A snapshot from the trading book of the CAC 40 futures, on November 5 2018, is: enter image description here

Using the book prices, how can I compute the cost of carry implicit in the November and December contracts?

Please consider that:

Last trading day: 16.00 Paris time. Third Friday in delivery month. In the event of the third Friday not being a business day, the Last Trading Day shall normally be the last business day preceding the third Friday.


The market is in backwardation, so there is a positive roll yield.

December settled yesterday at 5083.0 vs November at 5098.5

That's a difference of 15.5 points (we could also compare the bid ask midpoints, that would give a difference of 14.5 points. I trust this number less because the bid ask spread for dec is very wide, december is not trading very actively yet, still 10 days to expiration on Nov 16, why did you choose November 5? Would have been better to wait a few more days).

So the roll yield in points is 15.5 points

The roll yield in percentage is 15.5/5098.5 = 0.304%

The "roll cost" is usually understood as the negative of the roll yield, so take the negative of the two numbers above.

| improve this answer | |
  • $\begingroup$ +1 I like how you have ignored 'cost-of-cary' and instead used 'roll'. The question should probably be edited. The 'cost-of-carry' for this trade is the cost of funding on the initial and maintenance margin to hold the position. $\endgroup$ – Attack68 Nov 16 '18 at 20:14

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