Tag Archives: contango
Indexing to Stay in Front of the Futures Curve
How could a dynamic approach to index design help market participants address negative roll yields and volatility concerns? S&P DJI’s Jim Wiederhold and Kelsey Stokes join BlackRock’s Chris Milliken for a closer look at the S&P GSCI Dynamic Roll.
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Getting Dynamic with Commodities – Part 1
Launched just over 10 years ago, the S&P GSCI Dynamic Roll was the first dynamically rolling commodity futures index to be offered by a major index provider. What does it mean to dynamically roll? Exhibit 1 describes the process in detail. Employing a flexible monthly futures contract rolling strategy, the S&P GSCI Dynamic Roll is…
- Categories Commodities
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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…
- Categories Commodities, Equities
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- Commodities, Equities
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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,…
- Categories Commodities
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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,…
- Categories Equities
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- Equities
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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…
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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…
- Categories Commodities
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- Commodities
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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…
- Categories Commodities
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- Commodities
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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…
- Categories Commodities
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- Commodities
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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…
- Categories Commodities
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- Commodities
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