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A crude oil futures price expiring in 9 months from now is $150 while the spot price of crude oil is $145. Assume that the
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A crude oil futures price expiring in 9 months from now is $150 while the spot price of crude oil is $145. Assume that the risk-free rate is 5% and storage yield of crude oil is 2%, both in continuously compounded annual terms. What is the implied convenience yield of crude oil in continuously compounded annual terms?
A. 2.2% B. 2.5% C. 2.7% D. 2.8% E. 3%
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