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Contango Reports

Contango Report: NatGas Roll Costs Spike October 01, 2012

Featured Commodity

CONTANGO WATCH: The natural gas contango widened significantly after the October futures contract expired and November became the front-month contract. The November-to-December roll is currently $0.29, or 170 percent annualized. Based on the futures strip, the market is pricing in a rally in natural gas to $3.67 in December and $3.82 in January.

ROLL COSTS: It costs investors 170.14 percent annualized to roll front-month natural gas contracts.

BOTTOM LINE: Steep 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 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 September 28, 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 09/28 5YR Annualized Roll
Energy WTI 4.53% 4.14% 0.31% 5.58%
Brent -8.76% -7.48% -0.59% 1.66%
HH Natural Gas 170.14% 112.26% 3.41% 185.65%
Precious Metals Gold 0.64% 0.82% 0.12% 1.27%
Silver -6.85% 4.53% 0.14% -0.21%
Platinum -3.86% 1.00% 0.26% 0.65%
Palladium 0.81% 7.67% 0.25% 1.44%
Industrial Metals Copper 0.22% 0.22% -0.01% -0.11%
Aluminum 5.70% 8.61% 0.52% 6.27%
Zinc 5.45% 7.55% 0.13% 5.04%
Lead -0.66% 3.60% 0.28% 2.33%
Nickel 1.11% 1.13% 0.10% 1.75%
Tin -1.09% -1.43% 0.05% -3.37%
Agricultural Commodities Corn 1.72% 1.62% -1.23% 10.06%
Wheat 4.90% 4.55% 2.33% 15.35%
Soybeans 0.85% 0.28% -0.18% 4.88%
Live Cattle 19.32% 14.96% 1.21% 9.24%
Lean Hogs 66.00% -6.36% 0.79% 62.70%
Soft Commodities Coffee C 8.94% 9.78% 1.10% 8.04%
Cocoa 2.46% 2.61% 0.77% 3.29%
Sugar #11 -0.29% 9.06% -0.83% -12.47%
Cotton #2 5.65% 9.77% -0.29% 7.61%



Energy
WTI
WTI
Current Annualized Cost
4.53%
Annualized Cost 1 Week Previous
4.14%
Historical 09/28 5YR Annualized Roll
5.58%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCWTI

CONTANGO WATCH: WTI is in contango across most of the one-year forward curve.

ROLL COSTS: It costs investors 4.53 percent annualized to roll front-month WTI contracts, up slightly from 4.14 percent.

BOTTOM LINE: Contango

Brent
Brent
Current Annualized Cost
-8.76%
Annualized Cost 1 Week Previous
-7.48%
Historical 09/28 5YR Annualized Roll
1.66%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCBrent

CONTANGO WATCH: Brent’s backwardation widened last week.

ROLL COSTS: Investors net 8.76 percent annualized from rolling front-month Brent contracts, up from a net of 7.48 percent.

BOTTOM LINE: Backwardation

HH Natural Gas
HH
Current Annualized Cost
170.14%
Annualized Cost 1 Week Previous
112.26%
Historical 09/28 5YR Annualized Roll
185.65%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCHH

CONTANGO WATCH: The natural gas contango widened significantly after the October futures contract expired and November became the front-month contract. The November-to-December roll is currently $0.29, or 170 percent annualized. The market is essentially already pricing in a rally in natural gas to $3.67 in December and $3.82 in January.

ROLL COSTS: It costs investors 170.14 percent annualized to roll front-month natural gas contracts.

BOTTOM LINE: Steep Contango

Precious Metals
Gold
Gold
Current Annualized Cost
0.64%
Annualized Cost 1 Week Previous
0.82%
Historical 09/28 5YR Annualized Roll
1.27%
Contract Months:
Feb Apr Jun Aug Oct Dec
RCGold

CONTANGO WATCH: Gold is in mild contango.

ROLL COSTS: It costs investors 0.64 percent annualized to roll front-month gold contracts, down from 0.82 percent.


BOTTOM LINE: Mild Contango

Silver
Silver
Current Annualized Cost
-6.85%
Annualized Cost 1 Week Previous
4.53%
Historical 09/28 5YR Annualized Roll
-0.21%
Contract Months:
Jan Mar May Jul Sep Dec
RCSilver

CONTANGO WATCH: Silver is in backwardation at the front end of the forward curve.

ROLL COSTS: Investors net 6.85 percent annualized from rolling front-month silver contracts, down from a cost of 4.53 percent.

BOTTOM LINE: Backwardation to Contango

Platinum
Platin
Current Annualized Cost
-3.86%
Annualized Cost 1 Week Previous
1.00%
Historical 09/28 5YR Annualized Roll
0.65%
Contract Months:
Jan Apr Jul Oct
RCPlatin

CONTANGO WATCH: Platinum is in contango at the front end of the forward curve.

ROLL COSTS: Investors net 3.86 percent annualized from rolling second-month platinum contracts, down from a cost of 1 percent.

BOTTOM LINE: Contango to Backwardation

Palladium
Pallad
Current Annualized Cost
0.81%
Annualized Cost 1 Week Previous
7.67%
Historical 09/28 5YR Annualized Roll
1.44%
Contract Months:
Mar Jun Sep Dec
RCPallad

CONTANGO WATCH: Palladium is in mild contango at the very front end of the curve.

ROLL COSTS: It costs investors 0.81 percent annualized to roll front-month palladium contracts, down from a cost of 7.67 percent.

BOTTOM LINE: Mild Contango

Industrial Metals
Copper
Copper
Current Annualized Cost
0.22%
Annualized Cost 1 Week Previous
0.22%
Historical 09/28 5YR Annualized Roll
-0.11%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCCopper

CONTANGO WATCH: Copper is in mild contango and mild backwardation throughout the one-year forward curve.

ROLL COSTS: It costs investors 0.22 percent annualized to roll second-month copper contracts, same as last week.

BOTTOM LINE: Mild Contango to Mild Backwardation

Aluminum
Alum
Current Annualized Cost
5.70%
Annualized Cost 1 Week Previous
8.61%
Historical 09/28 5YR Annualized Roll
6.27%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCAlum

CONTANGO WATCH: The aluminum forward curve is in steady contango.

ROLL COSTS: Front-month roll costs fell to 5.7 percent annualized, down from a cost 0f 8.61 percent.

BOTTOM LINE: Contango

Zinc
Zinc
Current Annualized Cost
5.45%
Annualized Cost 1 Week Previous
7.55%
Historical 09/28 5YR Annualized Roll
5.04%
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 5.45 percent annualized to roll front-month zinc contracts, down from a cost of 7.55 percent.

BOTTOM LINE: Contango

Lead
Lead
Current Annualized Cost
-0.66%
Annualized Cost 1 Week Previous
3.60%
Historical 09/28 5YR Annualized Roll
2.33%
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: Investors net 0.66 percent annualized from rolling second-month lead contracts, down from a cost of 3.6 percent.

BOTTOM LINE: Contango to Backwardation to Contango

Nickel
Nickel
Current Annualized Cost
1.11%
Annualized Cost 1 Week Previous
1.13%
Historical 09/28 5YR Annualized Roll
1.75%
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 1.11 percent from 1.13 percent.

BOTTOM LINE: Mild Contango

Tin
Tin
Current Annualized Cost
-1.09%
Annualized Cost 1 Week Previous
-1.43%
Historical 09/28 5YR Annualized Roll
-3.37%
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 1.09 percent annualized from rolling front-month tin contracts, down from a net of 1.43 percent.

BOTTOM LINE: Mild Backwardation to Flat

Agricultural Commodities
Corn
Corn
Current Annualized Cost
1.72%
Annualized Cost 1 Week Previous
1.62%
Historical 09/28 5YR Annualized Roll
10.06%
Contract Months:
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
RCCorn

CONTANGO WATCH: Corn is in mild contango at the front end of the curve.

ROLL COSTS: It costs investors 1.72 percent annualized to roll front-month corn contracts, up slightly from a cost of 1.62 percent.

BOTTOM LINE: Mild Contango to Backwardation

Wheat
Wheat
Current Annualized Cost
4.90%
Annualized Cost 1 Week Previous
4.55%
Historical 09/28 5YR Annualized Roll
15.35%
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 4.9 percent from 4.55 percent.

BOTTOM LINE: Contango to Backwardation

Soybeans
SoyB
Current Annualized Cost
0.85%
Annualized Cost 1 Week Previous
0.28%
Historical 09/28 5YR Annualized Roll
4.88%
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 0.85 percent annualized to roll front-month soybeans contract, up from a cost of 0.28 percent.

BOTTOM LINE: Mild Contango to Backwardation

Live Cattle
LiveC
Current Annualized Cost
19.32%
Annualized Cost 1 Week Previous
14.96%
Historical 09/28 5YR Annualized Roll
9.24%
Contract Months:
Feb Apr Jun Aug Oct Dec
RCLiveC

CONTANGO WATCH: Live cattle curve is in contango across most of the one-year forward curve.

ROLL COSTS: It costs investors 19.32 percent annualized to roll front-month live cattle contracts, up from a cost of 14.96 percent.

BOTTOM LINE: Contango

Lean Hogs
LeanH
Current Annualized Cost
66.00%
Annualized Cost 1 Week Previous
-6.36%
Historical 09/28 5YR Annualized Roll
62.70%
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: It costs investors 66 percent annualized to roll second-month lean hogs contracts, up from a net of 6.36 percent.

BOTTOM LINE: Backwardation to Contango to Backwardation

Soft Commodities
Coffee C
Coffee
Current Annualized Cost
8.94%
Annualized Cost 1 Week Previous
9.78%
Historical 09/28 5YR Annualized Roll
8.04%
Contract Months:
Mar May Jul Sep Dec
RCCoffee

CONTANGO WATCH: Coffee is in contango throughout the one-year forward curve.

ROLL COSTS: It costs investors 8.94 percent annualized to roll front-month coffee contracts, down from a cost of 9.78 percent.

BOTTOM LINE: Contango

Cocoa
Cocoa
Current Annualized Cost
2.46%
Annualized Cost 1 Week Previous
2.61%
Historical 09/28 5YR Annualized Roll
3.29%
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 2.46 percent annualized to roll front-month cocoa contracts.

BOTTOM LINE: Contango

Sugar #11
Sugar
Current Annualized Cost
-0.29%
Annualized Cost 1 Week Previous
9.06%
Historical 09/28 5YR Annualized Roll
-12.47%
Contract Months:
Mar May Jul Oct
RCSugar

CONTANGO WATCH: Sugar is in mild backwardation at the front end of the curve.

ROLL COSTS: Investors net 0.29 percent annualized from rolling front-month sugar contracts.

BOTTOM LINE: Mild Backwardation to Contango

Cotton #2
Cotton
Current Annualized Cost
5.65%
Annualized Cost 1 Week Previous
9.77%
Historical 09/28 5YR Annualized Roll
7.61%
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 5.65 percent annualized to roll front-month cotton contracts.

BOTTOM LINE: Contango

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