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| 1. since when do traders pay full value of a long futures contract?
2. you mention the first sale of the sept contract and purchase of the dec contract, but at what price did that fund purchase the initial sept contract?
3. funds will trade anything that makes them money (including spreads) they care about nothing else
august 2nd fund XYZ buys 1 CU10 at the close
CU10=3.905
CZ10=4.045
august 31st fund XYZ rolls his long CU10 to a long CZ10 position on the close
sells CU10 at 4.245 = .34 gain ($1,700 profit less commisions)
on august 31st CZ10=4.3925
spread on august 2nd = .14
spread on august 31st = .1475
had fund XYZ bought CZ10 on august 2nd instead of CU10 that fund would have made .0075 more
when that funds rolls to CZ10 on august 31st he pockets the gain from the CU10 trade and it's as if he bought CZ10 on august 2nd at 4.0525
if the market is going up and a fund is long futures they are making money, carry market or not. it's just the bigger the carry, the more money they "leave on the table" when they roll. one thing's for sure though, the funds have helped inflate prices and carry charges where we should be happy they are in this market.
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700 Million $$$$$$
