11%
Contract Months:
Jan Mar May Jul Sep Dec
CONTANGO WATCH: Silver saw its front-month contango widen slightly; trends across the one-year forward curve remain erratic.
ROLL COSTS: It costs investors 1.63 percent annualized to roll front-month gold contracts, up from a net of 1.17 percent.
BOTTOM LINE: Mild Contango
1.41%
Annualized Cost 1 Week Previous
0.88%
Historical 12/07 5YR Annualized Roll
1.63%
Contract Months:
Jan Apr Jul Oct
CONTANGO WATCH: Platinum moved slightly deeper into contango this week.
ROLL COSTS: Investors paid 1.41 percent annualized from rolling front-month platinum contracts, up from a cost of 0.88 percent.
BOTTOM LINE: Mild Contango
0.80%
Annualized Cost 1 Week Previous
1.68%
Historical 12/07 5YR Annualized Roll
1.31%
Contract Months:
Mar Jun Sep Dec
CONTANGO WATCH: Palladium remains in mild contango at the front end of the curve.
ROLL COSTS: It costs investors 0.8 percent annualized to roll palladium contracts, down from a cost of 1.68 percent.
BOTTOM LINE: Mild Contango
1.32%
Annualized Cost 1 Week Previous
0.75%
Historical 12/07 5YR Annualized Roll
1.38%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Copper’s contango widened slightly, remaining at mild levels.
ROLL COSTS: It costs investors 1.32 percent annualized to roll front-month copper contracts, up from a cost of 0.75 percent.
BOTTOM LINE: Mild Contango
7.15%
Annualized Cost 1 Week Previous
6.37%
Historical 12/07 5YR Annualized Roll
7.04%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Aluminum is in backwardation at the very front end of the curve and backwardation thereafter.
ROLL COSTS: It costs investors 7.15 percent annualized to roll second-month aluminum contracts, up from a cost of 6.37 percent.
BOTTOM LINE: Backwardation to Contango
6.28%
Annualized Cost 1 Week Previous
5.74%
Historical 12/07 5YR Annualized Roll
5.65%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Zinc’s steady contango widened a bit, remaining above the five-year average historical roll for this date.
ROLL COSTS: It costs investors 6.28 percent annualized to roll front-month zinc contracts, up from a cost of 5.74 percent.
BOTTOM LINE: Contango
3.87%
Annualized Cost 1 Week Previous
1.07%
Historical 12/07 5YR Annualized Roll
4.82%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Lead’s contango widened last week.
ROLL COSTS: It costs investors 3.87 percent annualized to roll front-month lead contracts, up from a cost of 1.07 percent.
BOTTOM LINE: Contango
1.48%
Annualized Cost 1 Week Previous
1.30%
Historical 12/07 5YR Annualized Roll
1.73%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Nickel’s mild contango widened slightly this past week. The commodity remains in steady contango across the one-year forward curve.
ROLL COSTS: It costs investors 1.48 percent annualized to roll front-month nickel contracts, up slightly from a cost of 1.3 percent.
BOTTOM LINE: Mild Contango
-0.28%
Annualized Cost 1 Week Previous
-0.27%
Historical 12/07 5YR Annualized Roll
-0.28%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Tin remains in extremely steady mild backwardation.
ROLL COSTS: Investors net 0.28 percent annualized from rolling front-month tin contracts, up from a net of 0.27 percent.
BOTTOM LINE: Mild Backwardation
2.27%
Annualized Cost 1 Week Previous
-1.37%
Historical 12/07 5YR Annualized Roll
11.91%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
CONTANGO WATCH: Corn flipped into contango at the front end of the curve.
ROLL COSTS: It cost investors 2.27 percent annualized from rolling front-month corn contracts, up from a net of 1.37 percent.
BOTTOM LINE: Contango to Backwardation
6.46%
Annualized Cost 1 Week Previous
5.43%
Historical 12/07 5YR Annualized Roll
15.74%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Wheat’s contango deepened this past week, moving closer to the five-year average historical roll for this date, while remaining notably below it.
ROLL COSTS: It cost investors 6.46 percent annualized to roll front-month wheat contracts, up from a cost of 5.43 percent.
BOTTOM LINE: Contango
-0.30%
Annualized Cost 1 Week Previous
-3.15%
Historical 12/07 5YR Annualized Roll
3.37%
Contract Months:
Jan Mar May Jul Aug Sep Nov
CONTANGO WATCH: Soybeans’ backwardation narrowed this week.
ROLL COSTS: Investors net 0.3 percent annualized from rolling front-month soybeans contracts, down from a net of 3.15 percent.
BOTTOM LINE: Mild Backwardation
20.28%
Annualized Cost 1 Week Previous
20.81%
Historical 12/07 5YR Annualized Roll
20.08%
Contract Months:
Feb Apr Jun Aug Oct Dec
CONTANGO WATCH: Live cattle’s contango narrowed a bit.
ROLL COSTS: It costs investors 20.28 percent annualized to roll front-month live cattle contracts, down from a cost of 20.81 percent.
BOTTOM LINE: Contango
41.77%
Annualized Cost 1 Week Previous
38.51%
Historical 12/07 5YR Annualized Roll
40.10%
Contract Months:
Feb Apr May Jun Jul Aug Oct Dec
CONTANGO WATCH: Contango at the front end of the lean hogs forward curve widened, but remained near typical levels.
ROLL COSTS: It costs investors 41.77 percent annualized to roll front-month lean hogs contracts, up from a cost of 38.51 percent.
BOTTOM LINE: Contango to Backwardation
12.25%
Annualized Cost 1 Week Previous
11.99%
Historical 12/07 5YR Annualized Roll
9.21%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Coffee widened its steady contango slightly this past week, remaining slightly steeper than the five-year average historical roll for this date.
ROLL COSTS: It costs investors 12.25 percent annualized to roll front-month coffee contracts, up from a cost of 11.99 percent.
BOTTOM LINE: Contango
0.25%
Annualized Cost 1 Week Previous
0.71%
Historical 12/07 5YR Annualized Roll
2.30%
Contract Months:
Mar May Jul Sep Dec
CONTANGO WATCH: Cocoa is in backwardation at the very front end of the curve and mild contango thereafter.
ROLL COSTS: It costs investors 0.25 percent annualized to roll second-month cocoa contracts, down from a cost of 0.71 percent.
BOTTOM LINE: Backwardation to Mild Contango
3.82%
Annualized Cost 1 Week Previous
0.00%
Historical 12/07 5YR Annualized Roll
-5.52%
Contract Months:
Mar May Jul Oct
CONTANGO WATCH: Sugar is back in contango across the one-year forward curve.
ROLL COSTS: It cost investors 3.82 percent annualized to roll front-month sugar contracts.
BOTTOM LINE: Contango
7.25%
Annualized Cost 1 Week Previous
5.12%
Historical 12/07 5YR Annualized Roll
-2.31%
Contract Months:
Mar May Jul Oct Dec
CONTANGO WATCH: Cotton’s contango widened this past week.
ROLL COSTS: Cotton’s annualized front-month roll costs investors 7.25 percent annualized, up from 5.12 percent.
BOTTOM LINE: Contango
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