You are examining the markets for crude oil and natural gas on December 1, 2021....
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You are examining the markets for crude oil and natural gas on December 1, 2021. The spot price of crude oil is $90.04 and the spot price of natural gas is $3.90. The December 2022 Crude Oil futures price is $80.30 and the December 2022 Natural Gas futures price is $4.38, and the delivery date for both futures contracts is December 1, 2022. Annualized storage costs are 7.0% for crude oil and 10.5% for natural gas. One-year LIBOR is 1.09%. Which of the two futures contracts (i.e., the December 2022 Crude Oil futures or the December 2022 Natural Gas futures) has a positive convenience yield?
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