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Quantitative Finance · Begrippenlijst

Wat is Contango and backwardation?

Ook bekend als: contango · backwardation

Definition 21.8 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 21 — Basis, Roll and Delivery

A futures curve is in contango when later expiries trade above nearer ones, and in backwardation when they trade below.

A long position rolled monthly for two years while the spot price never moves from 70. In contango it loses 25%; in backwardation it gains 27%. An investor who “bought oil” through futures bought the curve as well. Data: the tutorial’s simulation.
Figure 21.3. A long position rolled monthly for two years while the spot price never moves from 70. In contango it loses 25%; in backwardation it gains 27%. An investor who “bought oil” through futures bought the curve as well. Data: the tutorial’s simulation.
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