1 Introduction 2 Side of the bet 3 Size of the bet 1 Introduction One of our main flavours of commodity alpha we like to harvest is carry. We make profit from carry by taking a bet that the shape of the commodity futures curve will become more contango or remain uncahnged. Commodity futures curves are divided by obstacles to intertemporal arbitrage. The costlier the storage, the greater is the division and the variability of carry.