Calendar Spread = Near term Future- Distant term future which has not changed significantly as given in the question, So does that mean we haven’t rolled over? Bcuz roll yield is Near F- Distant F/ Near F, and if the difference is not much, should the roll yield’s contribution be very little and the total return be = to collateral return here?
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here the market is looking in backwardation initially but lateron the price remain comes to 42 so the price return is 0 but the roll over return is possitive bcoz initially market is in backwardation.
Hope this help
From which line you are able to understand that price remains the same?
Look in the ques. it is written that 1 yr future curve is same and our holding pd is 1 yr
Got it, Thank you!