Relative Value

Sugar Spread and Curve Structure

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.

Relative Roll Proof of Principle Results

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