Contango Reports
Contango Report: Backwardation Fuels BNO
September 17, 2012
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Featured Commodity
CONTANGO WATCH: Brent's backwardation widened slightly last week. The European oil benchmark has been in steady backwardation since the beginning of 2011, boosting investor returns. In that period, front-month Brent futures are up 22 percent, while the United States Brent Oil Fund (BNO)—which holds front-month futures but must roll its contracts month after month—is up 32 percent. 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?
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 ):
Energy
WTI
WTI
Current Annualized Cost
3.70% Annualized Cost 1 Week Previous 4.32% Historical 09/14 5YR Annualized Roll 6.50% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCWTI
ROLL COSTS: The front-month roll fell to 3.7 percent annualized from 4.32 percent. BOTTOM LINE: Contango to Backwardation Brent
Brent
Current Annualized Cost
-5.42% Annualized Cost 1 Week Previous -4.61% Historical 09/14 5YR Annualized Roll 2.59% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCBrent
CONTANGO WATCH: Brent's backwardation widened slightly last week. The European oil benchmark has been in steady backwardation since the beginning of 2011, boosting investor returns. In that period, front-month Brent futures are up 22 percent, while the United States Brent Oil Fund (BNO)—which holds front-month futures but must roll its contracts month after month—is up 32 percent. ROLL COSTS: Investors net 5.42 percent annualized from rolling front-month Brent contracts. BOTTOM LINE: Backwardation HH Natural Gas
HH
Current Annualized Cost
79.59% Annualized Cost 1 Week Previous 90.87% Historical 09/14 5YR Annualized Roll 546.42% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCHH
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 79.59 percent annualized to roll front-month natural gas contracts, down from 90.87 percent. BOTTOM LINE: Steep Contango Precious Metals
Gold
Gold
Current Annualized Cost
0.95% Annualized Cost 1 Week Previous 1.01% Historical 09/14 5YR Annualized Roll 1.15% Contract Months: Feb Apr Jun Aug Oct Dec RCGold
CONTANGO WATCH: Gold is in mild contango. ROLL COSTS: It costs investors 0.95 percent annualized to roll front-month gold contracts, down from 1.01 percent. BOTTOM LINE: Mild Contango Silver
Silver
Current Annualized Cost
-4.74% Annualized Cost 1 Week Previous 3.85% Historical 09/14 5YR Annualized Roll 0.24% Contract Months: Jan Mar May Jul Sep Dec RCSilver
CONTANGO WATCH: Silver is in mild backwardation and mild contango throughout most of the forward curve. ROLL COSTS: Investors net 4.74 percent annualized from rolling second-month silver contracts, up from a cost of 3.85 percent. BOTTOM LINE: Mild Contango to Mild Backwardation Platinum
Platin
Current Annualized Cost
0.66% Annualized Cost 1 Week Previous 0.38% Historical 09/14 5YR Annualized Roll 1.47% Contract Months: Jan Apr Jul Oct RCPlatin
CONTANGO WATCH: Platinum is in mild contango at the front end of the forward curve. ROLL COSTS: It costs investors 0.66 percent annualized to roll front-month platinum contracts, up from 0.38 percent. BOTTOM LINE: Mild Contango Palladium
Pallad
Current Annualized Cost
4.43% Annualized Cost 1 Week Previous -4.16% Historical 09/14 5YR Annualized Roll 1.76% Contract Months: Mar Jun Sep Dec RCPallad
CONTANGO WATCH: Palladium is in backwardation at the very front end of the curve, and contango thereafter. ROLL COSTS: It costs investors 4.43 percent annualized to roll second-month palladium contracts, down from a net of 4.16 percent. BOTTOM LINE: Backwardation to Contango Industrial Metals
Copper
Copper
Current Annualized Cost
0.79% Annualized Cost 1 Week Previous 0.38% Historical 09/14 5YR Annualized Roll -0.08% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCCopper
CONTANGO WATCH: Copper is in mild contango throughout most of the one-year forward curve. ROLL COSTS: It costs investors 0.79 percent annualized to roll front-month copper contracts, up from a cost of 0.38 percent. BOTTOM LINE: Mild Contango Aluminum
Alum
Current Annualized Cost
8.28% Annualized Cost 1 Week Previous 8.22% Historical 09/14 5YR Annualized Roll 7.28% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCAlum
CONTANGO WATCH: The aluminum forward curve is in backwardation at the very front end of the curve, and contango thereafter. ROLL COSTS: Second-month annualized roll costs moved up to 8.28 percent from 8.22 percent the week before. BOTTOM LINE: Backwardation to Contango Zinc
Zinc
Current Annualized Cost
7.69% Annualized Cost 1 Week Previous 5.82% Historical 09/14 5YR Annualized Roll 5.06% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCZinc
CONTANGO WATCH: Zinc is in contango across the one-year forward curve. ROLL COSTS: It costs investors 7.69 percent annualized to roll front-month zinc contracts, up from a cost of 5.82 percent. BOTTOM LINE: Contango Lead
Lead
Current Annualized Cost
2.54% Annualized Cost 1 Week Previous 3.20% Historical 09/14 5YR Annualized Roll 2.86% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCLead
CONTANGO WATCH: Lead is in contango across most of the one-year forward curve. ROLL COSTS: It costs investors 2.54 percent annualized to roll front-month lead contracts, down from 3.20 percent. BOTTOM LINE: Contango Nickel
Nickel
Current Annualized Cost
0.88% Annualized Cost 1 Week Previous 1.62% Historical 09/14 5YR Annualized Roll 0.78% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCNickel
CONTANGO WATCH: Nickel is in mild contango throughout the forward curve. ROLL COSTS: Roll costs for nickel edged down to 0.88 percent from 1.62 percent. BOTTOM LINE: Mild Contango Tin
Tin
Current Annualized Cost
-0.83% Annualized Cost 1 Week Previous 0.00% Historical 09/14 5YR Annualized Roll -2.58% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCTin
CONTANGO WATCH: The tin forward curve is in mild backwardation at the front end of the curve and flat thereafter. ROLL COSTS: Investors net 0.83 percent annualized from rolling front-month tin contracts, up from zero. BOTTOM LINE: Mild Backwardation to Flat Agricultural Commodities
Corn
Corn
Current Annualized Cost
2.10% Annualized Cost 1 Week Previous 1.51% Historical 09/14 5YR Annualized Roll 10.63% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCCorn
CONTANGO WATCH: Corn is in contango at the front end of the curve. ROLL COSTS: It costs investors 2.1 percent annualized to roll front-month corn contracts, up from 1.51 percent. BOTTOM LINE: Contango to Backwardation Wheat
Wheat
Current Annualized Cost
5.16% Annualized Cost 1 Week Previous 4.70% Historical 09/14 5YR Annualized Roll 14.80% Contract Months: Mar May Jul Sep Dec RCWheat
CONTANGO WATCH: Wheat's contango widened slightly last week. ROLL COSTS: Wheat's annualized front-month roll costs rose to 5.16 percent from 4.7 percent. BOTTOM LINE: Contango to Backwardation Soybeans
SoyB
Current Annualized Cost
0.62% Annualized Cost 1 Week Previous -0.17% Historical 09/14 5YR Annualized Roll 4.54% Contract Months: Jan Mar May Jul Aug Sep Nov RCSoyB
CONTANGO WATCH: Soybeans is in mild contango at the front end of the curve and backwardation thereafter. ROLL COSTS: It costs investors 0.62 percent annualized to roll front-month soybeans contracts, up from a net of 0.17 percent. BOTTOM LINE: Contango to Backwardation Live Cattle
LiveC
Current Annualized Cost
14.37% Annualized Cost 1 Week Previous 13.51% Historical 09/14 5YR Annualized Roll 7.64% Contract Months: Feb Apr Jun Aug Oct Dec RCLiveC
CONTANGO WATCH: The live cattle curve is in contango across most of the one-year forward curve. ROLL COSTS: It costs investors 14.37 percent annualized to roll front-month live cattle contracts, up from 13.51 percent. BOTTOM LINE: Contango Lean Hogs
LeanH
Current Annualized Cost
-1.01% Annualized Cost 1 Week Previous -6.94% Historical 09/14 5YR Annualized Roll -14.53% Contract Months: Feb Apr May Jun Jul Aug Oct Dec RCLeanH
CONTANGO WATCH: The front end of the lean hogs forward curve is in backwardation. ROLL COSTS: Investors net 1.01 percent annualized from rolling front-month lean hogs contracts, down from a net of 6.94 percent. BOTTOM LINE: Mild Backwardation to Contango Soft Commodities
Coffee C
Coffee
Current Annualized Cost
8.58% Annualized Cost 1 Week Previous 8.28% Historical 09/14 5YR Annualized Roll 7.09% Contract Months: Mar May Jul Sep Dec RCCoffee
CONTANGO WATCH: Coffee is in contango throughout the one-year forward curve. ROLL COSTS: Investors net 8.58 percent annualized from rolling front-month coffee contracts, up from 8.28 percent. BOTTOM LINE: Contango Cocoa
Cocoa
Current Annualized Cost
2.17% Annualized Cost 1 Week Previous 0.92% Historical 09/14 5YR Annualized Roll 3.15% Contract Months: Mar May Jul Sep Dec RCCocoa
CONTANGO WATCH: Cocoa is in contango across most of the one-year forward curve. ROLL COSTS: It costs investors 2.17 percent annualized to roll front-month cocoa contracts, up from a cost of 0.92 percent. BOTTOM LINE: Contango Sugar #11
Sugar
Current Annualized Cost
9.50% Annualized Cost 1 Week Previous 6.38% Historical 09/14 5YR Annualized Roll 8.60% Contract Months: Mar May Jul Oct RCSugar
CONTANGO WATCH: Sugar is in contango at the front end of the curve. ROLL COSTS: It costs investors 9.5 percent annualized to roll front-month sugar contracts, up from 6.35 percent. BOTTOM LINE: Contango Cotton #2
Cotton
Current Annualized Cost
3.66% Annualized Cost 1 Week Previous 3.70% Historical 09/14 5YR Annualized Roll 10.68% Contract Months: Mar May Jul Oct Dec RCCotton
CONTANGO WATCH: Cotton is in contango throughout the one-year forward curve. ROLL COSTS: It costs investors 3.66 percent annualized to roll front-month cotton contracts, down slightly from 3.70 percent. BOTTOM LINE: Contango
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