Publications: Notes at the Margin

True Spreads, True Contango (March 27, 2017)


In the press, contango is always talked about with a reference to the first futures price. Analysts all get this wrong. Sadly, listeners and readers can be confused or even led into losing trades. The problem is that meaningful contango must be measured with a reference to the physical price. In this week's report, we explain and illustrate this.


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