Contango Reports
Contango Report: Cotton Drops Into Backwardation
October 22, 2012
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Featured Commodity
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 (Nov. 12 – Dec. 12) for each of our selected commodities, please select a sector or commodity below (or read the whole report):
Energy
WTI
WTI
Current Annualized Cost
5.59% Annualized Cost 1 Week Previous 5.63% Historical 10/19 5YR Annualized Roll 5.78% 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, with some fluctuations starting toward midsummer. ROLL COSTS: It costs investors 5.59 percent annualized to roll front-month WTI contracts, down slightly from 5.63 percent. BOTTOM LINE: Contango Brent
Brent
Current Annualized Cost
-7.56% Annualized Cost 1 Week Previous -11.07% Historical 10/19 5YR Annualized Roll 6.09% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCBrent
CONTANGO WATCH: Brent's backwardation narrowed but continues across the one-year curve. ROLL COSTS: Investors net 7.56 percent annualized from rolling front-month Brent contracts, down from a net of 11.07 percent. BOTTOM LINE: Backwardation HH Natural Gas
HH
Current Annualized Cost
172.09% Annualized Cost 1 Week Previous 142.05% Historical 10/19 5YR Annualized Roll 261.01% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCHH
CONTANGO WATCH: The natural gas contango has widened again, remaining in the typical steep contango for this time of the year. ROLL COSTS: It costs investors 172.09 percent annualized to roll front-month natural gas contracts, up from 142.05 percent. BOTTOM LINE: Steep Contango Precious Metals
Gold
Gold
Current Annualized Cost
0.73% Annualized Cost 1 Week Previous 0.62% Historical 10/19 5YR Annualized Roll 1.08% Contract Months: Feb Apr Jun Aug Oct Dec RCGold
CONTANGO WATCH: Gold's mild contango widened following sinking prices. ROLL COSTS: It costs investors 0.73 percent annualized to roll front-month gold contracts, up from a cost of 0.62 percent. BOTTOM LINE: Mild Contango Silver
Silver
Current Annualized Cost
3.79% Annualized Cost 1 Week Previous 1.27% Historical 10/19 5YR Annualized Roll 1.57% Contract Months: Jan Mar May Jul Sep Dec RCSilver
CONTANGO WATCH: Contango has steepened in silver at the front end of the forward curve. ROLL COSTS: It costs investors 3.79 percent annualized to roll front-month silver contracts, up from a cost of 1.27 percent. BOTTOM LINE: Contango Platinum
Platin
Current Annualized Cost
1.35% Annualized Cost 1 Week Previous -0.10% Historical 10/19 5YR Annualized Roll 1.69% Contract Months: Jan Apr Jul Oct RCPlatin
CONTANGO WATCH: The platinum forward curve has moved into contango, continuing across the one-year forward curve. ROLL COSTS: Investors paid 1.35 percent annualized from rolling front-month platinum contracts, up from a net of 0.10 percent. BOTTOM LINE: Mild Contango Palladium
Pallad
Current Annualized Cost
3.89% Annualized Cost 1 Week Previous -0.31% Historical 10/19 5YR Annualized Roll 2.55% Contract Months: Mar Jun Sep Dec RCPallad
CONTANGO WATCH: Palladium peaks into contango at the very front end of the curve before dropping back down and remaining flat thereafter. ROLL COSTS: Investors paid 3.89 percent annualized from rolling front-month palladium contracts, down from a net of 0.31 percent. BOTTOM LINE: Contango Industrial Metals
Copper
Copper
Current Annualized Cost
0.07% Annualized Cost 1 Week Previous 0.22% Historical 10/19 5YR Annualized Roll 0.84% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCCopper
CONTANGO WATCH: Copper's mild contango has narrowed, but remains constant throughout the one-year forward curve. ROLL COSTS: It costs investors 0.07 percent annualized to roll front-month copper contracts, down from a cost of 0.22 percent. BOTTOM LINE: Mild Contango Aluminum
Alum
Current Annualized Cost
7.92% Annualized Cost 1 Week Previous 7.35% Historical 10/19 5YR Annualized Roll 7.97% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCAlum
CONTANGO WATCH: The aluminum forward curve remains in steady contango. ROLL COSTS: Front-month roll costs rose to 7.92 percent annualized from 7.35 percent. BOTTOM LINE: Contango Zinc
Zinc
Current Annualized Cost
8.55% Annualized Cost 1 Week Previous 8.30% Historical 10/19 5YR Annualized Roll 7.27% 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 8.55 percent annualized to roll front-month zinc contracts, up from a cost of 8.30 percent. BOTTOM LINE: Contango Lead
Lead
Current Annualized Cost
0.00% Annualized Cost 1 Week Previous -0.56% Historical 10/19 5YR Annualized Roll 3.64% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCLead
CONTANGO WATCH: Lead has moved out of backwardation and is flat at the front end of the curve, moving into mild contango thereafter. ROLL COSTS: Roll costs for lead were zero, up from a net of 0.56 percent. BOTTOM LINE: Flat to Mild Contango Nickel
Nickel
Current Annualized Cost
1.50% Annualized Cost 1 Week Previous 1.49% Historical 10/19 5YR Annualized Roll 2.49% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCNickel
CONTANGO WATCH: Nickel remains steady in mild contango throughout the forward curve. ROLL COSTS: It costs investors 1.50 percent annualized from rolling front-month nickel contracts, up slightly from a cost of 1.49 percent. BOTTOM LINE: Mild Contango Tin
Tin
Current Annualized Cost
-1.40% Annualized Cost 1 Week Previous -0.56% Historical 10/19 5YR Annualized Roll -4.52% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCTin
CONTANGO WATCH: The tin forward curve steepened its mild backwardation across the one-year forward curve. ROLL COSTS: Investors net 1.40 percent annualized from rolling front-month tin contracts, up from a net of 0.56 percent. BOTTOM LINE: Mild Backwardation Agricultural Commodities
Corn
Corn
Current Annualized Cost
-1.17% Annualized Cost 1 Week Previous -0.27% Historical 10/19 5YR Annualized Roll 9.12% Contract Months: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RCCorn
CONTANGO WATCH: Corn is in steepening backwardation, though the shape of the curve remains unchanged. ROLL COSTS: Investors net 1.17 percent annualized from rolling front-month corn contracts, up from a net of 0.27 percent. BOTTOM LINE: Mild Backwardation Wheat
Wheat
Current Annualized Cost
5.09% Annualized Cost 1 Week Previous 5.52% Historical 10/19 5YR Annualized Roll 16.45% Contract Months: Mar May Jul Sep Dec RCWheat
CONTANGO WATCH: Wheat's contango narrowed after peaking last week. ROLL COSTS: Wheat's annualized front-month roll costs dropped from 5.52 percent to 5.09 percent. BOTTOM LINE: Contango to Backwardation Soybeans
SoyB
Current Annualized Cost
0.87% Annualized Cost 1 Week Previous -0.30% Historical 10/19 5YR Annualized Roll 4.28% Contract Months: Jan Mar May Jul Aug Sep Nov RCSoyB
CONTANGO WATCH: Soybeans have moved out of backwardation into mild contango this week; however, backwardation remains dominant across the one-year forward curve. ROLL COSTS: It costs investors 0.87 percent annualized from rolling front-month soybeans contracts, up from a net of 0.30 percent. BOTTOM LINE: Mild Contango Live Cattle
LiveC
Current Annualized Cost
18.90% Annualized Cost 1 Week Previous 19.88% Historical 10/19 5YR Annualized Roll 10.64% Contract Months: Feb Apr Jun Aug Oct Dec RCLiveC
CONTANGO WATCH: The live cattle curve remains in contango, though narrowing slightly. ROLL COSTS: It costs investors 18.90 percent annualized to roll front-month live cattle contracts, down from a cost of 19.88 percent. BOTTOM LINE: Contango Lean Hogs
LeanH
Current Annualized Cost
55.45% Annualized Cost 1 Week Previous 58.74% Historical 10/19 5YR Annualized Roll 64.74% Contract Months: Feb Apr May Jun Jul Aug Oct Dec RCLeanH
CONTANGO WATCH: Though narrowing, the front end of the lean hogs forward curve remains in contango while the back end is in backwardation. ROLL COSTS: It costs investors 55.45 percent annualized to roll front-month lean hogs contracts, down from a cost of 58.74 percent. BOTTOM LINE: Contango to Backwardation Soft Commodities
Coffee C
Coffee
Current Annualized Cost
10.74% Annualized Cost 1 Week Previous 11.66% Historical 10/19 5YR Annualized Roll 9.04% 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 10.74 percent annualized to roll front-month coffee contracts, down from a cost of 11.66 percent. BOTTOM LINE: Contango Cocoa
Cocoa
Current Annualized Cost
1.46% Annualized Cost 1 Week Previous 2.58% Historical 10/19 5YR Annualized Roll 4.29% Contract Months: Mar May Jul Sep Dec RCCocoa
CONTANGO WATCH: Cocoa moved into milder contango last week, while remaining in contango across most of the one-year forward curve. ROLL COSTS: It costs investors 1.46 percent annualized to roll front-month cocoa contracts, down from a cost of 2.58 percent. BOTTOM LINE: Mild Contango Sugar #11
Sugar
Current Annualized Cost
-2.94% Annualized Cost 1 Week Previous -0.89% Historical 10/19 5YR Annualized Roll -15.58% Contract Months: Mar May Jul Oct RCSugar
CONTANGO WATCH: Sugar widened its steepening backwardation at the front end of the curve. ROLL COSTS: Investors net 2.94 percent annualized from rolling front-month sugar contracts, up from a net of 0.89 percent. BOTTOM LINE: Backwardation to Contango Cotton #2
Cotton
Current Annualized Cost
-9.28% Annualized Cost 1 Week Previous 3.06% Historical 10/19 5YR Annualized Roll 2.94% Contract Months: Mar May Jul Oct Dec RCCotton
CONTANGO WATCH: Cotton dropped into deep backwardation last week at the front end of the curve, while the back end remains in contango. ROLL COSTS: Cotton's annualized front-month roll costs dropped from 3.06 percent to net investors 9.28 percent. BOTTOM LINE: Backwardation to Contango
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