Hilary Till: In the past, one could confidently discuss how crude oil futures contracts typically trade in “backwardation.”
Research Associate, EDHEC-Risk Institute
By backwardation, one means that a near-month futures contract trades at a premium to deferred-delivery futures contracts. For example, Litzenberger and Rabinowitz (1995) pointed out that the NYMEX West Texas Intermediate (WTI) crude oil futures contract’s front-to-back futures spreads were backwardated at least 70% of the time between February 1984 and April 1992. This pattern was so persistent that these authors theorised why this should be the typical shape of the crude oil futures price curve.
|Type :||Working paper|
|Date :||le 05/05/2014|
|Pôle de recherche||Finance|