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- UID
- 223412
- 帖子
- 334
- 主题
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- 2011-7-11
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- 2014-8-7
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| Not sure if you are talking about roll yields...but futures prices will converge to the spot rate over time. If you are talking about roll yields (rolling mature contracts forward), if you are long the position and it is in contango, the roll yield will be negative as the futures price converges to the spot rate. If it is backwardation, the roll yield will be positive as the price converges upward to the spot rate. |
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发表于 2011-7-11 15:22
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