What is convenience yield?Convenience Yield
The benefit of actually holding the goods (no shortages, ready to use); it makes holders reluctant to sell, so futures can stay below fair value for a long time and reverse arbitrage may not work.
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- Arbitrage StrategiesCalendar Spread Arbitrage: Near vs. Far Months
For the same gold, how far apart should near-month and far-month futures be? The gap is 6 months of interest and storage. If the far month is too expensive, buy near, sell far, and take delivery.
- Arbitrage StrategiesCash-and-Carry Arbitrage
Futures have a "fair value" worked out from interest and storage. When the quote strays from it, borrow to buy spot and sell futures, and the profit is locked in the moment you open.
Related terms
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Go to “Calendar Spread Arbitrage: Near vs. Far Months”