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Ridgway, IL | There are 31 + 31 + 28 days between first delivery day of cz and ch (I didn't check to see how the weekends fall so it could be a day or 2 different. 90 days x .00165c per day storage rate = 14.85 cents
Plus interest
4.69 futures x 1.5% interest for 90 days = 1.7 cents
16.77 cents is mathematical full carry.
The lower futures decline and the lower a participants interest rate is will both be things that shrink full carry to a limited extent.
Risk/reward? 12.5c carry is about 75% of full carry. I would have my orders at 14.5-15c and hope you get filled. There is lots of cash floating around that would likely earning 1% returns on a extreme low risk play for 90 days. | |
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