1 Intro and summary 2 BO vs IJ 3 BO vs SH 4 BO vs SH 5 C vs CRD 6 C vs CT 7 C vs CUA 8 C vs DL 9 C vs EP 10 C vs FC 11 C vs KW 12 C vs LC 13 C vs LH 14 C vs MW 15 C vs RR 16 C vs S 17 C vs SB 18 C vs W 19 C vs XB 20 C vs YW 21 CRD vs YW 22 cattle roi 23 China S crush 24 CC vs QC 25 CO vs CL 26 crack 321 27 crack 532 28 crush 29 DAE vs XB 30 DF vs KC 31 EP vs CA 32 HO vs BO 33 HO vs XB 34 IJ vs RS 35 RS vs S 36 KO vs BO 37 KW vs EB 38 KW vs MW 39 KW vs RR 40 LH vs LC 41 LS vs LC 42 QK vs CA 43 RS crush 44 RS Oil vs BO 45 RS vs BO 46 RS vs KO 47 S vs SY 48 SB vs DL 49 SB vs QW 50 SB vs CB 51 W vs CA 52 W vs EB 53 W vs KW 54 W vs MW 55 W vs S 56 XB vs DL 57 XB vs SB 58 YW vs WZ 59 SM vs AE 60 S vs AK 61 S vs AK 62 KO vs PAL 63 KO vs SH 1 Intro and summary This document shows how we think about the sizing of all the relative trades.
1 Introduction 2 Roll Adjusted Prices 3 The Role of Roll Yield 4 Sugar Spread Volatility vs Roll Yield 5 Remarks 1 Introduction The raw-refined sugar spread, SB vs QW, is one of our bread and butter processing margin trades. Raw sugar in the form of sugar cane or beets have to be refined to get the normal white sugar we are all used to. In the Sugar Trading Manual - Cost of production the author adds a fixed cost of USD 65/t which equates to their estimate of the world average cost of upgrading raw sugar to refined sugar in autonomous refinerries.
1 Introduction 2 Explore the Roll Yield 3 Simple Model 4 Comments 1 Introduction The aim of this write-up is to give some proof of principle results on extracting P&L from the difference in roll yield between two correlated commodities. We define the roll yield as the daily compound return that changes the further dated contract price to the near dated contract price. Mathematically we write