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| There is roughly a 10 cent futures carry from November futures to January futures. Delivery in October is likely using a basis vs. the Nov while Nov is using basis vs. the Jan. Therefore, you should "lose" the 10 cent carry on basis but "gain" the 10 cent carry in futures. Net, all you're out is the 2 cents cost to roll and likely have to price the beans (futures) before January 1. So technically, if you have a -5 basis vs. the Nov, you're new basis vs. the Jan will be -15 not including the fee. As long as the beans are delivered in October, this math should hold true. If you don't deliver in Oct, you're likely subject to their discretion of charges for changing delivery period on a basis priced contract. None of this removes your risk in futures moving higher/lower by your pricing deadline. Sounds to me you'd be best to deliver in Oct, roll the basis from Nov to Jan and give yourself an extra 60 days of pricing opportunity if that is what you're looking for. | |
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Need advice on a strategy to proceed with a basis contract
