From now on an using a term structure KC 2nd continuous - KC 1st continuous I may have a rough estimate. Any idea on how to monitor it easily (in addition to follow Ole Hansen from Saxobank...)? Talking about that I am quoting the following:
"The highflyer of the week was Arabica coffee which saw its biggest two-day rally in four years. During the past month, it has jumped by 25% as the outlook for a 2019-20 supply deficit began receiving some attention. Coffee has for many months been one of the most favoured hedge fund shorts given the positive yield harvested from holding and rolling a short futures position. However, the one-year roll yield has now dropped below 10%, from a peak above 16% earlier in the year. Further upside depends on whether funds abandon the strategy and begin accumulating a long position for the first time since early 2017."
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