Sep

11

 As we mark another backward roll day for the equity futures, I long those good old contango days. It just does not feel right marking down the distant month. Aren't things supposed to be better in the future. Of course I understand the arbitrage with the cash market, dividend and interest rate, as proxy for the fed model. And for some a positive carry is great. Maybe I am just jealous because I can't borrow at 25bps, cost me more like 500 or so.


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