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How are swap rates calculated on oil cash?

When holding positions overnight a swap fee is applied to your account.

For Cash Oil products this is calculated as an observed difference between the two front month futures contracts. 

The formula for this calculation is: 

(P2 - P1)/(T2-T1)


P1: Price of the front futures contract 

P2: Price of the 2nd futures contract 

T1: Expiry date of the front futures contract 

T2: Expiry date of the 2nd futures contract 

For example: 

If the front Month Future is $110, the 2nd Month Future is $108.80, the difference between them is -$1.20. If the time between the two contracts is 30 days. This mean the basis for rollovers each day would be -$1.20/30 so -4 cents per day per barrel.

This means short positions would pay 4 cents and long clients would receive 4 cents each day on their swap fee according to the basis. We also apply an administration fee to this meaning the adjustments will be slightly different.

Above is a worked example and the daily rates are calculated each day basis the prevailing market prices at the time and are then uploaded to our client area before the rollover time. To know each days swap fee we would recommend checking the client area each day for that days charges.

For more information on swaps for other products, please check: What is a swap?

If you have any questions please do not hesitate to contact our support team via live chat, email (support@valutrades.com) or telephone (+442031410888).