Just so I get this straight: Spot price + convenience yield - storage costs = futures price + collateral yield (RFR) So if F>S (contango), then RFR > convenience - storage ?
Can anybody confirm that this is right or wrong?
Just off the top of my head F= Se^(r-conv yld+ storage) F will increase any time Rf increase and storage cost increase or both F decrease if convenience yld increases If F>S then the convenience yld now is not enough to offset the combined effects of storage and rf so its in contango
sickel2 Wrote: ------------------------------------------------------- > Just so I get this straight: > > Spot price + convenience yield - storage costs = > futures price + collateral yield (RFR) > > So if F>S (contango), then RFR > convenience - > storage > > ? Fut=Spot+Rf+storage-conv In contango, F>S and Roll yield is -ve and conv < Rf. Don’t ask me to explain it, I just memorized it.