By Sumit Roy
Brent’s backwardation widened significantly last week as prices surge. Sugar backwardation narrows, but remains at steep levels. 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?
Data as of close on July 8, 2011. Data courtesy IndexUniverse.com
[Click all images to enlarge]
Energy
CONTANGO WATCH: W&T Offshore, Inc. (WTI) remains in steady contango throughout the one-year forward curve, little changed from last week.
ROLL COSTS: Front month annualized roll costs moved to 6.28 percent from 7.33 percent.
BOTTOM LINE: Steady Contango
CONTANGO WATCH: Brent’s backwardation at the front end widened significantly last week as prices surged.
ROLL COSTS: Investors net 6.11 percent annualized from rolling front month Brent contracts, well above last week’s 1.92 percent.
BOTTOM LINE: Backwardation
CONTANGO WATCH: The natural gas contango continued to narrow last week, with the very front end now virtually flat.
ROLL COSTS: Annualized roll costs fell to 0.28 percent from 3.96 percent.
BOTTOM LINE: Flat to Contango
Precious Metals
CONTANGO WATCH: Gold’s forward curve steepened last week, with mild contango evident throughout most of the one-year forward curve.
ROLL COSTS: Annualized front month roll costs increased to 0.94 percent from 0.00 percent.
BOTTOM LINE: Mild Contango
CONTANGO WATCH: The silver forward curve shifted into mild backwardation last week.
ROLL COSTS: Annualized roll costs edged down to -0.41 percent from 0.62 percent.
BOTTOM LINE: Mild Backwardation
CONTANGO WATCH: The very front end of the platinum forward curve saw a widening in its contango, but the rest of the curve is fairly flat.
ROLL COSTS: Front month annualized roll costs doubled to 2.8 percent from 1.41 percent.
BOTTOM LINE: Contango
CONTANGO WATCH: Palladium’s forward curve continues to seesaw between backwardation and contango at the very front end.
ROLL COSTS: Front month annualized roll costs rose to 1.63 percent from -1.96 percent.
BOTTOM LINE: Contango
Industrial Metals
CONTANGO WATCH: Copper’s contango widened as prices remained near 2-month highs last week.
ROLL COSTS: Annualized copper roll costs doubled to 0.8 percent from 0.38 percent.
BOTTOM LINE: Mild Contango
CONTANGO WATCH: The aluminum forward curve remains in steady contango through the one-year forward curve.
ROLL COSTS: Front month annualized roll costs edged up to 5.61 percent from 5.24 percent.
BOTTOM LINE: Steady Contango
CONTANGO WATCH: Like aluminum, zinc remains in steady contango throughout the entire forward curve.
ROLL COSTS: Zinc roll costs rose to 4.99 percent annualized from 4.95 percent.
BOTTOM LINE: Steady Contango
CONTANGO WATCH: The shape of the lead forward curve was little changed last week, though the contango at the front end narrowed.
ROLL COSTS: Investors net 2 percent annualized from rolling lead contracts, down from 2.49 percent last week.
BOTTOM LINE: Contango to Backwardation
CONTANGO WATCH: The nickel forward curve is in mild contango at the front end before it flattens out thereafter.
ROLL COSTS: Investors pay 0.66 percent annualized cost to roll front month nickel contracts, slightly higher than last week.
BOTTOM LINE: Mild Contango
CONTANGO WATCH: The shape of the tin forward curve was little changed week-over-week.
ROLL COSTS: Font month roll costs decreased to 0.96 percent from 1.25 percent last week.
BOTTOM LINE: Mild Contango
Agricultural Commodities
CONTANGO WATCH: The shape of the corn forward curve didn’t change much last week.
ROLL COSTS: Investors net a 23.96 percent from rolling front month corn contracts, down from 27.9 percent last week.
BOTTOM LINE: Steep Backwardation to Contango
CONTANGO WATCH: Wheat’s contango narrowed significantly last week, with the forward curve now essentially flat at the very front end. But the rest of the curve remains in steep contango.
ROLL COSTS: Wheat’s annualized front-month roll costs plunged to 0.69 percent from 32.09 percent.
BOTTOM LINE: Flat to Steep Contango
CONTANGO WATCH: Soybeans’ forward curve was well-behaved last week.
ROLL COSTS: Investors net 1.55 percent annualized from rolling front month soybeans contracts, less than last week when they net 2.93 percent.
BOTTOM LINE: Backwardation to Contango to Backwardation
CONTANGO WATCH: The live cattle curve remained in steep contango last week.
ROLL COSTS: Annualized live cattle roll costs fell to 79.47 percent from 89.81 percent.
BOTTOM LINE: Steep Contango
CONTANGO WATCH: Lean hogs’ forward curve flattened significantly at the very front end, though the rest of the curve remains steep.
ROLL COSTS: Investors net 0.62 percent from rolling front month lean hogs contracts, down significantly from the prior week’s 25.39 percent.
BOTTOM LINE: Flat to Steep Backwardation to Steep Contango
Soft Commodities
CONTANGO WATCH: The coffee forward curve remained flat at the very front end last week.
ROLL COSTS: Annualized front month roll costs for coffee moved to 0.34 percent from 0.46 percent.
BOTTOM LINE: Mild Contango to Contango
CONTANGO WATCH: The cocoa forward curve shifted into backwardation at the very front end last week.
ROLL COSTS: Investors net 1.54 percent annualized from rolling front month cocoa contracts.
BOTTOM LINE: Backwardation to Contango
CONTANGO WATCH: Sugar’s backwardation narrowed last week, as prices made a big push higher.
ROLL COSTS: Investors net 17.91 percent annualized from rolling front month sugar contracts—attractive—but down from 28.46 percent the week before.
BOTTOM LINE: Steep Backwardation
CONTANGO WATCH: Cotton’s backwardation narrowed significantly last week, as prices fell.
ROLL COSTS: Investors net 24.51 percent annualized from rolling front month cotton contracts, down notably from the prior week’s 81.53 percent.
BOTTOM LINE: Steep Backwardation
