Chinese Renminbi

Discussion in 'Trading' started by nzbryant, Mar 7, 2008.

  1. All

    I've shorted RMB (Chinese yuan) futures on the CME, but it doesnt work. Why?

    Because the contango is so huge - i.e the June contracts are higher than March, which are higher than spot. So yes spot goes up, but as the futures amortise towards spot at expiry, you lose the roll yield.

    As an example, in the last two months I made only about $900 on the March future, but the spot equivalent went up $5000. I lost the roll yield. Is there another way?