Here is a good source for tracking lease rates, open interest, contango (US, AUS, SAF), delta implied volatility.
thebulliondesk.com
Then hit "today's market news" , then "bullion newswire" : will give Comex open interest there. OI expanded today to 126,000 from 118,000 on the 4th, a clear sign of fresh producer hedging which explains the POG drop.
Under the newswire note Barclay Capital. After enduring their commentary about the "demonetization" of gold at any price by the rocket scientists of the world treasuries, they provide a weekly advisory that gives USD, AUD, ZAR contango, lease rates, and USD, AUD, SAF volatility (delta).
For example if a hedger were to sell in USD three years out they would receive a 3.97% annual contango (premium) for the forward contract. In AUD terms a 4.10% contango. Kind of amazing that they even bother with gold at 265 and the rather nominal return.
The lease rate for dealers 3 years out would be 1.58%, so they are playing with fire for a whopping 2.39% arbitrage. More likely they are tapping into the short term leases at 1.00%(under six months) for their gold borrowing . Borrow short, lend long, and pray gold stays at 265. Insane. |
