Strategies · Core
Term Structure Effect in Commodities
Long commodities in backwardation (positive roll yield) and short those in contango — harvest the curve, not the spot headline.
Definition
Rank on nearby-vs-deferred slope or implied roll yield. Long high roll, short low/negative roll. Rebalance monthly. This is commodity carry. Spot momentum can agree or fight it.
Why it matters
Index long-only products die in structural contango; this book is the other side of that tax.
Case
2015–16 oil: deep contango, short the curve carry worked until a squeeze flattened it. The roll was the P&L, not WTI chatter.
How to read it
Which contracts define the slope, and storage/convenience-yield regime. A front squeeze is not a term-structure premium.
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