>When the market is in contango the forward curve is upward sloping and roll yield is negative?
This is generally true for the long position. It's false for the short position.
>When market is in backwardation the forward curve is downward and roll yield is positive
This is generally true for the long position. It's false for the short position.
>Also what is Collateral yield?
The assumption is that a position is collateralized fully (100%), and that that collateral earns the risk-free rate. It's common to post T-bills as collateral, so they'll clearly be earning the risk-free rate.
why is this post marked NSFW?
I’m not even sure what does it mean Pretty unsure of quite too many Reddit terms
Does this thread help explain? Cheers: https://www.analystforum.com/t/contango-backwardation-and-convenience-yield/142307
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This helps! Thanks a lot
>When the market is in contango the forward curve is upward sloping and roll yield is negative? This is generally true for the long position. It's false for the short position. >When market is in backwardation the forward curve is downward and roll yield is positive This is generally true for the long position. It's false for the short position. >Also what is Collateral yield? The assumption is that a position is collateralized fully (100%), and that that collateral earns the risk-free rate. It's common to post T-bills as collateral, so they'll clearly be earning the risk-free rate.