The opportunity cost of carrying physical gold is known as the carrying charge. It covers interest, insurance, cost of storage, and all other incidental costs including taxes and fees, if any. The carrying charge is the upper bound of the range within which the gold basis can vary. Arbitrageurs would never allow the basis to exceed the carrying charge. If it did, they would keep buying cash gold and selling the futures until their arbitrage would eliminate excess contango.
The same theoretical argument can be used to prove that the basis cannot go negative. Holders of gold would keep selling cash gold and buying the futures until the backwardation disappeared. Indeed, backwardation never lasted for more than a few hours that it takes to send out a wake-up call to alert sleeping arbitrageurs. That is to say, not until December 2, 2008. On that ill-starred day gold went to backwardation for the first time ever in history, and got stuck there.
What does it all mean? Not only does it mean that the market is willing to pay all your carrying charges involved in holding physical gold, but it is also willing to pay you (allegedly) risk-free profits for the privilege of relieving you from carrying the burden! “Let me take over your yoke just for a few days; I shall pay you handsomely for the honor” – so the clearing members of Comex plead.
It can be seen that the $80 rise in the spot price from $740 to $820 during the week that just ended has not been able to compel holders of spot gold to exchange their holdings for a promise to deliver gold a mere 18 days later, the bait of ‘risk-free’ profit notwithstanding, in spite of the unprecedented discount on gold futures. To tell the truth, the promised profits are not risk free.
Events of last week show the heroic resistance of the bulls: they have so far refused to listen to the sweet siren song of the clearing members. They unearthed the golden hatchet and have not let themselves be led astray from the warpath. On Thursday, December 11, 12,588 contracts in the December futures month (an increase of 139 contracts from the previous day) stood in line waiting for delivery. This is equivalent to 43% of registered gold in the warehouses!
(c) Antal E. Fekete, Backwardation that Shook The World
Но тут вопрос такой же как и с peak oil - дадут золотым жукам по башке интервенцией какой-то и привет. Перед пиком и обвалом нефти была похожая ситуация, только там было устойчивое контанго, про которое тоже шептали "такого никогда не было"...
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