Is there any unit of measure for the magnitude of the contango (or backwardation) for futures, so you can compare the contango of many symbols.

  • 1
    $\begingroup$ Could you use the percent difference between the futures price and the spot? $\endgroup$ Apr 27, 2013 at 1:20
  • $\begingroup$ In some paper I've seen these ways: 1) $log(f_{10})-log(f_{3})$, where $f_{t}$ stands for the future value at time $t$; 2) the value of the 2nd principal component of the term structure. $\endgroup$
    – Lisa Ann
    Apr 27, 2013 at 19:12
  • $\begingroup$ See e.g. VIX Central for an example of percentage difference, which yes, is a common numeraire. $\endgroup$ Apr 28, 2013 at 23:31

1 Answer 1


Just take something like

$$ \frac{\log{\frac{F_j}{F_i}}}{t_j - t_i} \times 365 $$

where $t_i$ denotes the expiry (or alternatively delivery) date of future $i$. The annualization is so you can compare different futures.

  • $\begingroup$ I've edited your post to typeset the mathematical notation with $\LaTeX$. Please make sure I got it right. $\endgroup$ Apr 27, 2013 at 22:06

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