Email of the day (2)
"There seems to be a mistake in the charts. At present the active quotes for Lean Hogs are April, June and July.
"But the chart in the library that is called 1st month is in fact the 2nd (June) and the chart in the library that is called 2nd or LH2 is in fact the 3rd (July)
"This is important, because there is a big contango:
"Closure on Friday of 1st month April at 73.35 (instead of 82.575)
Closure on Friday of 2nd month June at 82.575 (instead of 83.15)
"Moreover City Index does not trade the second month. Thus impossible to short the present high prices.
"I also take the opportunity to ask if there is a particular reason why the candle chart for Robusta Coffee second month is not continuous like for Arabica. This allows indeed to go further back in the past and to have more perspective.
"Thanks again for the fantastic service and kindest regards."
Eoin Treacy's view Thank
you for raising these questions which other subscribers may also find of interest.
We always roll our continuation charts with the most active contract. Here is
a link to the contract table for Lean
Hogs which indicates that open interest in the June contract is 77,107 contracts
versus 32567 in the April. Since the June contract is now the most active we
have rolled the 1st month continuation
chart forward to reflect this change of emphasis. This necessarily also affects
the roll of the 2nd month continuation
chart as well.
In my
experience, spread-betting firms will not allow traders to harvest backwardations
or contangoes between individual contracts and set the expiry for their offerings
well ahead of actual futures contract expiry.
The reason
Robusta coffee charts have so little back
history is because the 10-Tonne contract replaced the 5-Tonne contract in January
2009. Here is a link to a PowerPoint
presentation explaining the reasons behind the move. I added a chart for the
old contract to the Chart Library so subscribers
can compare current prices with the historical data.