Cocoa continues to have the highest % carry yield score across all markets at 26.7%.
SpreadEdge Capital specializes in seasonal spread trading across a wide variety of commodity markets. A spread trade is the simultaneous purchase and sale of the same commodity with different delivery dates. SpreadEdge publishes a weekly Newsletter that provides several seasonal spread trade opportunities every week.
% Carry Yield
Futures calendar curves vary in shape over time. Some often invert, with front-month contract prices exceeding those of later contracts, resulting in positive carry. Conversely, some curves exhibit contango, leading to a negative carry.
Cocoa continues to have the highest % carry yield score across all markets at 26.7%. % Carry yield is calculated as follows:
Despite being over twice as high as the next highest market, the Cocoa % carry yield has dropped (29.5%) from the March 27 high and is still over 2x the 52-week average.
Bottom Line
Cocoa experienced a significant price surge in the first four months of the year, leading to inflated spread prices across the board. I anticipate a persistent decrease in the carry yield, which should favor "sell" calendar spreads. Nonetheless, it's important to note that volatility remains exceedingly high, indicating that holding positions may be turbulent.
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The SpreadEdge Weekly Newsletter is published every weekend and provides a broad overview of the important seasonal, technical, and fundamental indicators within the Energy, Grains, Meats, Softs, Metals and Currency markets. In addition, spread trade recommendations and follow-up on open trades is also provided. For a free copy of the Weekly Newsletter, please send an email to info@SpreadEdgeCapital.com
Darren Carlat
SpreadEdge Capital, LLC
(214) 636-3133
Darren@SpreadEdgeCapital.com
Disclaimer
SpreadEdge Capital, LLC is registered as a Commodity Trading Advisor with the Commodity Futures Trading Commission and is an NFA member. Past performance is not indicative of future results. Futures trading is not suitable for all investors, The risk associated with futures trading is substantial. Only risk capital should be used for these investments because you can lose more than your original investment. This is not a solicitation.
On the date of publication, Darren Carlat had a position in: CAU24 , CAZ24 . All information and data in this article is solely for informational purposes. For more information please view the Barchart Disclosure Policy here.
