NO.PZ2016031203000011
问题如下：
If a commodity’s forward curve is in contango, the component of a commodities futures return most likely to reflect this is:
选项：
A. spot prices.
B. the roll yield.
C. the collateral yield.
解释：
B is correct.
Roll yield refers to the difference between the spot price of a commodity and the price specified by its futures contract (or the difference between two futures contracts with different expiration dates). When futures prices are higher than the spot price, the commodity forward curve is upward sloping, and the prices are referred to as being in contango. Contango occurs when there is little or no convenience yield.
roll yield代表的是期货与现货之间的价格差，就是题目中问题。所以不管是contango 还是backwardation, 这个题目都是要选择roll yield。
你好老师，题目怎么改才选a
