Commodities · Commodity specialist topics · lesson 2 of 9 · 7 min read · David Alexander
What contango pays and costs
negative roll yield
The systematic cost of maintaining long exposure across a contango curve: each roll sells the cheaper expiring month and buys the dearer next one. It is symmetric - the same curve pays a maintained short the same amount - and it compounds relentlessly, because it is charged per roll regardless of what the price does between them.
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