Natural Gas, Contango and UNG
I have talked at length in this space about the contango and negative roll yield issues that plague VXX. Periodically these discussions trigger a question from a reader about the impact of contango on some of the other ETPs. Just to be clear, as far a...
ZIV Undeservedly Neglected
Much to my amazement, next week will mark the third anniversary of the launch of the first two VIX ETPs: the S&P 500 VIX Short-Term Futures ETN (VXX) and the S&P 500 VIX Mid-Term Futures ETN (VXZ). Some may recall that investors were slow to w...
The Year in VIX and Volatility (2011)
One of the most-loved charts I assemble each year is my retrospective look at the year in volatility. I already touched on some of the highlights of event volatility in text form in Expectations, Surprises and Fear in 2011, but this is one case in whic...
The curious case of ‘abnormal’ backwardation
John Kemp at Thomson Reuters is a big fan of commodity curves — backwardation, contango and all the principles that come with it.As he often notes, one of the key theories...
Bye, bye WTI-Brent spread disconnect…
Whoa…. look at that move in the WTI-Brent spread. That’s at least $4 worth of tightening in less than 10 minutes:And what has caused this dramatic turn of events?...
VIX Futures: A Tale of Two Backwardations
After yesterday’s New VIX Backwardation Record post, I thought it might be interesting to compare the VIX futures term structure during the past three months to that of the prior record, which spanned September to December 2008. The mechanics for gr...
New VIX Backwardation Record
This week marks the first time that the front two months of the VIX futures term structure have been in backwardation each day for more than three consecutive months. In fact, the current streak of 68 days eclipses the old record of 63 days that dates ...
“Something structural has changed in current fundamentals”
John Kemp at Reuters has penned a cracking column on the current peculiarities afflicting the crude markets.As Kemp notes, ask anyone in the market — specifically the physical market —...
Oh, the Iron-y
Over in the spot iron ore market… there’s a small case of crisis going on.As Reuters reported on Thursday, prices have been falling consecutively on “slow Chinese demand”...
I thought I saw a backwardation
It’s only been four days, yet the backwardation in WTI — which caught everyone by surprise on Monday — has already started to ease.Of course, if it turns out...
WTI squeeze theory gains ground
What flipped WTI so quickly and severely into backwardation?Increasingly, a consensus is forming that it was nothing more than a short squeeze. We’ve mentioned this before,...
WTI is no longer a burden to passive investors
It was quite a day on Monday for the WTI US oil benchmark. The structure of the futures curve finally flipped into a subtle backwardation, seeing the contract join Brent in a formation...
