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 答虫子关于USO和啃糖狗, roll yield. |
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theoretical
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作者：theoretical 在 谈股论金 发贴, 来自【海归网】 http://www.haiguinet.com
Let's make cantango clear 1st. Put it this way, you are buying milk at $1/L now, meanwhile you are selling futrure contact for 2$/L. So, when the the deliveray date comes, you need to transfer your milk to the buyer. Of course, your profit is you selling price minus your buying price minus your storage cost. So, it is true when there is a big cantango, you should expect price rise in the future. In the opposite, it called backwardation.
However, for USO or most ETFs track commodities, they do not really buy any stuff in physical form, sell future contract and then deliver. USO just sell the current month's contract before it expires and buy into next month's contract. This process is called 'rolling forward'. Here comes the problem. When the oil price was relatively stable, the value of the contract would tend to decline as it approaches expiration, which USO is selling. In another word, the selling price may lower than what USO has bought a month ago. at the same time, the next month's contract price has much less impact, and then when it closes to expiration, the same thing happened again. As you can see, USO indeed is buying high and selling low comparing you bought stuff at spot price and sell future contact etc. So, this is the roll yield.
You do can play USO, only one condition, oil price need to be volatile. In fact, USO is not the worst, UNG is even worse. That's the reason I only short UNG, as I mentioned at here before.
作者：theoretical 在 谈股论金 发贴, 来自【海归网】 http://www.haiguinet.com
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 答虫子关于USO和啃糖狗, roll yield. -- theoretical - (1467 Byte) 2010-2-12 周五, 16:44 (2200 reads)
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