Studying for my CAIA lvl2 and needed to see roll yield explained graphically. Mr.Turtle you are my hero!
@danycapetillo14 жыл бұрын
I really like your videos, they explain complex things in a very easy way. Keep on the great job!!
@ywchunhow3 жыл бұрын
I don't ever comment on any KZbin video but thank you so much for making this video!! You made a topic so complicated into basically "ABC"
@THESPICEFROG5 жыл бұрын
You sir, have saved me a lot head scratching!
@shubhamgupta22023 жыл бұрын
Absolutely brilliant explanation!
@devanmathew806112 жыл бұрын
Thanks for giving a video that actually explains this concept to someone who is trying to learn, instead of just reminding someone of the concept.
@hamzariazuddin4244 жыл бұрын
Are trades always closed out using the opposite directional futures contract for same expiration date. Do people ever use spot? How do futures price and spot react to eachother? Why has the futures contract as of today (April 20th 2020) been hammered to a point it is negative?
@themacroeconomist4 жыл бұрын
thanks a lot David , amazing explanation.
@bionicturtle14 жыл бұрын
@danycapetillo thanks for the encouragement, appreciated. I've resumed a M-W-F YT schedule. Cheers, David
@talismaaniac9 жыл бұрын
My exam is approaching. I did not understand how under contango the price of the futures contract in Sep went down to 79.11? If it is contango, the future prices are above spot.
@lucianooliveira99834 жыл бұрын
Why is it so hard to find a clear explanation like this? So many shitty material on the internet (Khan Academy, Investopedia). Congrats!
@FelixFrost2 жыл бұрын
Why would one choose to renew a future at a higher roll return? Is this because there will be an overall gain?
@cozywind20105 жыл бұрын
You assumed the spot price does not change here.
@MagnusAnand4 жыл бұрын
Yes, you have to add the spot price variation to get the full roll return. Roll Return = [Variation in the price of the contract] - [Variation in spot prices]. Example: June Contract, in Backwardation. April Price: 39.10 May Price: 40.58 Spot variation: 0.40 Roll Return = (40.58 - 39.10) - 0.40 = 1.08
@Arnofski10 жыл бұрын
it impacts ETF's in a bad way you say in the beginning. Is that because the curve of crude oil lately shiftet from backwardation to contango?
@parthajois44915 ай бұрын
Thank you
@availabilityavailabl4 жыл бұрын
Does this mean futures are a decaying asset (in contango)? The price of the futures will always drift downwards towards spot?
@IvanVesely9203 жыл бұрын
I think that's it.
@star5guy6 жыл бұрын
Futures prices must be increasing to converge back to SPOT for backwardation. Why ? Either we make a well explained video or avoid it.
@MagnusAnand4 жыл бұрын
Because of arbitrage. A 1 month contract expiring today (delivery is equal to spot) must have the same price as spot (why pay more than spot?), otherwise arbitrage opportunities exist. As the futures contract is approaching maturity, it will converge to spot. In Backwardation, futures prices are smaller than spot. So to converge, future prices increase until they reach spot.
@ladytomato19895 жыл бұрын
the problem is why bother with the assumption that this term structure doesn't change, of course it will change. What's the point of calculating roll return?
@bionicturtle5 жыл бұрын
the roll return is one component of the total return. The reason to bother is to break down (deconstruct) the return into its pieces