As of yesterday $UCO still needs to roll $200m of $CL_K to $CL_N

Also reasonable to assume they still need to roll same percentage of $1bn+ swap expo with $GS $RBC $UBS $C & SG

This roll is currently an $8 spread on a $24 commodity.

Leveraged at 2x, that’s a 66% loss of NAV

Now it’s probably reasonably to assume a little less than this since they’re already rolled ~20% of the fund futures. So I’d estimate closer to a 50% loss due to tracking error.

End thread / #OOTT