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You are examining the markets for crude oil and natural gas on March 1, 2022. The spot price of crude oil is $90.34 and the
You are examining the markets for crude oil and natural gas on March 1, 2022. The spot price of crude oil is $90.34 and the spot price of natural gas is $3.66. The December 2022 Crude Oil futures price is $80.40 and the December 2022 Natural Gas futures price is $4.15, and the delivery date for both futures contracts is December 1, 2022. Annualized storage costs are 7.1% for crude oil and 10.3% for natural gas. Nine-month SOFR is 1.08%. Which of the two futures contracts (i.e., the December 2022 Crude Oil futures or the December 2022 Natural Gas futures) has a positive convenience yield
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