Question
Market/Contract Price (cents and 1/8 cents per bushel) Spot (Salina, KS) 364 March 2020 (ZCH20) 379'0 May 2020 (ZCK20) 384'6 July 2020 (ZCN20) 388'6 September
Market/Contract Price (cents and 1/8 cents per bushel)
Spot (Salina, KS) 364
March 2020 (ZCH20) 379'0
May 2020 (ZCK20) 384'6
July 2020 (ZCN20) 388'6
September 2020 (ZCU20) 387'4
December 2020 (ZCZ20) 392'0
Suppose the physical storage costs for corn are $0.03/bushel/month and financing costs are an annualized interest rate of 3.5%. The cost to transport corn in mid-March (at the time of futures delivery) from Salina to a futures delivery location will be $0.10/bu. What is the cost of cash-and-carry arbitrage for someone who owns corn in storage in Salina?
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Port Infrastructure Finance
Authors: Hilde Meersman, Eddy Van De Voorde, Thierry Vanelslander
1st Edition
0415720060, 978-0415720069
