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>> No.54252450 [View]
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54252450

>>54252190
>roll
This is tied to contango. The monthly cost to roll contracts forward. BOIL rolls contracts over a one week period, starting the 6th of each month.
At present, futures curve is pricing in ~10% rise in NG pricing for each month further out in the future this summer. BOIL must exceed this level merely to achieve break even over time, before accounting for any other factors.
Efficient futures markets will always tend to price in some contango to account for the risk free interest rate, but the actual level depends on the speculation at a given moment. Bearish commodities pricing environments tend to show more contango due to expectations of rebounds, bullish markets have less. There is some seasonality embedded in pricing as well.
>chop
Chop refers to the beta slippage due to volatility decay and daily rebalancing.
https://www.hitcapitallllp.com/beta-slippage/

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