Backwardation in the past


Let’s “look back” the past backwardation a little.

Note that the vertical axis scale of the chart changes as needed.

Early December last year (2021).

After December 8th, it returned to contango completely, so the minimum values of 1m and 2m ended at -0.11 and -1.04 respectively, in just a few days. It was a good timing for bonus if I could add position but I’m not sure if I could make that decision at that time.

One started from Febryary 2020 was deeper and longer duration.

March exp. period ended, April period started here.

When 5m down below 10 point, April exp.period finished. But still in backwardation.

Then, May option price got lower gradually, May period ended like this.

Thenm it passed a little while remaining flat, and returned to temporary backwardation…

Even Jun exp. period finished, still like this.

July exp. period ended with this shape.

August period finished…

Still?? September period ended.

October period finished.

Finally, the shape became contango end of November period. It finished like this.

This one was so long. Of course, it might be due to the unusual height of VIX exceeding 80, but it took almost a year to return to Contango.

I think it was possible to make some profit at 1m or 2m during this period, but I don’t want to expect this long backwardation, anymore….