217:(ETFs) provide an opportunity for small investors to participate in commodity futures markets, which is tempting in periods of low interest rates. Between 2005 and 2010 the number of futures-based commodity ETFs rose from 2 to 95, and total assets rose from $ 3.9 billion to nearly $ 98 billion in the same period. Because the normal course of a futures contract in a market in contango is to decline in price, a fund composed of such contracts buys the contracts at the high price (going forward) and closes them out later at the usually lower spot price. The money raised from the low priced, closed out contracts will not buy the same number of new contracts going forward.
203:
selling today is lower than the spot price, and its trajectory will take it upward to the spot price when the contract closes. Paper assets are no different: for example, an insurance company has a constant stream of income from premiums and a constant stream of payments for claims. Income must be invested in new assets and existing assets must be sold to pay off claims. By investing in the purchase and sale of some bonds "forward" in addition to buying spot, an insurance company can smooth out changes in its portfolio and anticipated income.
735:, 21 December 2010, quoting a trader: "'Holding ready-for-delivery metals on an exchange isn't a cheap undertaking for traders, who are responsible for paying insurance, storage and financing costs." And 'the end game is to find somebody to buy something you have already bought for a higher price,' Mr. Threkeld says. 'The recent boom in metal prices has enabled traders to purchase the physical metal, sell a futures contract at a much higher price and still make a profit after paying for storage and insurance.'"
179:, in a report on agricultural commodity speculation, defined backwardation and contango in relation to spot prices: "The futures price may be either higher or lower than the spot price. When the spot price is higher than the futures price, the market is said to be in backwardation. It is often called 'normal backwardation' as the futures buyer is rewarded for risk he takes off the producer. If the spot price is lower than the futures price, the market is in contango".
20:
2060:
297:). But by the summer, that price curve had flattened considerably. The contango exhibited in crude oil in 2009 explained the discrepancy between the headline spot price increase (bottoming at $ 35 and topping $ 80 in the year) and the various tradeable instruments for crude oil (such as rolled contracts or longer-dated futures contracts) showing a much lower price increase. The
191:
the spot price as shown in the graph. In uncertain markets where end users must constantly have a certain input of a stock of goods, a combination of forward (future) and spot buying reduces uncertainty. An oil refiner might purchase 50% spot and 50% forward, getting an averaged price of $ 87.50 for the one barrel spot ($ 75) and the one barrel bought forward ($ 100).
418:
less than the expected spot price at delivery (and hence the futures price is expected to rise) normal backwardation. Industrial hedgers' preference for long rather than short forward positions results in a situation of normal backwardation. Speculators fill the gap by taking profitable short positions, with the risk offset by higher current spot prices.
187:
actually still be $ 75. To purchase a contract at more than $ 75 supposes a loss (the "loss" would be $ 25 if the contract were purchased for $ 100) to the agent who "bought forward" as opposed to waiting a year to buy at the spot price when oil is actually needed. But even so, there is utility for the forward buyer in the deal.
190:
Experience tells major end users of commodities (such as gasoline refiners, or cereal companies that use great quantities of grain) that spot prices are unpredictable. Locking in a future price puts the purchaser "first in line" for delivery even though the contract will, as it matures, converge on
66:
are "willing to pay more for a commodity at some point in the future than the actual expected price of the commodity . This may be due to people's desire to pay a premium to have the commodity in the future rather than paying the costs of storage and carry costs of buying the commodity today." On
434:
investors are hedging against "inflation, US dollar weakness and possible geopolitical events," instead of investing in the front end of the oil market. Bouchouev applied the changes in investor behaviour to "the classical Keynes-Hicks theory of normal backwardation, and the Kaldor-Working-Brennan
384:
The purpose was normally speculative. Settlement days were on a fixed schedule (such as fortnightly) and a speculative buyer did not have to take delivery and pay for stock until the following settlement day, and on that day could "carry over" their position to the next by paying the contango fee.
417:
assumed there are two types of participants in futures markets: speculators and hedgers. Keynes argued that if hedgers are net short, speculators must be net long. Speculators will not go net long unless the futures price is expected to rise. Keynes called the situation where the futures price is
220:
Funds can and have lost money even in fairly stable markets. There are strategies to mitigate this problem, including allowing the ETF to create a stock of precious metals for the purpose of allowing investors to speculate on fluctuations in its value. But storage costs will be quite variable, an
202:
The graph of the "life of a single futures contract" (as shown above on the right) will show it converging towards the spot price. The contango contract for future delivery, selling today, is at a price premium relative to buying the commodity today and taking delivery. The backwardation contract
644:"A non-commercial trader is a trader that is not commercially engaged in business activities hedged by the use of the futures or option markets (CFTC classification). The non-commercial classification does not include swap dealers and commodity index trading is generally considered as commercial"
224:
Industrial scale buyers of major commodities, particularly when compared to small retail investors, retain an advantage in futures markets. The raw material cost of the commodity is only one of many factors that influence their final costs and prices. Contango pricing strategies that catch small
194:
This strategy can result in unanticipated, or "windfall" profits: If the contract is purchased forward twelve months at $ 100 and the actual price is $ 150, the refiner will take delivery of one barrel of oil at $ 100 and the other at the spot price of $ 150, or $ 125 averaged for two barrels: a
186:
depicting the prices of multiple contracts, all for the same good, but of different maturities, slopes upward. For example, a forward oil contract for twelve months in the future is selling for $ 100 today, while today's spot price is $ 75. The expected spot price twelve months in the future may
421:
Hicks "reversed Keynes's theory by pointing out that there are situations where hedgers are net long. In this situation, called contango, speculators must be net short. Speculators will not go net short unless futures prices are expected to fall. When markets are in contango, futures prices are
313:
were expected to fall in a contango market, this would narrow the spread between a futures contract and an underlying asset in good supply. This is because the cost of carry will fall due to the lower interest rate, which in turn results in the difference between the price of the future and the
277:
If such was the case, the premium may have ended when global oil storage capacity became exhausted; the contango would have deepened as the lack of storage supply to soak up excess oil supply would have put further pressure on spot prices. However, as crude and gasoline prices continued to rise
433:
Bouchouev argued that traditionally there was always more producer hedging than consumer hedging in oil markets. The oil market now attracts investor money which currently far exceeds the gap between producer and consumer. Contango used to be the 'normal' for the oil market. Since c. 2008–9,
970:
Contango, probably a corruption of continue, a Stock
Exchange phrase, meaning a sum of money, or a percentage, paid for accommodating a buyer in carrying an engagement to pay money for speculative purchases of stock, over to next account day; contango day, the second day before settling
198:
Sellers like to "sell forward" because it locks in an income stream. Farmers are the classic example: by selling their crop forward when it is still in the ground they can lock in a price, and therefore an income, which helps them qualify, in the present, for credit.
225:
investors by surprise are more familiar to the managers of a large firm, who must decide whether to take delivery of a product today, at today's spot price, and store it themselves, or pay more for a forward contract, and let someone else do the storage for them.
27:
will typically behave through time in relation to the expected future price at any point in time. A futures contract in contango will normally decrease in value until it equals the spot price of the underlying commodity at maturity. This graph does not show the
321:
If, on the other hand, the spread between a future traded on an underlying asset and the spot price of the underlying asset was set to widen, possibly due to a rise in short-term interest rates, then an investor would be advised to sell the spread (i.e. a
221:
example being that copper ingots require considerably more storage space, and thus carrying cost, than gold, and command lower prices in world markets: it is unclear how well a model that works for gold will work with other commodities.
104:
spot price, or a far-dated futures price is above a near-dated futures price, and the expectation is for the spot price to rise to the futures price at maturity, or the near-dated futures price to rise to the far-dated futures price.
124:). "In broad terms, backwardation reflects the majority market view that spot prices will move down, and contango that they will move up. Both situations allow speculators (non-commercial traders) to earn a profit."
381:, contango was a fee paid by a buyer to a seller when the buyer wished to defer settlement of the trade they had agreed. The charge was based on the interest forgone by the seller not being paid.
159:). For perishable commodities, price differences between near and far delivery are not a contango. Different delivery dates are in effect entirely different commodities in this case, since fresh
116:
be upward sloping (i.e., "normal"), since contracts for further dates would typically trade at even higher prices. The curves in question plot market prices for various contracts at different
236:). The EU describes the two groups of players in the commodity futures market, hedgers (commodity producers and commodity users) or arbitrageurs/speculators (non-commercial investors).
362:
270:
market. Traders simultaneously bought oil and sold futures forward. This led to large numbers of tankers loaded with oil sitting idle in ports acting as floating warehouses. (see:
984:
475:
774:
594:
71:(commodity producers and commodity holders) are happy to sell futures contracts and accept the higher-than-expected returns. A contango market is also known as a
1001:
1603:
1178:
862:
361:, the argument is made that index-tracking funds (to which Goldman Sachs Commodity Index was linked) did not cause the bubble. It describes a report by the
232:
price against the spot price plus storage, and choose the better one. Arbitrageurs can sell one and buy the other for a theoretically risk-free profit (see
1134:
239:
If there is a near-term shortage, the price comparison breaks down and contango may be reduced or perhaps even be reversed altogether into a state called
206:
The Oil
Storage contango was introduced to the market in early 1990 by the Swedish-based oil storage company Scandinavian Tank Storage AB and its founder
243:. In that state, near prices become higher than far (i.e., future) prices because consumers prefer to have the product sooner rather than later (see
210:
by using huge military storage installations to bring down the "calculation" cost of storage to create a contango situation out of a "flat" market.
1943:
287:
377:
The term originated in 19th century
England and is believed to be a corruption of "continuation", "continue" or "contingent". In the past on the
1029:"In Contango Versus Backwardation, the Truth May Not be in Convenience: Disequilibrium States and the Spot-Forward Balance in Commodity Markets"
430:, on the economic equilibrium theory, in particular the issue of the stability of equilibrium in an economic system exposed to external shocks.
1633:
900:
293:
A crude oil contango occurred again in
January 2009, with arbitrageurs storing millions of barrels in tankers to profit from the contango (see
176:
349:
827:
366:
279:
1765:
718:
Carolyn Cui, "Getting
Tripped Up by the Contango: A futures-market quirk can hurt commodities returns—if investors aren't aware of it,"
1501:
1011:
604:
799:
259:
in the underlying commodity. By the same token, a market that is deeply in contango may indicate a perception of a current supply
255:, one where there is a very steep premium for material available for immediate delivery—often indicates a perception of a current
2003:
1171:
121:
385:
This practice was common before 1930, but came to be used less and less, particularly after options were reintroduced in 1958.
314:
underlying growing smaller (i.e. narrowing). An investor would be advised to buy the spread in these circumstances: this is a
2085:
1938:
1583:
318:
trade where the trader buys the near-dated instrument and simultaneously sells the far-dated instrument (i.e. the future).
938:
Yesterday was
Settling Day in Consols, and Monday next the Settling of Omnium. Owing to the great scarcity of money, the
266:
In 2005 and 2006 a perception of an impending supply shortage allowed traders to take advantages of the contango in the
480:
Review of the difference uses of the words contango, backwardation, contango theory and theory of normal backwardation.
1978:
1516:
1370:
1164:
694:
1597:
1775:
961:
745:
1879:
1690:
392:, future delivery costing more than immediate delivery, and the charge representing cost of carry to the holder.
274:) It was estimated that perhaps a $ 10–20 per barrel premium was added to spot price of oil as a result of this.
100:
In industry parlance, contango may refer to the situation when futures prices (or forward prices) are above the
1998:
1993:
1648:
1593:
1948:
1618:
1608:
1476:
1317:
1249:
207:
572:
1897:
1745:
1730:
1695:
1638:
298:
438:, and looked at how calendar spread options (CSOs) became an increasingly popular risk management tool."
1958:
1809:
1725:
1302:
378:
326:
where the trader sells the near-dated instrument and simultaneously buys the future on the underlying).
1623:
876:
681:
527:
501:
1912:
1869:
1859:
1849:
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1400:
1395:
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1229:
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447:
336:
214:
1628:
817:
1917:
1705:
1451:
413:
401:
144:
965:
228:
The contango should not exceed the cost of carry, because producers and consumers can compare the
2090:
1968:
1953:
1922:
1907:
1874:
1740:
1531:
1496:
1259:
1224:
1187:
1117:
1095:
795:
547:
117:
749:
695:"Understanding the concept Contango, backwardation, convenience yield in Financial Derivatives"
1973:
1963:
1902:
1889:
1864:
1750:
1536:
1332:
1007:
823:
600:
457:
452:
435:
427:
294:
271:
244:
655:
251:
profit by selling the spot and buying back the future. A market that is steeply backwardated—
1854:
1844:
1834:
1793:
1788:
1770:
1700:
1466:
1461:
1433:
1385:
1264:
1204:
1087:
1043:
942:
on both is extremely great, nearly equal to 15 per cent. for money, from account to account.
539:
233:
229:
44:
40:
24:
2064:
2034:
2029:
1983:
1819:
1814:
1760:
1670:
1578:
1551:
1491:
1486:
1456:
1405:
1390:
1307:
1287:
323:
315:
283:
164:
68:
1128:
955:
2039:
2024:
1824:
1735:
1685:
1662:
1643:
1471:
1413:
1380:
1375:
1355:
1279:
1062:
348:
in wheat and a contango market on the
Chicago Mercantile Exchange, contributing to the
310:
19:
2079:
2019:
1988:
1829:
1755:
1715:
1710:
1546:
1418:
1365:
1360:
1342:
1239:
1219:
1099:
920:
822:. London, United Kingdom: The Securities & Investment Institute. pp. 72–77.
660:
551:
357:
240:
183:
132:
128:
109:
94:
86:
77:
29:
1839:
1613:
1541:
1521:
1481:
1350:
1322:
1312:
1254:
624:
620:
505:
345:
97:
since they want the futures price to rise to the level of the current spot price".
916:
1091:
846:
731:
Tatyana
Shumsky and Carolyn Cui, "Trader Holds $ 3 Billion of Copper in London,"
580:
Task force on the role of speculation in agricultural commodities price movements
1720:
1588:
1559:
1555:
1506:
1297:
1292:
1078:
Ilia
Bouchouev (2012). "Inconvenience yield, or the theory of normal contango".
1047:
423:
341:
278:
between 2007 and 2008 this practice became so contentious that in June 2008 the
136:
93:
spot price for a particular commodity. This is favorable for investors who have
1028:
682:
Futures basis, inventory and commodity price volatility: An empirical analysis.
2044:
1680:
1675:
1441:
1327:
543:
405:
160:
63:
55:
957:
Significant
Etymology (or Roots, Stems, and Branches of the English Language)
582:(Report). Brussels: Commission of the European Communities. 21 November 2008.
1234:
865:, Amy Goodman and Juan Gonzales, Interview with Frederick Kaufman, 2010 7 17
496:
494:
290:(SEC) decided to create task forces to investigate whether this took place.
267:
248:
59:
48:
16:
Situation when futures prices are above the expected spot price at maturity
2059:
1526:
1423:
1244:
753:
140:
400:
Economic theory regarding backwardation and contango is associated with
148:
847:
The Food Bubble: How Wall Street Starved Millions and got away with it
388:
This fee was similar in character to the present meaning of contango,
89:. "A market is 'in backwardation' when the futures price is below the
1156:
680:
Symeonidis, L., Prokopczuk, M., Brooks, C., & Lazar, E. (2012).
599:. A Dictionary of Economics (3 ed.). Oxford University Press.
532:
Transportation Research Part E: Logistics and Transportation Review
18:
301:
ETF also failed to replicate crude oil's spot price performance.
528:"Crude oil contango arbitrage and the floating storage decision"
156:
1160:
1127:
163:
today will not still be fresh in six months' time, ninety-day
195:
saving (gain) of $ 25 per barrel relative to the spot price.
800:"Crude Oil, Contango and Roll Yield for Commodity Trading"
833:
593:
John Black; Nigar Hashimzade; Gareth Myles, eds. (2009).
819:
Derivatives: The Official Learning and Reference Manual
363:
Organisation for Economic Co-operation and Development
85:
The opposite market condition to contango is known as
58:
of the contract at maturity. In a contango situation,
247:), and because there are few holders who can make an
1122:
story: Contango in Oil Markets Explained, 2008-12-17
2012:
1931:
1888:
1784:
1661:
1569:
1432:
1341:
1278:
1212:
1203:
573:
Is There a Speculative Bubble in Commodity Markets?
213:Contango is a potential trap for unwary investors.
32:(which plots against maturities on the horizontal).
1003:Financial Derivatives: Pricing and Risk Management
1138:. Vol. 7 (11th ed.). 1911. p. 23.
775:"CFTC to probe energy speculation with Fed, SEC"
750:"Analyst: Blame Investors for High Gas Prices"
1172:
1000:Robert Kolb; James A. Overdahl, eds. (2010).
714:
712:
23:This graph depicts how the price of a single
8:
422:expected to decline." In 1972 Hicks won the
1209:
1179:
1165:
1157:
1027:Bowden, Roger J.; Posch, Peter N. (2013).
777:. The Wall Street Journal marketwatch.com
567:
565:
563:
561:
2004:Power reverse dual-currency note (PRDC)
1944:Constant proportion portfolio insurance
875:TRNN — Jayati Ghosh (6 May 2010).
490:
288:U.S. Securities and Exchange Commission
811:
809:
526:Regli, Frederik; Adland, Roar (2019).
177:Commission of the European Communities
684:Economic Modelling, 29(6), 2651-2663.
7:
1939:Collateralized debt obligation (CDO)
367:Commodity Futures Trading Commission
280:Commodity Futures Trading Commission
1144:fifteenth edition (1974), articles
502:"Contango vs. Normal Backwardation"
476:"Contango and Backwardation Review"
654:Kaminska, Izabella (8 July 2010).
14:
989:. Vol. 2. London: Macmillan.
350:2007–2008 world food price crisis
330:2007–2008 world food price crisis
143:forgone on money tied up (or the
2058:
773:Mandaro, Laura (June 10, 2008).
122:term structure of interest rates
816:Morrissey, Bob (January 2009).
722:, 17 December 2010, pp. C5, C8.
340:, Frederick Kaufman argued the
151:out the commodity if possible (
1766:Year-on-year inflation-indexed
426:for economics on the basis of
1:
1776:Zero-coupon inflation-indexed
342:Goldman Sachs Commodity Index
67:the other side of the trade,
1092:10.1080/14697688.2012.723463
39:is a situation in which the
1979:Foreign exchange derivative
1371:Callable bull/bear contract
1048:10.1016/j.procs.2013.05.035
901:Clearing the usual suspects
2107:
1146:Contango and Backwardation
962:William Blackwood and Sons
863:Democracy Now (radio show)
355:In a June 2010 article in
147:, etc.), less income from
2053:
1880:Stock market index future
1194:
1036:Procedia Computer Science
544:10.1016/j.tre.2018.11.007
127:Contango is normal for a
1999:Mortgage-backed security
1994:Interest rate derivative
1969:Equity-linked note (ELN)
1954:Credit-linked note (CLN)
983:Keynes, John M. (1930).
954:Mitchell, James (1908).
849:, by Frederick Kaufman,
365:that used data from the
234:rational pricing—futures
167:will have matured, etc.
1949:Contract for difference
1250:Risk-free interest rate
1142:Encyclopædia Britannica
1135:Encyclopædia Britannica
733:The Wall Street Journal
720:The Wall Street Journal
208:Lars Valentin Jacobsson
1731:Forward Rate Agreement
932:"York, &c. news".
33:
2086:Derivatives (finance)
1959:Credit default option
1303:Employee stock option
1120:All Things Considered
1006:. New Jersey: Wiley.
379:London Stock Exchange
334:In a 2010 article in
215:Exchange-traded funds
135:. Such costs include
131:commodity that has a
22:
1913:Inflation derivative
1898:Commodity derivative
1870:Single-stock futures
1860:Normal backwardation
1850:Interest rate future
1691:Conditional variance
1197:Derivative (finance)
1080:Quantitative Finance
1061:J. R. Hicks (1939).
882:. Pacific Free Press
877:"Global Food Bubble"
463:Commodity index fund
448:Normal backwardation
2065:Business portal
1918:Property derivative
986:A Treatise on Money
836:on October 6, 2008.
748:(August 24, 2006).
414:A Treatise on Money
402:John Maynard Keynes
145:time value of money
51:is higher than the
1923:Weather derivative
1908:Freight derivative
1890:Exotic derivatives
1810:Commodities future
1497:Intermarket spread
1260:Synthetic position
1188:Derivatives market
1111:General references
369:to make the case.
263:in the commodity.
34:
2073:
2072:
1974:Equity derivative
1964:Credit derivative
1932:Other derivatives
1903:Energy derivative
1865:Perpetual futures
1746:Overnight indexed
1696:Constant maturity
1657:
1656:
1604:Finite difference
1537:Protective option
1086:(12): 1773–1777.
1064:Value and Capital
936:: 2. 1803-02-28.
829:978-1-906917-11-1
458:Theory of storage
453:Oil-storage trade
436:theory of storage
428:Value and Capital
337:Harper's Magazine
295:oil-storage trade
272:Oil-storage trade
245:convenience yield
2098:
2063:
2062:
1835:Forwards pricing
1609:Garman–Kohlhagen
1210:
1181:
1174:
1167:
1158:
1139:
1131:
1129:"Contango"
1104:
1103:
1075:
1069:
1068:
1058:
1052:
1051:
1033:
1024:
1018:
1017:
997:
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990:
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973:
951:
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929:
923:
914:
908:
898:
892:
891:
889:
887:
881:
872:
866:
860:
854:
844:
838:
837:
832:. Archived from
813:
804:
803:
792:
786:
785:
783:
782:
770:
764:
763:
761:
760:
742:
736:
729:
723:
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707:
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702:
691:
685:
678:
672:
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669:
668:
651:
645:
642:
636:
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633:
631:
617:
611:
610:
590:
584:
583:
577:
569:
556:
555:
523:
517:
516:
514:
512:
498:
479:
230:futures contract
25:forward contract
2106:
2105:
2101:
2100:
2099:
2097:
2096:
2095:
2076:
2075:
2074:
2069:
2057:
2049:
2035:Great Recession
2030:Government debt
2008:
1984:Fund derivative
1927:
1884:
1845:Futures pricing
1820:Dividend future
1815:Currency future
1798:
1780:
1653:
1629:Put–call parity
1565:
1552:Vertical spread
1487:Diagonal spread
1457:Calendar spread
1428:
1337:
1274:
1199:
1190:
1185:
1155:
1126:
1113:
1108:
1107:
1082:. Commodities.
1077:
1076:
1072:
1060:
1059:
1055:
1031:
1026:
1025:
1021:
1014:
999:
998:
994:
982:
981:
977:
953:
952:
948:
931:
930:
926:
915:
911:
899:
895:
885:
883:
879:
874:
873:
869:
861:
857:
845:
841:
830:
815:
814:
807:
794:
793:
789:
780:
778:
772:
771:
767:
758:
756:
744:
743:
739:
730:
726:
717:
710:
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698:
693:
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688:
679:
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666:
664:
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629:
627:
619:
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607:
592:
591:
587:
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559:
525:
524:
520:
510:
508:
500:
499:
492:
487:
478:. Khan Academy.
474:
471:
469:Further reading
444:
398:
396:Economic theory
375:
332:
324:calendar spread
316:calendar spread
307:
284:Federal Reserve
173:
108:The futures or
17:
12:
11:
5:
2104:
2102:
2094:
2093:
2088:
2078:
2077:
2071:
2070:
2068:
2067:
2054:
2051:
2050:
2048:
2047:
2042:
2040:Municipal debt
2037:
2032:
2027:
2025:Corporate debt
2022:
2016:
2014:
2010:
2009:
2007:
2006:
2001:
1996:
1991:
1986:
1981:
1976:
1971:
1966:
1961:
1956:
1951:
1946:
1941:
1935:
1933:
1929:
1928:
1926:
1925:
1920:
1915:
1910:
1905:
1900:
1894:
1892:
1886:
1885:
1883:
1882:
1877:
1872:
1867:
1862:
1857:
1852:
1847:
1842:
1837:
1832:
1827:
1825:Forward market
1822:
1817:
1812:
1807:
1801:
1799:
1797:
1796:
1791:
1785:
1782:
1781:
1779:
1778:
1773:
1768:
1763:
1758:
1753:
1748:
1743:
1738:
1733:
1728:
1723:
1718:
1713:
1708:
1706:Credit default
1703:
1698:
1693:
1688:
1683:
1678:
1673:
1667:
1665:
1659:
1658:
1655:
1654:
1652:
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1646:
1641:
1636:
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1611:
1606:
1601:
1591:
1586:
1581:
1575:
1573:
1567:
1566:
1564:
1563:
1549:
1544:
1539:
1534:
1529:
1524:
1519:
1514:
1509:
1504:
1502:Iron butterfly
1499:
1494:
1489:
1484:
1479:
1474:
1472:Covered option
1469:
1464:
1459:
1454:
1449:
1444:
1438:
1436:
1430:
1429:
1427:
1426:
1421:
1416:
1411:
1410:Mountain range
1408:
1403:
1398:
1393:
1388:
1383:
1378:
1373:
1368:
1363:
1358:
1353:
1347:
1345:
1339:
1338:
1336:
1335:
1330:
1325:
1320:
1315:
1310:
1305:
1300:
1295:
1290:
1284:
1282:
1276:
1275:
1273:
1272:
1267:
1262:
1257:
1252:
1247:
1242:
1237:
1232:
1227:
1222:
1216:
1214:
1207:
1201:
1200:
1195:
1192:
1191:
1186:
1184:
1183:
1176:
1169:
1161:
1154:
1153:
1124:
1114:
1112:
1109:
1106:
1105:
1070:
1053:
1019:
1012:
992:
975:
946:
924:
909:
903:, Buttonwood,
893:
867:
855:
839:
828:
805:
787:
765:
746:Davidson, Adam
737:
724:
708:
686:
673:
656:"It's the BIS"
646:
637:
612:
605:
585:
557:
518:
489:
488:
486:
483:
482:
481:
470:
467:
466:
465:
460:
455:
450:
443:
440:
397:
394:
374:
373:Origin of term
371:
331:
328:
311:interest rates
309:If short-term
306:
305:Interest rates
303:
172:
169:
165:treasury bills
95:long positions
15:
13:
10:
9:
6:
4:
3:
2:
2103:
2092:
2089:
2087:
2084:
2083:
2081:
2066:
2061:
2056:
2055:
2052:
2046:
2043:
2041:
2038:
2036:
2033:
2031:
2028:
2026:
2023:
2021:
2020:Consumer debt
2018:
2017:
2015:
2013:Market issues
2011:
2005:
2002:
2000:
1997:
1995:
1992:
1990:
1989:Fund of funds
1987:
1985:
1982:
1980:
1977:
1975:
1972:
1970:
1967:
1965:
1962:
1960:
1957:
1955:
1952:
1950:
1947:
1945:
1942:
1940:
1937:
1936:
1934:
1930:
1924:
1921:
1919:
1916:
1914:
1911:
1909:
1906:
1904:
1901:
1899:
1896:
1895:
1893:
1891:
1887:
1881:
1878:
1876:
1873:
1871:
1868:
1866:
1863:
1861:
1858:
1856:
1853:
1851:
1848:
1846:
1843:
1841:
1838:
1836:
1833:
1831:
1830:Forward price
1828:
1826:
1823:
1821:
1818:
1816:
1813:
1811:
1808:
1806:
1803:
1802:
1800:
1795:
1792:
1790:
1787:
1786:
1783:
1777:
1774:
1772:
1769:
1767:
1764:
1762:
1759:
1757:
1754:
1752:
1749:
1747:
1744:
1742:
1741:Interest rate
1739:
1737:
1734:
1732:
1729:
1727:
1724:
1722:
1719:
1717:
1714:
1712:
1709:
1707:
1704:
1702:
1699:
1697:
1694:
1692:
1689:
1687:
1684:
1682:
1679:
1677:
1674:
1672:
1669:
1668:
1666:
1664:
1660:
1650:
1647:
1645:
1642:
1640:
1637:
1635:
1634:MC Simulation
1632:
1630:
1627:
1625:
1622:
1620:
1617:
1615:
1612:
1610:
1607:
1605:
1602:
1599:
1595:
1594:Black–Scholes
1592:
1590:
1587:
1585:
1582:
1580:
1577:
1576:
1574:
1572:
1568:
1561:
1557:
1553:
1550:
1548:
1547:Risk reversal
1545:
1543:
1540:
1538:
1535:
1533:
1530:
1528:
1525:
1523:
1520:
1518:
1515:
1513:
1510:
1508:
1505:
1503:
1500:
1498:
1495:
1493:
1490:
1488:
1485:
1483:
1480:
1478:
1477:Credit spread
1475:
1473:
1470:
1468:
1465:
1463:
1460:
1458:
1455:
1453:
1450:
1448:
1445:
1443:
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1431:
1425:
1422:
1420:
1417:
1415:
1412:
1409:
1407:
1404:
1402:
1401:Interest rate
1399:
1397:
1396:Forward start
1394:
1392:
1389:
1387:
1384:
1382:
1379:
1377:
1374:
1372:
1369:
1367:
1364:
1362:
1359:
1357:
1354:
1352:
1349:
1348:
1346:
1344:
1340:
1334:
1331:
1329:
1326:
1324:
1323:Option styles
1321:
1319:
1316:
1314:
1311:
1309:
1306:
1304:
1301:
1299:
1296:
1294:
1291:
1289:
1286:
1285:
1283:
1281:
1277:
1271:
1268:
1266:
1263:
1261:
1258:
1256:
1253:
1251:
1248:
1246:
1243:
1241:
1240:Open interest
1238:
1236:
1233:
1231:
1228:
1226:
1223:
1221:
1220:Delta neutral
1218:
1217:
1215:
1211:
1208:
1206:
1202:
1198:
1193:
1189:
1182:
1177:
1175:
1170:
1168:
1163:
1162:
1159:
1151:
1147:
1143:
1137:
1136:
1130:
1125:
1123:
1121:
1116:
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1101:
1097:
1093:
1089:
1085:
1081:
1074:
1071:
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1057:
1054:
1049:
1045:
1041:
1037:
1030:
1023:
1020:
1015:
1013:9780470541746
1009:
1005:
1004:
996:
993:
988:
987:
979:
976:
972:
967:
963:
959:
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943:
941:
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928:
925:
922:
921:Reference.com
918:
913:
910:
906:
905:The Economist
902:
897:
894:
878:
871:
868:
864:
859:
856:
852:
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843:
840:
835:
831:
825:
821:
820:
812:
810:
806:
801:
797:
791:
788:
776:
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755:
751:
747:
741:
738:
734:
728:
725:
721:
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713:
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690:
687:
683:
677:
674:
663:
662:
661:FT Alphaville
657:
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622:
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613:
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606:9780199237043
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382:
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360:
359:
358:The Economist
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351:
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339:
338:
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319:
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304:
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296:
291:
289:
285:
281:
275:
273:
269:
264:
262:
258:
254:
250:
246:
242:
241:backwardation
237:
235:
231:
226:
222:
218:
216:
211:
209:
204:
200:
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192:
188:
185:
184:forward curve
180:
178:
170:
168:
166:
162:
158:
154:
150:
146:
142:
138:
134:
133:cost of carry
130:
129:nonperishable
125:
123:
119:
115:
111:
110:forward curve
106:
103:
98:
96:
92:
88:
87:backwardation
83:
81:
79:
78:carrying-cost
74:
73:normal market
70:
65:
61:
57:
54:
50:
46:
45:forward price
42:
41:futures price
38:
31:
30:forward curve
26:
21:
1840:Forward rate
1804:
1751:Total return
1639:Real options
1542:Ratio spread
1522:Naked option
1482:Debit spread
1313:Fixed income
1255:Strike price
1150:Stock Market
1149:
1145:
1141:
1133:
1119:
1083:
1079:
1073:
1063:
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884:. Retrieved
870:
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834:the original
818:
796:Liberty, Jez
790:
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768:
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740:
732:
727:
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699:. Retrieved
689:
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659:
649:
640:
628:. Retrieved
625:Investopedia
615:
595:
588:
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509:. Retrieved
506:Investopedia
432:
420:
412:
410:
399:
389:
387:
383:
376:
356:
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346:demand shock
335:
333:
320:
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265:
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252:
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189:
181:
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60:arbitrageurs
52:
36:
35:
1771:Zero Coupon
1701:Correlation
1649:Vanna–Volga
1507:Iron condor
1293:Bond option
1042:: 266–273.
934:York Herald
907:, 2010 6 24
853:, 2010 July
538:: 100–118.
424:Nobel Prize
171:Description
137:warehousing
64:speculators
2080:Categories
2045:Tax policy
1761:Volatility
1671:Amortising
1512:Jelly roll
1447:Box spread
1442:Backspread
1434:Strategies
1270:Volatility
1265:the Greeks
1230:Expiration
964:. p.
781:2008-06-14
759:2008-06-14
667:2010-09-01
621:"Contango"
485:References
411:Keynes in
406:John Hicks
286:, and the
118:maturities
56:spot price
2091:Arbitrage
1736:Inflation
1686:Commodity
1644:Trinomial
1579:Bachelier
1571:Valuation
1452:Butterfly
1386:Commodore
1235:Moneyness
1100:154408201
701:19 August
552:158786810
344:caused a
268:crude oil
249:arbitrage
182:A normal
139:fees and
114:typically
49:commodity
1875:Slippage
1805:Contango
1789:Forwards
1756:Variance
1716:Dividend
1711:Currency
1624:Margrabe
1619:Lattices
1598:equation
1584:Binomial
1532:Strangle
1527:Straddle
1424:Swaption
1406:Lookback
1391:Compound
1333:Warrants
1308:European
1288:American
1280:Vanillas
1245:Pin risk
1225:Exercise
940:Contango
917:Contango
851:Harper's
754:NPR News
596:Contango
442:See also
257:shortage
141:interest
91:expected
53:expected
37:Contango
1794:Futures
1414:Rainbow
1381:Cliquet
1376:Chooser
1356:Barrier
1343:Exotics
1205:Options
886:30 July
630:22 July
511:21 June
261:surplus
149:leasing
102:current
69:hedgers
47:) of a
1855:Margin
1721:Equity
1614:Heston
1517:Ladder
1467:Condor
1462:Collar
1419:Spread
1366:Binary
1361:Basket
1098:
1010:
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603:
550:
282:, the
112:would
80:market
1726:Forex
1681:Basis
1676:Asset
1663:Swaps
1589:Black
1492:Fence
1351:Asian
1213:Terms
1096:S2CID
1032:(PDF)
919:from
880:(PDF)
697:. Vox
576:(PDF)
548:S2CID
120:(cf.
1560:Bull
1556:Bear
1298:Call
1148:and
1140:and
1118:NPR
1008:ISBN
971:day.
888:2010
824:ISBN
703:2015
632:2013
601:ISBN
513:2020
404:and
390:i.e.
253:i.e.
175:The
161:eggs
157:gold
153:e.g.
43:(or
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1088:doi
1044:doi
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299:USO
75:or
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542::
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Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
