R***a
发帖数: 2605 | 1 Natural Gas, Contango, And UNG
1 comment | February 1, 2012 | about: UNG, includes: USO, VXX
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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 as ETPs are concerned, contango and backwardation
issues are limited solely to those products which hold futures in their
portfolio. The large majority of futures-based ETPs are in the commodity
space, but in theory at least, any security for which there are futures
could end up with a futures-based ETP. Fortunately, ETFdb keeps a handy list
of these products at their Futures-Based ETF page.
The main reason why I talk so much about contango in the context of VIX-
based ETPs is that the VIX products have a tendency to produce huge levels
of negative roll yield (at a rate of 11% per month at the moment in the
front two months of the VIX futures) relative to the other products.
Outside of the VIX product space, contango is probably most notorious in
crude oil and natural gas – and the two most popular ETPs for these
commodities, USO and UNG. Still, contango in these products is generally
much smaller than it is with VXX, but right now contango is unusually high
in UNG. While contango (front two months) in USO is only 0.4% right now, it
is actually at 7.6% per month in UNG.
Note that unlike VXX, which has a daily roll, UNG rolls its entire portfolio
over the course of four days per month. Better yet, UNG publishes a
schedule of their roll dates, reprinted below, thought it does come with the
disclaimer “Roll Dates are projected and subject to change without notice.”
So…while it has already been a great year for those who are short natural
gas, it is possible that persistent contango will make short UNG positions
even more profitable going forward.
Finally and perhaps most importantly, it is critical to keep in mind that
steep contango does not happen willy nilly. Instead, contango is essentially
a reflection of where the market expects prices to be headed (net of the
cost of carry) in the future. Looked at in this context, UNG contango of 7.6
% means that the reason shorts are receiving a 7.6% benefit from the
negative roll yield is that the market anticipates prices will rebound 7-8%
or so over the course of the next month. Contango and roll yield are not a
free lunch by a long shot, but over the long term, if risk can be properly
managed, positions that benefit from contango should be able to finance at
least a few lunches.
[source(s): United States Natural Gas Fund]
Disclosure(s): short VXX and UNG at time of writing | c******e
发帖数: 1581 | 2 现在明白为什么说 gas 作 future 比 ETF UNG 好了吧。
【在 R***a 的大作中提到】
: Natural Gas, Contango, And UNG
: 1 comment | February 1, 2012 | about: UNG, includes: USO, VXX
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: I have talked at length in this space about the contango and negative roll
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