Tag Archives: contango

A Cast of Crude Oil Indices

Over the past two decades, innovation in futures-based commodity indexing has allowed for the launch of commodity indices beyond broad market beta indices and into more sophisticated strategies with non-traditional roll mechanisms or contract selection. In that vein, S&P Dow Jones Indices (S&P DJI) offers a wide variety of oil indices that offer exposure at Read more […]

Crude Oil Can Get Carried Away by Contango

The long-term impact of the COVID-19 pandemic on commodities markets is not yet known. There have undoubtedly been short-term impacts on supply and demand, ranging from a collapse in oil demand to supply disruptions at individual mines as a result of COVID-19 infections among mine employees. The longer-term implications of these demand and supply shocks, Read more […]

VIX Back to Normal? Not Really

The U.S. equities market had a wild start in 2020. Following the March 2020 sell-off, the S&P 500® posted its largest monthly gain (12.8%) since 1987. Meanwhile, VIX® went from its long-term median to an all-time high within a month before it settled around 30. One thing that has been debated lately is whether VIX, Read more […]

The VIX Futures Curve Is in Backwardation

Backwardation is incredibly uncommon in the VIX® futures curve. While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns. There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level Read more […]

Energy Posts Its Best July Since 2004

The S&P GSCI Energy Total Return gained 8.1% in July, the most for a July in 13 years, led by petroleum that was up 9.2%.  Finally the fundamentals may be showing the oil market is starting to rebalance with the rest of the commodities.   The S&P GSCI Total Return had its best month this year, gaining Read more […]

Energy Just Had Its Worst Start in 19 Years

Commodities just had their worst start in seven years.  The S&P GSCI Total Return lost 10.2% year-to-date (YTD) ending June 30, 2017, logging its worst first half (H1) performance since the first six months of 2010 when it lost 11.2%. However, it’s not the bloodbath it may seem to be.  Half, or 12 of the Read more […]

Commodities Ex-Energy Are Fine Despite Contango

Energy is back in a bear market now led by oil’s slide mainly due to rising output from Libya and Nigeria, two OPEC members exempt from cutting supply.  The S&P GSCI Energy Total Return is on pace for its worst quarter since the fourth quarter of 2015 losing -13.4% quarter-to-date (through June 19, 2017.) This is driven Read more […]

OPEC’s Cuts Are Shrinking Trading Opportunities

The unintended consequences of OPEC’s policy (in summer of 2014) of flooding the market with oil to lower prices and gain market share are starting to show.  It seems they failed to realize increasing the price by cutting back supply wouldn’t work with high U.S. inventories.  The spare capacity of OPEC does not matter for Read more […]

When Will This Oil Contango End?

Today “oil jumps to a nearly 3-week high as output cuts take hold” as March West Texas Intermediate crude CLH7, +1.82%  rose $1.03, or 2%, to settle at $53.78 a barrel on the New York Mercantile Exchange—the highest settlement since Jan. 6. The S&P GSCI Crude Oil (Spot Return) is now positive in 2017 through Jan. 26, up Read more […]

November’s Worst Commodity Nightmare

Unfortunately for commodities, there’s no waking up from this nightmare. It’s real. Since 1970, the S&P GSCI has never seen a Nov. with as many as 21 negative commodities. After a glimmer of hope in Oct., only 3 commodities, sugar, cotton and cocoa are on track to be positive in Nov. In other words, for every Read more […]