Using Table, calculate the convenience yield of crude oil implied by each futures contract from September 2020 to September 2021 (i.e., thirteen numbers in total). Round off the time to maturity to the nearest month (e.g., 1 month for the September 2020 contract, 2 months for the October 2020 contract, etc). Plot these implied convenience yields with the time to maturity on the xaxis. Comment on any patterns you observe.

Another client is particularly interested in analysing the convenience yields implied in the new oil futures prices. In the following, you should assume that on 4 August 2020, the spot crude oil price was USD40.27 per barrel, the monthly storage (freight) cost for crude oil was estimated at 35 cents per barrel payable in advance, and the riskfree rate (zero curve) was flat at 1.40% per annum with continuous compounding.

Sep 20 Table 3: NYMEX WTI light sweet crude oil futures prices on 4 August 2020 LIGHT CRUDE OIL Contract Month Last Chg Open High Low Volume Openint Exchange LIGHT CRUDE OIL 40.71 0.44 40.39 40.86 39.58 155286 412279 NYME LIGHT CRUDE OIL Oct '20 40.99 0.42 40.70 41.13 39.89 39229 220705 NYME LIGHT CRUDE OIL Nov '20 41.33 0.42 41.00 41.47 40.25 17972 129237 NYME LIGHT CRUDE OIL Dec '20 41.65 0.43 41.27 41.78 40.60 22245 239003 NYME LIGHT CRUDE OIL Jan 21 41.96 0.47 41.42 42.05 40.92 8902 82282 NYME LIGHT CRUDE OIL Feb '21 42.22 0.47 41.67 42.29 41.35 4032 59667 NYME LIGHT CRUDE OIL Mar '21 42.54 0.55 41.72 42.58 41.47 5834 94519 NYME LIGHT CRUDE OIL Apr '21 42.71 0.51 41.98 42.80 41.89 524 39539 NYME LIGHT CRUDE OIL May '21 42.92 0.51 42.09 43.00 42.02 656 37693 NYME LIGHT CRUDE OIL Jun '21 43.09 0.50 42.57 43.19 42.17 6948 149355 NYME LIGHT CRUDE OIL Jul '21 43.17 0.41 42.56 43.30 42.44 442 34312 NYME LIGHT CRUDE OIL Aug '21 43.29 0.39 43.15 43.29 43.11 264 26876 NYME LIGHT CRUDE OIL Sep '21 43.55 0.50 43.29 43.55 43.15 560 45382 NYME Sep 20 Table 3: NYMEX WTI light sweet crude oil futures prices on 4 August 2020 LIGHT CRUDE OIL Contract Month Last Chg Open High Low Volume Openint Exchange LIGHT CRUDE OIL 40.71 0.44 40.39 40.86 39.58 155286 412279 NYME LIGHT CRUDE OIL Oct '20 40.99 0.42 40.70 41.13 39.89 39229 220705 NYME LIGHT CRUDE OIL Nov '20 41.33 0.42 41.00 41.47 40.25 17972 129237 NYME LIGHT CRUDE OIL Dec '20 41.65 0.43 41.27 41.78 40.60 22245 239003 NYME LIGHT CRUDE OIL Jan 21 41.96 0.47 41.42 42.05 40.92 8902 82282 NYME LIGHT CRUDE OIL Feb '21 42.22 0.47 41.67 42.29 41.35 4032 59667 NYME LIGHT CRUDE OIL Mar '21 42.54 0.55 41.72 42.58 41.47 5834 94519 NYME LIGHT CRUDE OIL Apr '21 42.71 0.51 41.98 42.80 41.89 524 39539 NYME LIGHT CRUDE OIL May '21 42.92 0.51 42.09 43.00 42.02 656 37693 NYME LIGHT CRUDE OIL Jun '21 43.09 0.50 42.57 43.19 42.17 6948 149355 NYME LIGHT CRUDE OIL Jul '21 43.17 0.41 42.56 43.30 42.44 442 34312 NYME LIGHT CRUDE OIL Aug '21 43.29 0.39 43.15 43.29 43.11 264 26876 NYME LIGHT CRUDE OIL Sep '21 43.55 0.50 43.29 43.55 43.15 560 45382 NYME